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.
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.
Each undertaking can use their own operational risks classification.
The columns C0020-C0060 contain information on the scenarios defined by the undertaking. In case of multi-tier classifications, data on at least the two highest levels of operational risk should be provided (define L1 as the highest level and L2 the immediately lower one, if present). All the information to be filled in is related to the one year forecasted loss probability distributions.
For an event type category defined as Level 1 (L1) occurrence, all numerical information (SCR, quantiles) should refer to the aggregation of the risk made at that level. Of course, each category identified in the Level 2 (L2) occurrence could come from an aggregation of lower levels loss distributions.
| Internal scenario classification [free text] | Unique ID [number] | Unique ID of parent level. [number] | |
| L2 A | 201 | 101 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. |
| L2 B | 202 | 101 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. |
| L2 C | 203 | 101 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. |
| L2 D | 204 | 102 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. |
| L2 E | 205 | 102 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. |
| L1 A | 101 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. | |
| L1 B | 102 | Note that the ID of the containing level is not valued for L1 levels, as the ultimate parent level is the operational risk itself. |
Operational Risk
| ITEM | INSTRUCTIONS | |
| C0010/R0010 | Is Basel L1 classification used? | Identify if the seven high-level categories (L1) specified in Basel II are used. One of the options in the following closed list shall be used: — Yes — No |
| C0010/R0020 | Is Basel L1 and L2 classification used? | Identify if the Basel Level 1 and 2 categories and their hierarchy (which L2 are included in each L1) specified in Basel II [Annex 7]. One of the options in the following closed list shall be used: — Yes — No |
| C0020 | Scenario name | This table should be completed by all undertakings, also in the cases where the undertaking answers ‘No’ to ‘C0010/R0010’ and/or ‘C0010/R0020’, with the names of the internal scenarios used for Operational risk calculations by the internal model. |
| C0030 | Unique ID | This is a unique ID of the internal scenario. This should be consistent across different reporting periods. This is a numeric field. |
| C0040 | Unique ID of parent level. | This is a unique ID of the immediate parent internal scenario. This should be consistent across different reporting periods. This is a numeric field. |
| C0050 | Basel L1 classification mapping | For completion by undertakings which answer ‘Yes’ in C0010/R0010 or the mapping to Basel L1 exists. Field should be empty if the scenario is higher than level 2 in the classification. One of the options in the following closed list shall be used: 1. Internal fraud 2. External fraud 3. Employment practices and workspace safety 4. Damage to physical assets 5. Business disruption and system failures 6. Clients, products and business practices 7. Execution, delivery and process management |
| C0060 | Basel L2 classification mapping | For completion by undertakings which answer ‘Yes’ in C0010/R0020 or the mapping to Basel L2 exists. Field should be empty if the scenario is higher than level 2 in the classification. The occurrence ‘Other’ can be used in case the risk could be classified in a Level 1 Basel category but there is not a Level 2 one. One of the options in the following closed list shall be used: 1. Internal fraud – Unauthorized activity 2. Internal fraud – Theft and fraud 3. Internal fraud – Other 4. External fraud – Theft and fraud 5. External fraud – Systems security 6. External fraud – Other 7. Employment practices and workspace safety – Employee relations 8. Employment practices and workspace safety – Safe environment 9. Employment practices and workspace safety – Diversity and discrimination 10. Employment practices and workspace safety – Other 11. Damage to physical assets – Disasters and other events 12. Damage to physical assets – Other 13. Business disruption and system failures – Systems 14. Business disruption and system failures – Other 15. Clients, products and business practices – Suitability, disclosure and fiduciary 16. Clients, products and business practices – Improper business or market practices 17. Clients, products and business practices – Product flaws 18. Clients, products and business practices – Selection, sponsorship and exposure 19. Clients, products and business practices – Advisory activities 20. Clients, products and business practices – Other 21. Execution, delivery and process management – Transaction capture, execution and maintenance 22. Execution, delivery and process management – Monitoring and reporting 23. Execution, delivery and process management – Customer intake and documentation 24. Execution, delivery and process management – Customer/client account management 25. Execution, delivery and process management – Trade counterparties 26. Execution, delivery and process management – Vendors and suppliers 27. Execution, delivery and process management – Other |
| C0070 | Probability Distribution | Identify the probability distribution. One of the options in the following closed list shall be used: 1. Poisson-lognormal 2. Lognormal 3. Poisson-Pareto 4. Empirical 5. Pareto 6. Other, please specify 7. Obtained by aggregation of lower levels Item 1 to 6 to be used in case the probability distribution is quantified; item 7 in case the probability distribution is obtained by aggregation of lower level distributions. |
| C0080 | Solvency Capital Requirement | Solvency capital requirement net of risk mitigating contracts per scenario. |
| C0090-C0210 | Percentiles | Percentiles of the loss distribution (losses corresponds to the right tail) net of risk mitigating contracts per scenario. |
| C0220/R0030 | Total undiversified Level 2 | Sum of stand-alone capital requirements contributions for Level 2 operational risks classification. Any lower aggregation level should be already considered. |
| C0220/R0040 | Sum of diversification inside Level 2 items | Difference between the sum of undiversified leaf risks SCR and C0220/R0030. This amount should be reported as a negative value. For example, if the lower level is L3 (the ones quantified with probability distributions), enter the difference between the sum of Level 3 and the sum of Level 2 (standalone). |
| C0220/R0050 | Total undiversified Level 1 | Sum of stand-alone capital requirements contributions for Level 1 operational risks classification (if applicable, net of risk mitigating contracts). Any lower aggregation level should be already considered. |
| C0220/R0060 | Operational risk – diversification between Level 1 items | Difference of C0220/R0050 and C0220/R0070. This amount should be reported as a negative value. |
| C0220/R0070 | Operational risk – diversified | Diversified operational risk capital requirement net of risk mitigating contracts. |
S.26.16 – Internal model – Model Changes
General comments:
This section relates to annual submission of information for individual entities.
The purpose of this template is to collect information on the characteristics of the changes to the model according to the approved model change policy and on how the SCR has moved in an annual reporting period due to these changes, that were implemented in that period. This period may be different from the one determined by the model change policy on the accumulation of minor changes, for instance.
Minor changes to the model should not be double counted within or across reporting periods. Therefore, if a major change includes minor changes or is the accumulation of minor changes, then either:
- — remove the impact of these minor changes in the major change if the minor changes were implemented in a previous reporting period; or
- — include them in the ‘total minor changes’ and remove their effect from the major change due to accumulation of minor change impact.
| ITEM | INSTRUCTIONS | |
| Type of Change | Type of Change | Type of Change |
| C0010 | Major | The information in this row should refer to a major change (in a given reporting period). While several major changes may be batched together for a single approval, they should be separated where there are distinct major changes. Naming convention: Major change 1_Component 1. |
| Change ID | Change ID | Change ID |
| C0020 | Change ID | This change ID should be consistent between the solo and the group submission. It is used to match the solo changes that correspond to the group change for the reporting period. |
| Description of Change | Description of Change | Description of Change |
| C0030 | Date of approval | Identify the ISO 8601 (yyyy–mm–dd) code of the date when approval is granted, according to the decision of the NCA’s concerned. |
| C0040 | Date of submission | Identify the ISO 8601 (yyyy–mm–dd) code of the date when the written application for approval to the NCA’s concerned (for approved changes) was made. |
| C0050 | Description of change to the policy | Briefly describe the nature of the change and what aspects of the model have been changed. |
| C0060 | Change resulting from | One of the options in the following closed list shall be used: 1 – Change in risk profile 2 – Change in input data and assumptions 3 – Change in methodology 4 – Other |
| C0070 | Other categorization and explanation | Describe the categorisation if different from column C0060. If filled-in, then use Other option in column C0060. |
| C0080 | Market risk impact | If the market risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0090 | CREDIT FinInstr risk impact | If the credit risk charge on financial instruments is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0100 | CREDIT NonFinInstr impact | If the credit risk charge on non-financial instruments is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0110 | Non-Life & Health NSLT risk impact | If the non-life & health NSLT risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0120 | Life & Health risk impact | If the life & health risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0130 | Operational risk impact | If the operational risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0140 | Pension risk impact | If the pension risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0150 | Dependency structure and correlation impact | If the diversification benefit due to changes to the dependency structure and/or the correlations is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0160 | Other (free text) | Describe how other modelled contributions (if any) to the SCR were impacted by the model change. |
| C0170 | Change qualification | One of the options in the following closed list shall be used: 1 – Qualitative 2 – Quantitative 3 – Combination of quantitative/qualitative |
| Change Impact | Change Impact | Change Impact |
| C0180 | Total SCR value before change (amount) | Amount of Total SCR (full model run including the standard formula part for partial internal models and diversification benefit) value before the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0190 | Reference date of SCR impact | Identify the ISO 8601 (yyyy–mm–dd) code of the reference date of the SCR impact caused by the model change (major changes only). Specified date given by the NCAs in the approval letter of the major change application from which the approved model can be used to calculate the SCR. |
| C0200 | Total SCR value after change (amount) | Amount of Total SCR (full model run, if necessary, including the standard formula part for partial internal models and diversification benefit) value after the model change as specified in the model change application in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0210 | Total SCR change % | The relative change of total SCR in percentage relative to major changes only. |
| C0220 | Own Funds w/o change (amount) | Total Eligible Own Funds without the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0540/C0010 for solos and S.23.01.04.01 R0660/C0010 for groups. |
| C0230 | Own Funds with change (amount) | Total Eligible Own Funds with the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0540/C0010 for solos and S.23.01.04.01 R0660/C0010 for groups. |
| C0260 | Other trigger | If the level of change in SCR is not the trigger for the major change classification, then describe what criteria is classifying the change as major (only the relevant trigger that triggered the change). |
| C0270 | Other trigger impact (amount) | Impact amount in relation to the trigger in C0260 (other than SCR) |
| C0280 | Other trigger impact % | Percentage impact in relation to the trigger in C0260 (other than SCR) |
| Minor Changes | Minor Changes | Minor Changes |
| C0220 | Own Funds w/o change (amount) | Total Eligible Own Funds without the minor model changes. |
| C0230 | Own Funds with change (amount) | Total Eligible Own Funds without the minor model changes plus the sum of impacts of the minor model changes on the total Eligible Own Funds for this reporting period. |
| C0240 | SCR sum for minor changes increasing SCR | Sum of impacts of only the minor model changes to the total SCR which increased the SCR for this reporting period. The reference SCR value used should be as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0250 | SCR sum for minor changes decreasing SCR | Sum of impacts of only the minor model changes to the total SCR which decreased the SCR, in units of the reporting currency, for this reporting period. The reference SCR value used should be as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0290 | Number of minor changes implemented during the reporting period | Number of minor changes implemented during the reporting period. |
| C0300 | Threshold for accumulation | Threshold for accumulation as specified in the model change policy. |
| C0310 | Reset | State whether one reset of the accumulation of minor changes has occurred in the reporting period: — Internal model minor changes reset occurred in the reporting period — Internal model minor changes reset did not occur in the reporting period. |
| C0320 | Reason for reset | Briefly, state the justification why a reset of the accumulation of minor changes has occurred in the reporting period. |
S.27.01 – Solvency Capital Requirement – Non–life and health catastrophe risk
General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Captive insurance and reinsurance undertakings complying with the conditions specified in Article 4(4) and (5) shall only report tables corresponding to R0001 and R002/C0001 and R0010/C0010 to R0340/C0030.
Template SR.27.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
This template is designed to allow an understanding of how the catastrophe risk module of the SCR has been calculated and what are the main drivers.
For every type of catastrophe risk the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles must be determined. This calculation is prospective and must be based on the reinsurance program of the next reporting year as described in the reinsurance templates for Facultative covers (S.30.01 and S.30.02) and Outgoing reinsurance program in the next reporting year (S.30.03 and S.30.04).
Undertakings need to estimate their recoveries from risk mitigation in line with the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35 and any relevant technical standard. Undertakings shall complete the catastrophe reporting template only to the granularity required to perform this calculation.
Under the non–life and health underwriting risk modules, catastrophe risk is defined as the risk of loss, or of adverse change in the value of insurance liabilities, resulting from significant uncertainty of pricing and provisioning assumptions related to extreme or exceptional events as set out in Article 105(2)(b) and (4)(c) of the Directive 2009/138/EC.
The reported capital requirements reflects the capital requirements before and after risk mitigation which is the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles. The reported capital requirement after risk mitigation is before the loss absorbing capacity of technical provisions. The default value of the risk mitigation shall be reported as a positive value in order to be deducted.
In case the diversification effect reduces the capital requirement the default value of the diversification shall be reported as a negative value.
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