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.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Top 10 exposures in terms of impact on SCR (group) | Top 10 exposures in terms of impact on SCR (group) | Top 10 exposures in terms of impact on SCR (group) |
| C0010/R0030-R0120 | Name Group Exposure | Names of the top 10 exposures of groups of counterparties in terms of impact on the SCR. The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. incl. diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0010-R0130 | Market value | Market value in reporting currency according to the valuation used for solvency purposes of — in R0030 to R0120 for the top 10 exposures — in R0020 for the sum of these top 10 exposures — in R0130 for the remaining exposures — in R0010 for the sum of all exposures |
| C0030/R0010-R0130 | Exposure at default | Amount of the Exposure at default: — in R0030 to R0120 for the top 10 exposures — in R0020 for the sum of these top 10 exposures — in R0130 for the remaining exposures — in R0010 for the sum of all exposures |
| C0040/R0010-R0130 | Credit Risk Contribution | Contribution to the credit SCR including diversification, i.e. the sum of entries in this column gives the credit risk SCR: — in R0030 to R0120 for the top 10 exposures — in R0020 for the sum of these top 10 exposures — in R0130 for the remaining exposures — in R0010 for the sum of all exposures |
| C0050/R0020-R0120 | Average Probability of Default (in %) | Average 1Y probability of default in % — in R0030 to R0120 for the top 10 exposures — in R0020 for the sum of these top 10 exposures |
| C0060/R0020-R0120 | Average Loss Given Default (in %) | Average loss given default in % — in R0030 to R0120 for the top 10 exposures — in R0020 for the sum of these top 10 exposures |
| C0070/R0010-R0130 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk — in R0030 to R0120 for the top 10 exposures — in R0020 for the sum of these top 10 exposures — in R0130 for the remaining exposures — in R0010 for the sum of all exposures (which should be 100 %) |
| C0080/R0010-R0130 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCR — in R0030 to R0120 for the top 10 exposures — in R0020 for the sum of these top 10 exposures — in R0130 for the remaining exposures — in R0010 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of impact on SCR (single) | Top 10 exposures in terms of impact on SCR (single) | Top 10 exposures in terms of impact on SCR (single) |
| C0090/R0160-R0250 | Name of Exposure | Names of the top 10 exposures of single exposures in terms of impact on the SCR. The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. including diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0140-R0260 | Market value | Market value according to the valuation used for solvency purposes: — in R0160 to R0250 for the top 10 exposures — in R0150 for the sum of these top 10 exposures — in R0260 for the remaining exposures — in R0140 for the sum of all exposures |
| C0030/R0140-R0260 | Exposure at default | Amount of Exposure at default: — in R0160 to R0250 for the top 10 exposures — in R0150 for the sum of these top 10 exposures — in R0260 for the remaining exposures — in R0140 for the sum of all exposures |
| C0040/R0140-R0260 | Credit Risk Contribution | Contribution to the credit SCR incl. diversification, i.e. the sum of entries in this column gives the credit risk SCR: — in R0160 to R0250 for the top 10 exposures — in R0150 for the sum of these top 10 exposures — in R0260 for the remaining exposures — in R0140 for the sum of all exposures |
| C0050/R0150-R0250 | Average Probability of Default (in %) | Average 1Y probability of default in % — in R0160 to R0250 for the top 10 exposures — in R0150 for the sum of these top 10 exposures |
| C0060/R0150-R0250 | Average Loss Given Default (in %) | Average loss given default in % — in R0160 to R0250 for the top 10 exposures — in R0150 for the sum of these top 10 exposures |
| C0070/R0140-R0260 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk: — in R0160 to R0250 for the top 10 exposures — in R0150 for the sum of these top 10 exposures — in R0260 for the remaining exposures — in R0140 for the sum of all exposures (which should be 100 %) |
| C0080/R0140-R0260 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCR: — in R0160 to R0250 for the top 10 exposures — in R0150 for the sum of these top 10 exposures — in R0260 for the remaining exposures — in R0140 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of market value (group) | Top 10 exposures in terms of market value (group) | Top 10 exposures in terms of market value (group) |
| C0010/R0290-R0380 | Name Group Exposure | Names of the top 10 exposures of groups of counterparties in terms of market value. |
| C0020/R0270-R0390 | Market value | Market value according to the valuation used for solvency purposes: — in R0290 to R0380 for the top 10 exposures — in R0280 for the sum of these top 10 exposures — in R0390 for the remaining exposures — in R0270 for the sum of all exposures |
| C0030/R0270-R0390 | Exposure at default | Amount of Exposure at default: — in R0290 to R0380 for the top 10 exposures — in R0280 for the sum of these top 10 exposures — in R0390 for the remaining exposures — in R0270 for the sum of all exposures |
| C0040/R0270-R0390 | Credit Risk Contribution | Contribution to the credit SCR including diversification, i.e. the sum of entries in this column gives the credit risk SCR: — in R0290 to R0380 for the top 10 exposures — in R0280 for the sum of these top 10 exposures — in R0390 for the remaining exposures — in R0270 for the sum of all exposures |
| C0050/R0280-R0380 | Average Probability of Default (in %) | Average 1Y probability of default in % — in R0290 to R0380 for the top 10 exposures — in R0280 for the sum of these top 10 exposures |
| C0060/R0280-R0380 | Average Loss Given Default (in %) | Average loss given default in % — in R0290 to R0380 for the top 10 exposures — in R0280 for the sum of these top 10 exposures |
| C0070/R0270-R0390 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk — in R0290 to R0380 for the top 10 exposures — in R0280 for the sum of these top 10 exposures — in R0390 for the remaining exposures — in R0270 for the sum of all exposures (which should be 100 %) |
| C0080/R0270-R0390 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCR — in R0290 to R0380 for the top 10 exposures — in R0280 for the sum of these top 10 exposures — in R0390 for the remaining exposures — in R0270 for the sum of all exposures (which should be 100 %) |
| Top 10 exposures in terms of market value (single) | Top 10 exposures in terms of market value (single) | Top 10 exposures in terms of market value (single) |
| C0090/R0420-R0510 | Name of Exposure | Names of the top 10 exposures of single exposures in terms of impact on the SCR. The impact on SCR is in the column ‘Credit Risk Contribution’, which should be the contribution to the credit SCR, i.e. incl. diversification and the sum of entries in the column gives the credit risk SCR. |
| C0020/R0400-R0520 | Market value | Market value in reporting currency according to the valuation used for solvency purposes of — in R0420 to R0510 for the top 10 exposures — in R0410 for the sum of these top 10 exposures — in R0520 for the remaining exposures — in R0400 for the sum of all exposures |
| C0030/R0400-R0520 | Exposure at default | Exposure at default in reporting currency of — in R0420 to R0510 for the top 10 exposures — in R0410 for the sum of these top 10 exposures — in R0520 for the remaining exposures — in R0400 for the sum of all exposures |
| C0040/R0400-R0520 | Credit Risk Contribution | Contribution to the credit SCR including diversification, i.e. the sum of entries in this column gives the credit risk SCR: — in R0420 to R0510 for the top 10 exposures — in R0410 for the sum of these top 10 exposures — in R0520 for the remaining exposures — in R0400 for the sum of all exposures |
| C0050/R0410-R0510 | Average Probability of Default (in %) | Average 1Y probability of default in % — in R0420 to R0510 for the top 10 exposures — in R0410 for the sum of these top 10 exposures |
| C0060/R0410-R0510 | Average Loss Given Default (in %) | Average loss given default in % — in R0420 to R0510 for the top 10 exposures — in R0410 for the sum of these top 10 exposures |
| C0070/R0400-R0520 | Market value (% of total sum) | Share of the market value (in %) relative to the total sum of market values of exposures to credit event risk — in R0420 to R0510 for the top 10 exposures — in R0410 for the sum of these top 10 exposures — in R0520 for the remaining exposures — in R0400 for the sum of all exposures (which should be 100 %) |
| C0080/R0400-R0520 | Credit Risk Contribution (% of total sum) | Share of the credit risk contribution (in %) relative to the total credit risk SCR — in R0420 to R0510 for the top 10 exposures — in R0410 for the sum of these top 10 exposures — in R0520 for the remaining exposures — in R0400 for the sum of all exposures (which should be 100 %) |
| Split by asset classes | Split by asset classes | Split by asset classes |
| C0020/R0530-R0640 | Market value | Total market value according to the valuation used for solvency purposes and split by asset classes. |
| C0030/R0530-R0640 | Exposure at default | Total exposure at default and split by asset classes. |
| C0040/R0530-R0640 | Credit Risk Contribution | Total contribution to the credit SCR (in reporting currency) including diversification and split by asset classes, i.e. the sum of entries in this column gives the credit risk SCR. |
| C0050/R0530-R0630 | Average Probability of Default (in %) | Average 1Y probability of default in % for the assets as sorted by asset classes. |
| C0060/R0530-R0630 | Average Loss Given Default (in %) | Average loss given default in % for the assets as sorted by asset classes. |
| C0070/R0530-R0640 | Market value (% of total sum) | Total share of the market value (in %) relative to the total sum of market values of exposures to credit event risk and split by asset classes. Off BS and other. |
| C0080/R0530-R0640 | Credit Risk Contribution (% of total sum) | Total share of the credit risk contribution (in %) relative to the total credit risk SCR and split by asset classes. |
| Split by credit quality step (CQS) | Split by credit quality step (CQS) | Split by credit quality step (CQS) |
| C0020/R0650-R0730 | Market value | Total market value in reporting currency according to the valuation used for solvency purposes and split by credit quality step. |
| C0030/R0650-R0730 | Exposure at default | Total exposure at default in reporting currency and split by credit quality step. |
| C0040/R0650-R0730 | Credit Risk Contribution | Total contribution to the credit SCR (in reporting currency) including diversification and split by credit quality step, i.e. the sum of entries in this column gives the credit risk SCR. |
| C0050/R0650-R0720 | Average Probability of Default (in %) | Average 1Y probability of default in % for the assets as sorted by credit quality steps. |
| C0060/R0650-R0720 | Average Loss Given Default (in %) | Average loss given default in % for the assets as sorted by credit quality steps. |
| C0070/R0650-R0730 | Market value (% of total sum) | Total share of the market value (in %) relative to the total sum of market values of exposures to credit event risk and split by credit quality step. |
| C0080/R0650-R0730 | Credit Risk Contribution (% of total sum) | Total share of the credit risk contribution (in %) relative to the total credit risk SCR and split by credit quality step. |
| C0100/R0740 | Credit event risk (‘migration and default’) – 99,5 % | This is the total amount of the capital charge for credit event risk (‘migration and default’) for 99,5 % quantile. |
| C0100/R0750 | Expected loss – mean | This is the total amount of mean of the probability distribution of expected loss for credit event risk (‘migration and default’). |
S.26.11 – Internal model: Credit risk – details 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.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Exposure at Default | Exposure at Default | Exposure at Default |
| C0010-C0090/R0010 | Overall Exposure at Default | Exposure at Default for different Credit Quality Steps. |
| C0010-C0090/R0020-R0080 | Exposure at Default breakdown | Amount of Exposure at Default for different asset classes and different Credit Quality Steps. |
| Probability of Default – weighted average where the weight is Exposure at Default | Probability of Default – weighted average where the weight is Exposure at Default | Probability of Default – weighted average where the weight is Exposure at Default |
| R0100 | Overall Probability of Default | Probability of Default for different Credit Quality Steps. |
| C0010-C0090/R0110-R0170 | Probability of Default breakdown | Probability of Default for different asset classes and different Credit Quality Steps. |
| C0100/R0180 | Other description | Summary of content of Other category referred in rows R0080 and R0170, so materiality can be judged. |
| Solvency Capital Requirements | Solvency Capital Requirements | Solvency Capital Requirements |
| C0110/R0190 | Total undiversified credit risk | This is the total amount of the capital charge for credit risk before any diversification effects. |
| C0110/R0200 | Diversification: credit risk | This is the amount of gross diversification effects allowed in aggregation of capital requirements for credit risk. This amount should be reported as a negative value. |
| C0110/R0210 | Diversified risk: credit risk | This is the total amount of the capital charge for credit risk. |
S.26.12 – Internal model: Credit risk – for non-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.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Type 1 exposures in terms of impact on SCR | Type 1 exposures in terms of impact on SCR | Type 1 exposures in terms of impact on SCR |
| C0010/R0020-R0110 | Name of single name exposure | Describe the name of the 10 largest single exposures. |
| C0020/R0020-R0110 | Code of single name exposure | Identification code using the Legal Entity Identifier (LEI) if available. If not available this item should not be reported |
| C0030/R0010 | Sum of all Losses Given Default | The sum of the Loss Given Default for all Type 1 exposures. |
| C0030/R0020-R0110 | 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 exposures. |
| C0030/R0120 | Type 1 aggregate Loss Given Default excluding 10 largest single name exposures | Loss Given Default for all Type 1 exposures excluding 10 largest single name exposures. |
| C0040/R0010 | Sum of all Exposures at Default | The sum of the Exposure at Default for all Type 1 exposures. |
| C0040/R0020-R0110 | Type 1 exposures – Single name exposure X – Exposure at Default | The value of the Exposure at Default for each of the 10 largest single name exposures. |
| C0040/R0120 | Type 1 aggregate Exposure at Default excluding 10 largest single name exposures | The value of the Exposure at Default for all Type 1 exposures excluding 10 largest single name exposures. |
| C0050/R0010 | Weighted average Probability of Default for Type 1 exposures | Weighted average of Probability of Default for Type 1 exposures where the weight is Exposure at Default. |
| C0050/R0020-R0110 | Type 1 exposures – Single name exposure X – Probability of Default | The Probability of Default for each of the 10 largest single name exposures. |
| Type 2 exposures in terms of impact on SCR | Type 2 exposures in terms of impact on SCR | Type 2 exposures in terms of impact on SCR |
| C0030/R0130 | Sum of all Losses Given Default | The sum of the Loss Given Default for all Type 2 exposures. |
| C0030/R0140-R0180 | Type 2 exposures – Loss Given Default | Loss Given Default for the different exposures. For R0160 include the other highest main exposure excluding R0140–R0150. For R0170 include the other highest main exposure excluding R0140–R0160. For R0180 include the other highest main exposure excluding R0140–R0170. |
| C0030/R0190 | Type 2 aggregate Loss Given Default excluding R0140–R0180 | Loss Given Default for all Type 2 exposures excluding R0140–R0180. |
| C0040/R0130 | Sum of all Exposures at Default | The sum of the Exposure at Default for all Type 2 exposures. |
| C0040/R0140-R0180 | Type 2 exposures – Exposure at Default | Exposure at Default for the different exposures: For R0160 include the other highest main exposure excluding R0140–R0150. For R0170 include the other highest main exposure excluding R0140–R0160. For R0180 include the other highest main exposure excluding R0140–R0170. |
| C0040/R0190 | Type 2 aggregate Exposure at Default excluding R0140–R0180 | Exposure at Default for all Type 2 exposures excluding R0140–R0180. |
| C0050/R0130 | Weighted average Probability of Default for Type 2 exposures | Weighted average of Probability of Default for Type 2 exposures where the weight is Exposure at Default. |
| C0050/R0140-R0180 | Type 2 exposures – Probability of Default | The Probability of Default for each of R0140–R0180. For R0140 and R0150 it shall be the weighted average of the Probabilities of Default where the weight is Exposure at Default. |
| C0060/R0140-R0180 | Description of exposure | Short description of the Type 2 exposure. For R0160 include the other highest main exposure excluding R0140–R0150. For R0170 include the other highest main exposure excluding R0140–R0160. For R0180 include the other highest main exposure excluding R0140–R0170. |
| Solvency Capital Requirements | Solvency Capital Requirements | Solvency Capital Requirements |
| C0070/R0200 | Total undiversified counterparty default risk | This is the total amount of the capital charge for counterparty default risk before any diversification effects. |
| C0070/R0210 | Diversification: counterparty default risk | 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. This amount should be reported as a negative value. |
| C0070/R0220 | Diversified risk: counterparty default risk | This is the total amount of the capital charge for counterparty default risk. |
S.26.13 – Internal model: Non-Life & Health NSLT Underwriting risk
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.
This template collects information on Non-Life and Health NSLT underwriting risk in the following different risk granularities gross and net of reinsurance:
- — Premium and Reserve Risk: Premium and Reserve Risk data including Cat.
- — Catastrophe Risk (Cat): Catastrophe Risk data.
- — Premium & Reserve Risk (Excluding explicit Cat): Premium and Reserve Risk data excluding explicit Cat.
- — Premium Risk: The premium risk distribution should be such that its mean reflects an expected profit or loss including the movement of Premium Provisions over the year. Results should exclude Cat.
- — Reserve Risk: The Reserve Risk distribution should be such that its mean is approximately zero, as there is no expected profit in a Best Estimate. Results should exclude Cat.
- — Within Premium and Reserve Risk the following two segmentations are requested:
- — Solvency 2 Lines of Business (S2LoB): As defined in Annex II of the Delegated Regulation, based on lines of business (LoBs) defined in Annex I.
- — Internal Model Lines of Business (IntLoB): Is understood as the most granular level from the internal model direct outputs at which the probability distribution function of the losses and SCR are available. IntLoBs are expected to be used for internal reporting as well as the management of the capital positions by the undertaking. IntLoBs typically are close to the parameterisation level. They should enable an understanding of the internal model specific behaviour.
In case of co-Insurance on direct business, for leading insurance undertakings the full proportion of business is understood to be reported as gross direct business, whereby the proportion shared with non-leading insurers is considered to be treated as outward reinsurance.
Overall the following applies:
- — Monetary amounts of this template are discounted.
- — High percentiles represent adverse results for the undertaking since the underlying distribution is a loss distribution (i.e. 99.5 is used for the SCR calculation).
- — In general, it is expected that the requested figures are available at both granularities (internal or Solvency 2 LoBs) and consistently reported for each of these 2 granularities to the extent possible (means add up, etc.).
- — The word diversified is in this template used to differentiate between different levels of granularity (e.g. diversified reserve risk is the overall aggregated reserve risk in comparison to the sum of undiversified S2LoBs).
Because there are different ways of modelling these risks, undertakings are not requested to change their internal model to be able to follow the structure of the codes. So, if undertakings model the catastrophe risk together with the risk of premiums and/or reserves, then they should not fill in section ‘Distribution of losses from catastrophe perils’. In addition, if undertakings obtain a specific distribution of premium and reserve risks for Health NSLT underwriting risk and a separate one for non-life underwriting risk without aggregating the two together, the information will be included in ‘Overall Health NSLT gross of reinsirance’ – ‘Overall Health NSLT net of reinsurance’ sections and ‘Overall Non-Life gross of reinsurance’ – ‘Overall Non-Life net of reinsurance’ sections respectively. Otherwise, ‘Overall Non-Life gross of reinsurance’ – ‘Overall Non-Life net of reinsurance’ sections should not be reported.
The Occurrence Exceedance Probability (OEP) is the probability that the associated loss level will be exceeded by any event in any given year. It is used when the insurance program is written on an occurrence basis, or when the loss associated with one event is important.
The Aggregate Exceedance Probability (AEP) is the probability that the associated loss level will be exceeded by the aggregated losses in any given year and is used when the insurance program is written on an aggregate basis.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| Risk model data | Risk model data | Risk model data |
| C0010/R0010 | Is SCR risk measure for Premium risk centred? | One of the options in the following closed list shall be used: Yes – SCR is measured as deviation from the expected result (Centred risk). Please describe in code C0010/R0020. No – SCR is measured as deviation from zero (Non-centred risk). Please describe in code C0010/R0020. Other – Please describe in code C0010/R0020. |
| C0010/R0020 | Short description of SCR risk measure used for Premium risk | Describe the way in which the Internal Model SCR risk measure for Premium risk is derived (e.g. from the ‘economic’ Profit and Loss distribution). Use as reference point the metric defined for the SCR in Article 101 of the Solvency II Directive and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, etc.). If the approved Internal Model risk measure complies with the risk measure as defined by Article 101 of the Solvency II Directive, please confirm by inserting ‘Internal Model risk measure as defined in Article 101 of the Solvency II directive’. |
| C0010/R0030 | Is SCR risk measure for Reserve risk centred? | One of the options in the following closed list shall be used: Yes – Risk Capital includes a deviation from the expected result (centred risk). Please describe in code C0010/R0040. No – Risk Capital includes a deviation from zero (Non-centred risk). Please describe in code C0010/R0040. Other – Please describe in code C0010/R0040. |
| C0010/R0040 | Short description of SCR risk measure used for Reserve risk | Describe the way the in which Internal Model the SCR risk measure for Reserve risk is derived (e.g. from the economic Profit and Loss distribution). Use as reference point the standard metric used for the SCR under Solvency II Directive Section 4 Subsection 1 & 2 (Focus in particular on Article 101, 104, 105, 108) under Solvency II and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, going concern, etc.). If the approved Internal Model risk measure complies with all assumptions of Section 4 Subsection 2 please confirm by inserting ‘Internal Model risk measure in line with Standard Formula risk measure definition’ |
| C0010/R0050 | Is SCR risk measure for Catastrophe risk centred? | One of the options in the following closed list shall be used: Yes – Risk Capital includes a deviation from the expected result (centred risk). Please describe in code C0010/R0060. No – Risk Capital includes a deviation from zero (Non-centred risk). Please describe in code C0010/R0060. Other – Please describe in code C0010/R0060. |
| C0010/R0060 | Short description of SCR risk measure used for Catastrophe risk | Describe the way the in which the Internal Model SCR risk measure for Catastrophe risk is derived. (e.g. from the economic Profit and Loss distribution). Use as reference point the standard metric used for the SCR under Solvency II Directive Section 4 Subsection 1 & 2 (Focus in particular on Article 101, 104, 105, 108) under Solvency II and go through all aspects where your approach may differ (e.g. deviations from the VaR 1/200, the 1-year time horizon of risk, risk as deviation from the expected result, going concern, etc.). If the approved Internal Model risk measure complies with all assumptions of Section 4 Subsection 2 please confirm by inserting ‘Internal Model risk measure in line with Standard Formula risk measure definition’. |
| Internal LoB mapping | Internal LoB mapping | Internal LoB mapping |
| C0020 | Internal line of business | Name of internal line of business used in the internal model. It shall be consistent across the template. |
| C0030 | Solvency II line of business | Identification of the Non-Life 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 It is expected the insurance and reinsurance undertakings indicate in which Solvency II LoB each internal LoB is included. If one Internal LoB maps to two or more Solvency II LoBs then C0040 reports the corresponding proportion (as a value between 0 and 1) of the internal LoB for each mapped Solvency II LoB. These values shall add up to 1 for each internal LoB that maps to two or more Solvency II LoBs. If there is a one-to-one mapping, then C0040 shall be 1. |
| C0040 | Premium risk indicator | The following closed list shall be used: — Assigned to premium risk — Not assigned to premium risk |
| C0050 | Reserve risk indicator | The following closed list shall be used: — Assigned to reserve risk — Not assigned to reserve risk |
| C0060 | Proportion of Internal Line of Business allocated to SII Line of Business | Proportion of internal line of business allocated to SII line of business as a decimal number e.g. if it’s 10 % then use 0.1. |
| Gross Reserve risk model data | Gross Reserve risk model data | Gross Reserve risk model data |
| Z0010 | SII Line of Business | Identification of the Non-Life 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 |
| Z0020 | Risk type | One of the options in the following closed list shall be used: 1 – Non-life and NSLT health reserve risk aggregated jointly with implicit catastrophe risk 2 – Non-life and NSLT health reserve risk aggregated jointly 3 – Non-life underwriting reserve risk with implicit catastrophe risk 4 – Non-life underwriting reserve risk |
| C0070 | Diversified reserve risk excluding explicit Catastrophe Risk | Aggregate reserve risk gross/net of reinsurance after applying diversification effects among different risks. It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| C0080 | SII Line of Business | Reserve risk gross/net of reinsurance for each Solvency II LoB. It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| C0090 | Internal Line of Business | Reserve risk gross/net of reinsurance for each internal LoB. It will include catastrophe risk if it is modelled jointly with the reserve risk, otherwise catastrophe risk will be reported using separate fields described in the ‘Distribution of losses from catastrophe perils’ section of this LOG file. |
| R0070 | Provision for claims outstanding – discounted | The best estimate of claims (gross of reinsurance) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. |
| R0080 | Premium Provision – discounted (only if premium provision allocated to reserve risk) | The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk. |
| R0090 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on gross of reinsurance data. This cell represents the stand-alone risk of the respective granularity with the approved risk measure of the Internal Model. |
| R0100 | Simulated (output) mean | This is the mean of the profit and loss distribution forecast according to the approved model setup, i.e. as relevant for the calculation of the official SCR. It is the output obtained based on the simulation process (gross of reinsurance and on an undiscounted basis) |
| R0110 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution of the future cash out-flows (Combined ratio styled) relating to claims events on a one-year time horizon basis as at the reporting reference date. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0120-R0330 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution of the future cash out-flows relating to claims events on a one-year time horizon basis as at the reporting reference date obtained based on the simulation process (gross of reinsurance and on a discounted basis). If the risk measure definition is in line with the risk measure definition of Article 101 of the Solvency II Directive, the 99.5 percentile will differ by the Simulated (output) mean from the SCR. |
| Net Reserve risk model data | Net Reserve risk model data | Net Reserve risk model data |
| R0340 | Provision for claims outstanding – discounted | The best estimate of claims (net of reinsurance recoverables) that have not been settled. It includes all claims not yet settled, reported and not reported. Based on Article 77 of Solvency II Directive, the best estimate corresponds to the probability-weighted average of future cash-flows, taking account of the time value of money (expected present value of future cash-flows), using the relevant risk-free interest rate term structure. |
| R0350 | Premium Provision – discounted (only if premium provision allocated to reserve risk) | The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to reserve risk. |
| R0360 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoB and aggregate level based on net of reinsurance data. |
| R0370 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis). |
| R0380 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on discounted basis). |
| R0390-R0600 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| Gross Premium risk model data | Gross Premium risk model data | Gross Premium risk model data |
| Z0020 | Risk type | One of the options in the following closed list shall be used: 1 – Non-life and NSLT health premium risk aggregated jointly with implicit catastrophe risk 2 – Non-life and NSLT health premium risk aggregated jointly 3 – Non-life underwriting premium risk with implicit catastrophe risk 4 – Non-life underwriting premium risk |
| C0100 | Diversified premium risk excluding explicit Catastrophe Risk | Aggregate premium risk gross/net of reinsurance after applying diversification effects among different risks. It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0110 | SII Line of Business | Premium risk gross/net of reinsurance for each Solvency II LoB. It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0120 | Internal Line of Business | Premium risk gross/net of reinsurance for each internal LoB. It will include catastrophe risk if it is modelled jointly with the premium risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| R0610 | Gross Written Premium | 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. |
| R0620 | Gross Earned Premium | It is the sum of gross premiums written minus the change in the gross provision for unearned premiums related to insurance direct business. |
| R0630 | Gross written premium planned in the 12 months post the reporting Reference Date | Gross premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date. |
| R0640 | Gross written unearned premium at the Reference Date (only if premium provision allocated to premium risk) | Written unearned premium gross of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0650 | Premium Provision – discounted (only if premium provision allocated to premium risk) | The discounted sum of future cash flows that comprise the premium provisions, gross of the amounts recoverable from reinsurance contracts, special purpose vehicles and finite reinsurance regarding direct and accepted business. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0660 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data. |
| R0670 | Simulated (output) mean | This is the mean loss ratio of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0680 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R0690-R0900 | Percentiles from 0,001 to 0,999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| Net Premium risk model data | Net Premium risk model data | Net Premium risk model data |
| R0910 | Net Written Premium | Net 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. |
| R0920 | Net Earned Premium | It is the sum of net premiums written minus the change in the net provision for unearned premiums related to insurance direct business. |
| R0930 | Net written premium planned in the 12 months post the Reference Date | Net premium planned to be written within the 12 months following the reporting reference date via binder agreements either signed before or after the reference date. |
| R0940 | Net written unearned premium at the Reference Date (only if premium provision allocated to premium risk) | Written unearned premium net of reinsurance. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0950 | Premium Provision – discounted (only if premium provision allocated to premium risk) | The discounted sum of future cash flows that comprise the premium provisions net of reinsurance recoverables. This cell should be filled in if the premium provision at the reporting reference date is allocated to premium risk. |
| R0960 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data. |
| R0970 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R0980 | Simulated standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R0990-R1200 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| Overall Non-Life and Health NSLT gross of reinsurance | Overall Non-Life and Health NSLT gross of reinsurance | Overall Non-Life and Health NSLT gross of reinsurance |
| Z0020 | Risk type | One of the options in the following closed list shall be used: 1 – Non-life and NSLT health premium risk and reserve risk aggregated jointly with implicit catastrophe risk 2 – Non-life and NSLT health premium risk and reserve risk aggregated jointly 3 – Non-life underwriting premium risk and reserve risk with implicit catastrophe risk 4 – Non-life underwriting premium risk and reserve risk 5 – NSLT health underwriting premium risk and reserve risk aggregated separately with implicit catastrophe risk 6 – NSLT health underwriting premium risk and reserve risk aggregated separately |
| C0130 | Total undiversified | The total amount of non-life and health NSLT underwriting risk before applying diversification effects among different non-life risks. This amount will include catastrophe risk if it is modelled jointly with the premium and reserve risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| C0140 | Diversification | The difference between total undiversified standalone non-life and health NSLT underwriting risk and total non-life underwriting risk diversified. This amount is the diversification effect and shall be reported as a negative value. |
| C0150 | Diversified | The total amount of non-life and health NSLT risk underwriting after applying diversification effects among different risks. This amount will include catastrophe risk if it is modelled jointly with the premium and reserve risk, otherwise catastrophe risk will be reported using separate codes described in the ‘DISTRIBUTION OF LOSSES FROM CATASTROPHE PERILS’ section of this LOG file. |
| R1210 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on gross of reinsurance data. |
| R1220 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R1230 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| R1240-R1450 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the chart related to the probability distribution obtained based on the simulation process (gross of reinsurance and on a discounted basis). |
| Overall Non-Life and Health NSLT net of reinsurance | Overall Non-Life and Health NSLT net of reinsurance | Overall Non-Life and Health NSLT net of reinsurance |
| R1460 | Solvency Capital Requirement | This is the amount of funds that insurance and reinsurance undertakings need to face their risks. It is required to identify the solvency capital requirement for each internal line of business, SII LoBs and aggregate level based on net of reinsurance data. |
| R1470 | Simulated (output) mean | This is the mean of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R1480 | Simulated (output) standard deviation | This is the standard deviation of the probability distribution. It is the output obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| R1490-R1700 | Percentiles from 0.001 to 0.999 | The undertaking is expected to indicate the amounts of the percentiles required in the chart related to the probability distribution obtained based on the simulation process (net of reinsurance and on a discounted basis). |
| Distribution of losses from Catastrophe Perils | Distribution of losses from Catastrophe Perils | Distribution of losses from Catastrophe Perils |
| C0020 | Classes impacted by the catastrophe event | List of all classes impacted by the catastrophe event for the relevant peril. |
| C0160 | Catastrophe | Name of natural catastrophe or man-made peril per modelled region. Please include name of region and peril. Do not include generic names like region1 or peril1. It is recommended that the names of the perils and the regions are in English. |
| C0170 | Commercially available vendor model used (if applicable) | One of the options in the following closed list shall be used: — Yes — No |
| C0180 | Commercially available vendor model name and version used (if applicable) | If a commercially available vendor model is used in the internal model for the peril this field should contain the name of the model and the version of the model that the simulations are based on. |
| C0190 | Explanatory information (if AEP loss is not available) | Provide short concise information on model and reasons, if the field ‘AEP loss’ is not available. If agreed with the responsible supervisor this field could also be used to provide information on modelling approaches in other cases. |
| C0200 | Total Sum insured | The insurance or reinsurance undertaking is expected to report their total sum insured for direct business by peril and region. |
| C0210 | Exposure amount | The exposure amount used by the undertaking that has been agreed upon with the respective supervisor. The metric used can be different among perils and regions. |
| C0220 | Exposure metric | Short description of exposure metric used in previous column (C6). |
| Distribution of losses from Catastrophe Perils – Total (property and non-property) business | Distribution of losses from Catastrophe Perils – Total (property and non-property) business | Distribution of losses from Catastrophe Perils – Total (property and non-property) business |
| Z0010 | Internal line of business | Name of the internal line of business used by the undertaking. |
| C0230-C0400/R1710 | Simulated mean from model for Total (property and non-property) business | This is the mean of the probability distribution corresponding to each peril and aggregation of perils. It is the output obtained based on the simulation process. The mean should be reported with the following splits: — Mean of OEP for all business gross of reinsurance — Mean of AEP for all business gross of reinsurance — Mean of Annual loss for all business gross of reinsurance — Mean of OEP for all business net of reinsurance — Mean of AEP for all business net of reinsurance — Mean of Annual loss for all business net of reinsurance ‘Annual loss’ is explicitly not ‘Average Annual Loss’ (AAL), but the loss determined according to the statistical measure, i.e. mean, standard deviation or percentile. AAL corresponds to the mean annual loss.” |
| C0230-C0400/R1720 | Simulated standard deviation for Total (property and non-property) business | This is the standard deviation of the probability distribution corresponding to each peril and aggregation of perils. It is the output obtained based on the simulation process. The standard deviation should be reported with the same split as the Simulated mean. |
| C0230-C0400/R1730-R1810 | Simulated percentiles for Total (property and non-property) business | Probability distribution percentiles obtained based on the simulation process for each peril and aggregation of perils. Reported percentiles are 0.75, 0.9, 0.96, 0.98, 0.99, 0.995, 0.996, 0.998 and 0.999. The information for each separate percentile shall be reported with the same split as the Simulated mean. |
| Premium and sums insured data | Premium and sums insured data | Premium and sums insured data |
| C0410/R1820-R1950 | Gross Annual Premium – Direct insurance | Split of gross annual premium written for direct business by geographical region. Geographical regions to be used are Europe, Africa, North East US, South East US, Mid-West US, Western US, Northern America (excluding US), Caribbean & Central America, South America, Australia, Japan, Asia (excluding Japan) and Rest of World. Any unallocated premium should be put in the Unallocated bucket. The definition of these geographical areas can be found in Annex III of the COMMISSION DELEGATED REGULATION (EU) 2015/35. When one of the above geographical regions is a superset of the defined regions in the delegated regulation then all countries in the subsets should be considered for this region. The only exception here is Japan which is singled out from the rest of Asia. |
| C0420/R1820-R1950 | Total Sum Insured – Direct insurance | Split of total sum insured for direct business by geographical region. Geographical regions to be used are Europe, Africa, North East US, South East US, Mid-West US, Western US, Northern America (excluding US), Caribbean & Central America, South America, Australia, Japan, Asia (excluding Japan) and Rest of World. Any unallocated premium should be put in the Unallocated bucket. The definition of these geographical areas can be found in Annex III of the COMMISSION DELEGATED REGULATION (EU) 2015/35. When one of the above geographical regions is a superset of the defined regions in the delegated regulation then all countries in the subsets should be considered for this region. The only exception here is Japan which is singled out from the rest of Asia. |
| C0410/R1960-R1990 | Gross Annual Premium – Reinsurance | The insurance or reinsurance undertaking is expected to split their gross annual written premium for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| C0420/R1960-R1990 | Total Sum Insured – Reinsurance | The insurance or reinsurance undertaking is expected to split their total sum insured for reinsurance by geographical region. Geographical regions to be used are Europe, North America and Rest of World. Any unallocated premium should be put in the Unallocated bucket. |
| SPLIT OF PREMIUM INCOME | SPLIT OF PREMIUM INCOME | SPLIT OF PREMIUM INCOME |
| C0430/R2000 | Direct insurance | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking direct business. |
| C0430/R2010 | Reinsurance | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking reinsurance business. |
| C0430/R2020 | Retrocession | Premium income (gross allocated written premium forecasted for the next 12 months as used in the model) for the insurance or reinsurance undertaking retrocession. |
| SIGNIFICANT OTHER PERILS | SIGNIFICANT OTHER PERILS | SIGNIFICANT OTHER PERILS |
| C0440/R2030 | Significant other perils | The insurance or reinsurance undertaking should here indicate if their business contains other significant perils not included in the NatCat or Man-made perils above with a Yes, otherwise this cell should contain a No. |
| C0440/R2040 | Description of other perils | If the above cell is Yes, the insurance or reinsurance undertaking should provide here a text description of those other significant peril(s). |
| CATASTROPHE SCR AGGREGATION – Reported net of reinsurance | CATASTROPHE SCR AGGREGATION – Reported net of reinsurance | CATASTROPHE SCR AGGREGATION – Reported net of reinsurance |
| C0450/R2050 | Total undiversified NatCat risk | Sum of separate SCR for all NatCat risk perils. |
| C0450/R2060 | Diversification between NatCat perils | Diversification effect on SCR between NatCat perils. Calculated as SCR for NatCat risk perils – Sum of separate SCR for all NatCat risk perils. |
| C0450/R2070 | Total undiversified man-made risk | Sum of SCR for all Man-made risk perils. |
| C0450/R2080 | Diversification between man-made perils | Diversification effect on SCR between Man-made perils. Calculated as SCR for Man-made risk perils – Sum of separate SCR for all Man-made risk perils. |
| C0450/R2090 | Other non-life catastrophe risk | SCR for other non-life Catastrophe risk. |
| C0450/R2100 | Diversification between other non-life catastrophe perils | Diversification effect on SCR between Other perils. Calculated as SCR for Other risk perils – Sum of separate SCR for all Other risk perils. |
| C0450/R2110 | Non-life catastrophe risk – total diversification | Diversification effect on SCR between NatCat, Man-made and Other perils. Calculated as SCR for Catastrophe risk – SCR for NatCat risk perils – SCR for all Man-made risk perils -SCR for all Other risk perils. |
| C0450/R2120 | Total Non-life catastrophe risk – diversified | SCR for Catastrophe risk. |
S.26.14 – Internal model: Life and Health underwriting risk
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.
In this template, the results of internal models for Life and Health SLT underwriting risk are reported. If insurers also integrate Health NSLT underwriting risk in the Life + Health SLT underwriting risk model structure, the results of the Health NSLT model should also be reported in this template.
Depending on the structure of Life and Health SLT underwriting risk modelling, one of the two approaches for longevity and mortality risk should be used. If the internal model structure is such that Mortality and Longevity risks are modelled together, then for these risks only R0270 where these risks are combined, shall be reported.
In general, if cells cannot be sensibly reported an alternative should be selected. For example, if an undertaking cannot separate trend, level or volatility modelling within a submodule, then information should be provided at the corresponding aggregate level.
| CODE | ITEM | INSTRUCTIONS |
|---|---|---|
| OPTION 1 – LIFE RISK | OPTION 1 – LIFE RISK | OPTION 1 – LIFE RISK |
| C0010/R0010, R0060, R0250, R0270 C0030-C0040/R0110 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the life insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well. The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’). If R0270 is reported then R0010 (Mortality) and R0060 (Longevity) shall not be reported. |
| C0050/R0010, R0060, R0110, R0250, R0270 | Net Written Premiums | The total of the written premiums net of reinsurance shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. If R0270 is reported then R0010 (Mortality) and R0060 (Longevity) shall not be reported. |
| C0060/R0010, R0060, R0110, R0250, R0270 | Sum insured | The total sum insured shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. If R0270 is reported then R0010 (Mortality) and R0060 (Longevity) shall not be reported. |
| C0070/R0010-R0270 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance. The following explanations apply for C0070 – C0260: For the aggregate risks, the SCR after aggregation over the underlying sub-risks should be reported. For lapse risk the following applies: — ‘Lapse’ covers exercising contractual options in a general sense. — Risk of increase in lapse rates (R0170) and decrease of lapse rates (R0180) are lapse risks other than mass lapse risk, where R0170 (R0180) covers the part of the business leading to a loss if lapse rates increase (decrease) as defined in the internal model. — Risk of mass lapse (R0190) is risk of accumulation or catastrophe risk for lapse as defined in the internal model. — ‘Lapse type split (other than mass lapse)’ covers non-mass lapse risk if a split in increase/decrease is not available and offers a split in three rough categories: ‘full surrender’, i.e. termination of the contract, ‘partial surrender’ and ‘other’ exercising of contractual options or ‘Policyholder behaviour’. If R0270 is reported then R0010 to R0100 shall not be reported. |
| C0080/R0010-R0270 | Mean | The mean of the probability distribution of the net SCR If R0270 is reported then R0010 to R0100 shall not be reported. |
| C0090/R0010-R0270 | Standard deviation | The Standard deviation of the probability distribution of the net SCR If R0270 is reported then R0010 to R0100 shall not be reported. |
| C0100-C0310/R0010-R0270 | Percentiles from 0.001 to 0.999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). If R0270 is reported then R0010 to R0100 shall not be reported. |
| OPTION 2 – LIFE RISK To be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.02) replaces the template above (S.26.14.01.01). | OPTION 2 – LIFE RISK To be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.02) replaces the template above (S.26.14.01.01). | OPTION 2 – LIFE RISK To be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.02) replaces the template above (S.26.14.01.01). |
| C0010/R0300 | Net Best Estimate liability + Technical provisions calculated as a whole | Catastrophe risk best estimate shall be reported net of reinsurance and refers to the products of the life insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well. |
| C0050/R0300 | Net Written Premiums | The total of the net written premiums for catastrophe risk shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0300 | Sum insured | The total sum insured for catastrophe risk shall be reported for the products of the life insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0280-R0300 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance. For the aggregate risks, the net SCR after aggregation over the underlying submodules should be reported. |
| C0080/R0280-R0300 | Mean | The mean of the probability distribution of the SCR |
| C0090/R0280-R0300 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0280-R0300 | Percentiles from 0.001 to 0.999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| OPTION 1 – HEALTH RISK | OPTION 1 – HEALTH RISK | OPTION 1 – HEALTH RISK |
| Z0010 | Type of Health risk modelled in Life & Health? | In the closed list there are 3 options: SLT, NSLT and SLT + NSLT |
| C0010/R0310, R0360, R0560 C0030-C0040/R0410-R0460 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the health insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well. The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’). |
| C0050/R0310, R0360, R0410-R0460, R0560 | Net Written Premiums | The total of the net written premiums shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0310, R0360, R0410-R0460, R0560 | Sum insured | The total sum insured shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0310-R0570 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance. The following explanations apply for C0070 – C0260: For the aggregate risks, the SCR after aggregation over the underlying submodules should be reported. For lapse risk the following applies: — ‘Lapse’ covers exercising contractual options in a general sense. — Risk of increase in lapse rates (R0480) and decrease of lapse rates (R0490) are lapse risks other than mass lapse risk, where R0480 (R0490) covers the part of the business leading to a loss if lapse rates increase (decrease) as defined in the internal model. — Risk of mass lapse (R0500) is risk of accumulation or catastrophe risk for lapse as defined in the internal model. ‘Lapse type split (other than mass lapse)’ covers non-mass lapse risk if a split in increase/decrease is not available and offers a split in three rough categories: ‘full surrender’, i.e. termination of the contract, ‘partial surrender’ and ‘other’ exercising of contractual options or ‘Policyholder behaviour’. |
| C0080/R0310-R0570 | Mean | The mean of the probability distribution of the net SCR |
| C0090/R0310-R0570 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0310-R0570 | Percentiles from 0.001 to 0.999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| OPTION 2 – HEALTH RISK To be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.05) replaces the template above (S.26.14.01.03). | OPTION 2 – HEALTH RISK To be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.05) replaces the template above (S.26.14.01.03). | OPTION 2 – HEALTH RISK To be completed if the internal model only has a split between Trend and Level risk. In that case the following template (S.26.14.01.05) replaces the template above (S.26.14.01.03). |
| C0010/R0600 | Net Best Estimate liability + Technical provisions calculated as a whole | Best estimate shall be reported net of reinsurance and refers to the products of the health insurance portfolio that are sensitive to the relevant risk category. TPs calculated as a whole should be taken in as well. The split for disability-morbidity risk aggregate refers to annuities paid out (‘APO’) or not (‘ANPO’). |
| C0050/R0600 | Net Written Premiums | The total of the net written premiums shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0060/R0600 | Sum insured | The total sum insured shall be reported for the products of the health insurance portfolio that are sensitive to the relevant risk category. |
| C0070/R0580-R0600 | Solvency Capital Requirements | The SCR for the relevant risk category, net of reinsurance. For the aggregate risks, the net SCR after aggregation over the underlying submodules should be reported. |
| C0080/R0580-R0600 | Mean | The mean of the probability distribution of the net SCR |
| C0090/R0580-R0600 | Standard deviation | The Standard deviation of the probability distribution of the net SCR |
| C0100-C0310/R0580-R0600 | Percentiles from 0.001 to 0.999 | It is expected that the insurance and reinsurance undertakings indicate the amounts of the percentiles required in the table related to the probability distribution obtained based on the simulation process (net of reinsurance and on discounted basis). |
| SOLVENCY CAPITAL REQUIREMENTS | SOLVENCY CAPITAL REQUIREMENTS | SOLVENCY CAPITAL REQUIREMENTS |
| C0320/R0610 | Total undiversified risk: Life underwriting, Health underwriting, Life and Health underwriting | The sum of all (sub-) SCRs. For lapse, please choose the sum as appropriate to the splits presented on the most granular level. Examples: (1) If lapse increase and lapse decrease and mass lapse are available, please sum up these. Irrespectively if the lapse split is additionally available. (2) If mass lapse and lapse split are available and also lapse split sublevels, please take the sum of mass lapse and lapse split. If only sublevels of lapse split are available, please chose those. |
| C0320/R0620 | Diversification: Life underwriting, Health underwriting, Life and Health underwriting | The diversification between the sub risks. This amount should be reported as a negative value. |
| C0320/R0630 | Diversified risk: Life underwriting, Health underwriting, Life and Health underwriting | The aggregated SCR Life and Health risk after aggregating all sub risks. |
S.26.15 – Internal model: Operational risk
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