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 | |
| C0010 | Description of subordinated mutual member accounts | This shall list subordinated mutual member accounts for a group. |
| C0020 | Subordinated mutual member accounts – Amount (in reporting currency) | This is the amount of individual subordinated mutual member accounts. |
| C0030 | Subordinated mutual member accounts – Tier | This shall indicate the tier of the subordinated mutual member accounts. One of the options in the following closed list shall be used: 1 – Tier 1 2 – Tier 1 – unrestricted 3 – Tier 1 – restricted 4 – Tier 2 5 – Tier 3 |
| C0040 | Subordinated mutual member accounts – Currency Code | Identify the ISO 4217 alphabetic code of the currency. This is the original currency. |
| C0050 | Subordinated mutual member accounts –issuing entity | This shall indicate whether the issuing entity of the subordinated mutual member accounts is within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. The following closed list shall be used: 1 – Belonging to the same group 2 – Not belonging to the same group |
| C0060 | Subordinated mutual member accounts – Lender (if specific) | Indicate the lender of the mutual member accounts. |
| C0070 | Subordinated mutual member accounts – Counted under transitionals? | This shall indicate whether the subordinated mutual member accounts are counted under the transitional provisions. One of the options in the following closed list shall be used: 1 – Counted under transitionals 2 – Not counted under transitionals |
| C0080 | Subordinated mutual member accounts – Counterparty (if specific) | This shall list the counterparty of the subordinated mutual member accounts |
| C0090 | Subordinated mutual member accounts – Issue date | This is the issue date of the subordinated mutual member accounts. This shall be in ISO8601 format (yyyy–mm–dd). |
| C0100 | Subordinated mutual member accounts – Maturity date | This is the maturity date of the subordinated mutual member accounts. This shall be in ISO8601 format (yyyy–mm–dd). |
| C0110 | Subordinated mutual member accounts – First call date | This is the first call date of the subordinated mutual member accounts. This shall be in ISO8601 format (yyyy–mm–dd). |
| C0120 | Subordinated mutual member accounts – Details of further call dates | These are the further call dates of the subordinated mutual member accounts. |
| C0130 | Subordinated mutual member accounts – Details of incentives to redeem | These are the incentives to redeem the subordinated mutual member accounts. |
| C0140 | Subordinated mutual member accounts – Notice period | This is the notice of the subordinated mutual member accounts. The date shall be entered here, using ISO8601 format (yyyy–mm–dd). |
| C0150 | Subordinated mutual member account – Name of supervisory authority having given authorisation | This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis. |
| C0160 | Subordinated mutual member account – Buy back during the year | Explanation if the item has been bought back during the year. |
| C0170 | Subordinated mutual member accounts – % of the issue held by entities in the group | This is the % of the issue of subordinated mutual member accounts held by entities within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. |
| C0180 | Subordinated mutual member accounts – Contribution to group subordinated mutual member accounts | This is the contribution of the mutual member accounts to total group subordinated mutual member accounts. |
| C0190 | Description of preference shares | This shall list individual preference shares |
| C0200 | Preference shares – Amount | This is the amount of the preference shares. |
| C0210 | Preference shares – Counted under transitionals? | This shall indicate whether the preference shares are counted under the transitional provisions. One of the options in the following closed list shall be used: 1 – Counted under transitionals 2 – Not counted under transitionals |
| C0220 | Preference shares – Counterparty (if specific) | This shall list the holder of the preference shares if limited to a single party. If the shares are broadly issued, no data is required. |
| C0230 | Preference shares – Issue date | This is the issue date of the preference share. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0240 | Preference shares – First call date | This is the first call date of the preference share. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0250 | Preference shares – Details of further call dates | These are the further call dates of the preference shares. |
| C0260 | Preference shares – Details of incentives to redeem | These are the incentives to redeem the preference share. |
| C0270 | Description of subordinated liabilities | This shall list the individual subordinated liabilities for a group. |
| C0280 | Subordinated liabilities –Amount | This is the amount of individual subordinated liabilities. |
| C0290 | Subordinated liabilities – Tier | This shall indicate the tier of the subordinated liabilities. |
| C0300 | Subordinated liabilities – Currency Code | Identify the ISO 4217 alphabetic code of the currency. |
| C0311 | Subordinated liabilities – Issuing entity | This shall indicate the code of the issuing entity of the subordinated liabilities belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. |
| C0320 | Subordinated liabilities – Lender (if specific) | This shall list the lender of the subordinated liabilities if specific. If not specific this item shall not be reported. |
| C0330 | Subordinated liabilities – Counted under transitionals? | This shall indicate whether the subordinated liability is counted under the transitional provisions. One of the options in the following closed list shall be used: 1 – Counted under transitionals 2 – Not counted under transitionals |
| C0340 | Subordinated liabilities – Counterparty of subordinated liabilities – (if specific) | This shall list the counterparty of the subordinated liabilities belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC, if any. If not specific this item shall not be reported. This column is kept for the internal lenders, if any. |
| C0350 | Subordinated liabilities – Issue date | This is the issue date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0360 | Subordinated liabilities – Maturity date | This is the maturity date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0370 | Subordinated liabilities – First call date | This is the first future call date of the subordinated liabilities. This shall be in ISO 8601 format (yyyy–mm–dd). |
| C0380 | Subordinated liabilities – Further call dates | These are the further call dates of the subordinated liabilities. |
| C0390 | Subordinated liabilities – Details of incentives to redeem | These are the details about the incentives to redeem the subordinated liabilities. |
| C0400 | Subordinated liabilities – Notice period | This is the notice of the subordinated liabilities. The date shall be entered here, using ISO8601 format (yyyy–mm–dd). |
| C0430 | Subordinated liabilities – % of the issue held by entities in the group | This is the % of the issue held by any counterparty belonging to the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. |
| C0440 | Subordinated liabilities – Contribution to group subordinated liabilities | This is the value of the subordinated liabilities that is included in the total group subordinated liabilities and that contributes to group own funds. |
| C0450 | Other items approved by supervisory authority as basic own funds not specified above | This shall list the other individual items approved by the supervisory authority for an individual undertaking. |
| C0460 | Other items approved by supervisory authority as basic own funds not specified above –Amount | This is the amount of other individual items approved by the supervisory authority. |
| C0470 | Other items approved by supervisory authority as basic own funds not specified above –Currency code | Identify the ISO 4217 alphabetic code of the currency. |
| C0480 | Other items approved by supervisory authority as basic own funds not specified above – Tier 1 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 1. |
| C0490 | Other items approved by supervisory authority as basic own funds not specified above – Tier 2 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 2. |
| C0500 | Other items approved by supervisory authority as basic own funds not specified above – Tier 3 | This is the amount of other individual items approved by the supervisory authority that meet the criteria for Tier 3. |
| C0510 | Other items approved by supervisory authority as basic own funds not specified above –Date of authorisation | This is the date of authorisation of other individual items approved by the supervisory authority. It shall be in ISO8601 format (yyyy–mm–dd). |
| C0520 | Other items approved by supervisory authority as basic own funds not specified above –Name of supervisory authority having given authorisation for other basic own fund items not specified above | This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis. |
| C0530 | Other items approved by supervisory authority as basic own funds not specified above – Name of entity concerned | This is the name of the entity concerned. |
| C0540 | Other items approved by supervisory authority as basic own funds not specified above –Buy back during the year | Explanation if the item has been bought back. |
| C0550 | Other items approved by supervisory authority as basic own funds not specified above –% of the issue held by entities in the group | This is the % of the issue held by entities within the group in the meaning of Article 212(1)(c) of Directive 2009/138/EC. |
| C0560 | Other items approved by supervisory authority as basic own funds not specified above –Contribution to group other basic own funds | This is the contribution of the other individual items approved by the supervisory authority to group other basic own funds. |
| C0570 | Own funds– from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – Description of item | This cell shall contain a description of the own fund items from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds. |
| C0580 | Own funds from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds – Total amount | This is the total amount of the own fund items from the financial statements that shall not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds. |
| C0590 | Ancillary own funds –Description of ancillary own funds | This is details of each ancillary own fund for an individual undertaking. |
| C0600 | Ancillary own funds – Amount | This is the amount for each ancillary own fund. |
| C0610 | Ancillary own funds – Counterpart | This is the counterpart of each ancillary own fund. |
| C0620 | Ancillary own funds – Issue date | This is the issue date of each ancillary own fund. This shall be in ISO8601 format (yyyy–mm–dd). |
| C0630 | Ancillary own fund – Date of authorisation | This is the date of authorisation of each ancillary own fund. This shall be in 1SO8601 format (yyyy–mm–dd). |
| C0640 | Ancillary own fund – Name of supervisory authority having given authorisation | This is the name of the supervisory authority which has issued the authorisation, with country in parenthesis. |
| C0650 | Ancillary own fund – Name of entity concerned | This is the name of the entity concerned by the ancillary own fund. |
| Adjustment for ring fenced funds and matching adjustment portfolios | Adjustment for ring fenced funds and matching adjustment portfolios | Adjustment for ring fenced funds and matching adjustment portfolios |
| C0660 | Ring–fenced fund/matching adjustment portfolio – Number | Identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| C0670 | Ring–fenced fund/matching adjustment portfolio – Notional SCR | This is the notional SCR of each ring–fenced fund/each matching adjustment portfolio. |
| C0680 | Ring–fenced fund/matching adjustment portfolio – Notional SCR (negative results set to zero) | This is the notional SCR. When the value is negative zero shall be reported. |
| C0690 | Ring–fenced fund/matching adjustment portfolio – Excess of assets over liabilities | This is the amount of excess of assets over liabilities of each ring–fenced fund/matching adjustment portfolio. This value shall reflect any deduction of future transfers attributable to shareholders. |
| C0700 | Ring–fenced fund/matching adjustment portfolio – Future transfers attributable to shareholders | Value of future transfers attributable to shareholders in accordance with Article 80(2) of Delegated Regulation (EU) 2015/35. |
| C0710 | Ring fenced funds/matching adjustment portfolio – Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds | This is the deduction for each ring–fenced fund/matching adjustment portfolio in accordance with Article 81 of Delegated Regulation (EU) 2015/35. |
| RFF/matching adjustment portfolios deduction | RFF/matching adjustment portfolios deduction | RFF/matching adjustment portfolios deduction |
| C0970/R0010 | Ring fenced funds/matching adjustment portfolio – Adjustment for restricted own fund items in respect of matching adjustment portfolios and ring-fenced funds | This is the total deduction for ring–fenced funds and matching adjustment portfolios reported in C0710. |
| Calculation of non available own funds at group level (such a calculation has to be done undertaking by undertaking) | Calculation of non available own funds at group level (such a calculation has to be done undertaking by undertaking) | Calculation of non available own funds at group level (such a calculation has to be done undertaking by undertaking) |
| Non available own funds at group level – exceeding the contribution of solo SCR to group SCR | Non available own funds at group level – exceeding the contribution of solo SCR to group SCR | Non available own funds at group level – exceeding the contribution of solo SCR to group SCR |
| C0720 | Related (Re)insurance undertakings, Insurance Holding Company, Mixed Financial Holding Company, Ancillary services undertakings and SPV included in the scope of the group calculation | Name of undertaking |
| C0730 | Country | ISO 3166–1 alpha–2 code of the country where the entity has its head office |
| C0740 | Contribution of solo SCR to Group SCR | Contribution of solo SCR to group SCR If the method 1 is applied, the contribution of a subsidiary undertaking to the group shall be calculated according to the formula: Image omitted; see official source Where: — SCRi solo is the solo SCR of the parent undertaking and each insurance, reinsurance and intermediate insurance holding and mixed financial holding company over which a dominant influence is exercised and that are included in the SCR fully consolidated — SCRj is the solo SCR of the entity j — the ratio is the proportional adjustment due to the recognition of diversification effects in the part fully consolidated,the value of the ratio is capped to 1. The assessment of non-available own funds shall be made also for own funds in non controlled undertakings taking into account the proportionality principle. For method 2 the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR. |
| C0760 | Non available own funds related to other own fund items approved by supervisory authority | Non available own funds related to other own fund items approved by supervisory authority. |
| C0770 | Non available surplus funds | Non available surplus funds at group level both in EEA and non–EEA (re)insurance undertakings (Article 222(2) to (5) of Directive 2009/138/EC and Article 330 of Delegated Regulation (EU) 2015/35) |
| C0780 | Non available called up but not yet paid in capital | Non available called up but not yet paid in capital at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330 of Delegated Regulation (EU) 2015/35) |
| C0790 | Non available ancillary own funds | Non available ancillary own funds at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0800 | Non available subordinated mutual member accounts | Non available subordinated mutual member accounts at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0810 | Non available preference shares | Non available preference shares at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0820 | Non available Subordinated Liabilities | Non available Subordinated Liabilities at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0830 | An amount equal to the value of non available net deferred tax assets | An amount equal to the value of non available net deferred tax assets at the group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0840 | Non available share premium account related to preference shares | Non available share premium account related to preference shares at group level both in EEA and non–EEA entities (Article 222(2) to (5) of Directive 2009/138/EC and Article 330(3) of Delegated Regulation (EU) 2015/35) |
| C0841 | Non-available own funds in the reconciliation reserve | Non-available own funds related to own-funds in the reconciliation reserve |
| C0842 | Total non-available own funds | Total of non-available own funds identified after the availability assessment at group level, in accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets). |
| C0850 | Total non available own funds to be deducted | Total non-available own funds to be deducted at group level. In accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets). The part of such own funds that exceeds the contribution of the related undertaking to the group SCR cannot be considered as available for covering the group SCR. If the total amount of such own funds in C0842 does not exceed the contribution of the related undertaking to the group SCR, this deduction in C0850 is not needed as part of the calculation. |
| C0851 | Non-Available Minority interests | Minority interest at group level when method 1 is applied, in subsidiary EEA and non-EEA (re)insurance undertakings, insurance holding companies, mixed financial holding companies or ancillary services undertakings (Article 330(4) of Delegated Regulation (EU) 2015/35) |
| C0750 | Non-Available Minority interests to be deducted from the group own funds | Non available minority interests to be deducted from the group own funds, when the method 1 is applied, that is any minority interests in the eligible own funds (after considering the deduction of non available own funds in C0850) of (re) insurance subsidiary exceeding the contribution of the solo SCR to the group SCR. (Article 330(4) of Delegated Regulation (EU) 2015/35) |
| C0870 | Non-available own funds related to other own fund items approved by supervisory authority | This is the total amount for non-available own funds related to other own fund items approved by supervisory authority at group level |
| C0880 | Non-available surplus funds | This is the overall total amount of non-available surplus funds at group level. |
| C0890 | Non-available called but not paid in capital | This is the total overall amount of non-available called but not paid in capital at group level. |
| C0900 | Non-available ancillary own funds | This is the total overall amount of non-available ancillary own funds at group level. |
| C0910 | Non-available subordinated mutual member accounts | This is the total overall amount of non-available subordinated mutual member accounts at group level |
| C0920 | Non-available preference shares | This is the total overall amount of non-available preference shares at group level. |
| C0930 | Non available Subordinated Liabilities | This is the total overall amount of non-available subordinated liabilities at group level. |
| C0940 | An amount equal to the value of non-available net deferred tax assets | This is the total overall amount equal to the value of non-available net deferred tax assets at the group level |
| C0950 | Non-available share premium account related to preference shares | This is the total overall amount of non-available share premium account related to preference shares at group level |
| C0951 | Non-available own funds in the reconciliation reserve | This is the total of non-available own funds related to own funds in the reconciliation reserve at group level. |
| C0962 | Total non-available own funds | Total of non-available own funds identified after the availability assessment at group level, in accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets). |
| C0960 | Total non-available own funds to be deducted | This is the total overall amount of non-available own funds to be deducted from the group own funds. In accordance with Article 222(4) of Directive 2009/138/EC, the total non available own funds is calculated, undertaking by undertaking, by adding up own funds indicated in Article 222(2) of Directive 2009/138/EC (i.e. surplus funds and any subscribed but not paid–up capital) and in Article 330 of Delegated Regulation (EU) 2015/35 (e.g. ancillary own funds, preferences shares, subordinated mutual member account, subordinated liabilities and the value of net deferred tax assets). The part of such own funds that exceeds the contribution of the related undertaking to the group SCR cannot be considered as available for covering the group SCR. If the total amount of such own funds in C0842 does not exceed the contribution of the related undertaking to the group SCR, this deduction in C0850 is not needed as part of the calculation. |
| C0861 | Minority interests | This is the overall total amount of minority interests at group level |
| C0860 | Minority interests to be deducted from the group own funds | This is the overall total amount of minority interests to be deducted at group level. |
S.25.01 – Solvency Capital Requirement – for groups on Standard Formula
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.25.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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 template S.01.03.
Template SR.25.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
Where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the notional Solvency Capital Requirement (‘nSCR’) at risk module level and the loss–absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:
- — Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level the nSCR is calculated as if no loss of diversification exists and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
- — Where the undertaking applies the Simplification at risk sub–module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at sub–module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
- — Where the undertaking applies the simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part.
The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0050) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk). The amount to be allocated to each relevant risk module shall be calculated as follows:
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 (C0040/R0100) |
| — | nSCRint | = | nSCR for intangible assets risk according to the information reported in this template (C0040/R0070) |
- — Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk)
For group reporting the following specific requirements shall be met:
- a) The information until R0460 is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
- b) When combination method is being used, the information until R0460 is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.
| ITEM | INSTRUCTIONS | |
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7) of Solvency II, to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used: 1 – Article 112(7) reporting 2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used: 1 – RFF/MAP 2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010–R0050/C0030 | Net solvency capital requirement | Amount of the net capital charge for each risk module, as calculated using the standard formula. The difference between the net and the gross SCR is the consideration of the future discretionary benefits in accordance with Article 205 of Delegated Regulation (EU) 2015/35. This amount shall fully consider diversification effects in accordance with Article 304 of Directive 2009/138/EC where applicable. These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification. |
| R0010–R0050/C0040 | Gross solvency capital requirement | Amount of the gross capital charge for each risk module, as calculated using the standard formula. The difference between the net and the gross SCR is the consideration of the future discretionary benefits as laid down in Article 206 of Delegated Regulation (EU) 2015/35. This amount shall fully consider diversification effects as laid down in Article 304 of Directive 2009/138/EC where applicable. These cells do not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification. |
| R0010–R0050/C0050 | Allocation of RFF adjustment due to RFF and Matching adjustments portfolios | Part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive. |
| R0060/C0030 | Net solvency capital requirement – Diversification | Amount of the diversification effects between Basic SCR of net risk modules, including diversification within each risk module, due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC. This amount shall be reported as a negative value. |
| R0060/C0040 | Gross solvency capital requirement – Diversification | Amount of the diversification effects between Basic SCR of gross risk modules, including diversification within each risk module, due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC. This amount shall be reported as a negative value. |
| R0070/C0030 | Net solvency capital requirement – Intangible asset risk | Amount of the capital charge, after the adjustment for the loss–absorbing capacity of technical provisions, for intangible assets risk, as calculated using the standard formula. |
| R0070/C0040 | Gross solvency capital requirement – Intangible assets risk | The future discretionary benefits in accordance with Article 205 of Delegated Regulation (EU) 2015/35 for intangible assets risk is zero under standard formula hence R0070/C0040 equals R0070/C0030. |
| R0100/C0030 | Net solvency capital requirement – Basic Solvency Capital Requirement | Amount of the basic capital requirements, after the consideration of future discretionary benefits as laid down in Article 206 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula. This amount shall fully consider the diversification effects referred to in Article 304 of Directive 2009/138/EC where applicable. This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification. This amount shall be calculated as a sum of the net capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula. |
| R0100/C0040 | Gross solvency capital requirement – Basic Solvency Capital Requirement | Amount of the basic capital requirements, before the consideration of future discretionary benefits referred to in Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula. This amount shall fully consider diversification effects as laid down in Article 304 of Directive 2009/138/EC where applicable. This cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. These figures represent the SCR as if there was no loss of diversification. This amount shall be calculated as a sum of the gross capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula |
| Calculation of Solvency Capital Requirement | ||
| R0120/C0100 | Adjustment due to RFF/MAP nSCR aggregation | Adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level. This amount shall be positive. |
| R0130/C0100 | Operational risk | Amount of the capital requirements for operational risk module as calculated using the standard formula. |
| R0140/C0100 | Loss–absorbing capacity of technical provisions | Amount of the adjustment for loss–absorbing capacity of technical provisions calculated in accordance with the standard formula. This amount shall be reported as a negative value. At RFF/MAP level and at entity level where there are no RFF (other than those under Article 304 of Directive 2009/138/EC) nor MAP it is the maximum between zero and the amount corresponding to the minimum between the amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance and the difference between gross and net basic solvency capital requirement. Where there are RFF (other than those under Article 304 of Directive 2009/138/EC) or MAP, this amount shall be calculated as the sum of the loss–absorbing capacity of technical provisions of each RFF/MAP and remaining part, taking into account the net future discretionary benefits as a top limit. |
| R0150/C0100 | Loss–absorbing capacity of deferred taxes | Amount of the adjustment for loss–absorbing capacity of deferred taxes calculated according to the standard formula. This amount shall be negative. |
| R0160/C0100 | Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC | Amount of the capital requirement, calculated in accordance with the rules stated in Article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under Article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period. |
| R0200/C0100 | Solvency Capital Requirement calculated on the basis of Art. 336 (a) of Delegated Regulation (EU) 2015/35, excluding capital add–on | Amount of the SCR, before any capital add–on, calculated in accordance with Article 336 (a), i.e. on the basis of consolidated data as referred to in Article 335(1) points (a), (b) and (c) of the Delegated Regulation (EU) 2015/35 including data of controlled collective investment undertakings and investments packaged as funds. |
| R0210/C0100 | Capital add-ons already set | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0211/C0100 | of which, capital add–ons already set – Article 37(1) Type a | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0212/C0100 | of which, capital add–ons already set – Article 37(1) Type b | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0213/C0100 | of which, capital add–ons already set – Article 37(1) Type c | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0214/C0100 | of which, capital add–ons already set – Article 37(1) Type d | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0220/C0100 | Consolidated Group SCR | Amount of the Solvency Capital Requirement for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC. It shall include all components of the consolidated group SCR; SCR calculated on the basis of consolidated data (R0200), including capital add-ons (R0210), and including capital requirements of undertakings from other financial sectors (R0500), capital requirement for non-controlled participation requirements (R0540), capital requirement for residual undertakings (R0550) and capital requirements for collective investment undertakings or investments packaged as funds (R0555). |
| Other information on SCR | ||
| R0400/C0100 | Capital requirement for duration–based equity risk sub–module | Amount of the capital requirement for duration–based equity risk sub–module. |
| R0410/C0100 | Total amount of notional Solvency Capital Requirements for remaining part | Amount of the notional SCRs of remaining part when group has RFF. |
| R0420/C0100 | Total amount of notional Solvency Capital Requirements for ring–fenced funds | Amount of the sum of notional SCRs of all ring-fenced funds when group has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)). |
| R0430/C0100 | Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios | Amount of the sum of notional SCRs of all matching adjustment portfolios. |
| R0440/C0100 | Diversification effects due to RFF nSCR aggregation for Article 304 | Amount of the adjustment for a diversification effect between ring–fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable. |
| R0450/C0100 | Method used to calculate the adjustment due to RFF/MAP nSCR aggregation | Method used to calculate the adjustment due to RFF nSCR aggregation. One of the options in the following closed list shall be used: 1 – Full recalculation 2 – Simplification at risk sub–module level 3 – Simplification at risk module level 4 – No adjustment When the group has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4. |
| R0460/C0100 | Net future discretionary benefits | Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance. |
| R0470/C0100 | Minimum consolidated group solvency capital requirement | Amount of the minimum consolidated group Solvency Capital Requirement as stated in Article 230 of Directive 2009/138/EC. |
| R0500/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) | Amount of capital requirement for other financial sectors. R0500 is expected to be equal to the sum of R0510, R0520 and R0530. This item is only applicable to group reporting where the group includes an undertaking which is subject to non–insurance capital requirements, such as a bank, and is the capital requirement calculated in accordance with the appropriate requirements. |
| R0510/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) – Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies | Amount of capital requirement for credit institutions, investment firms and financial institutions. This item is only applicable to group reporting where the group includes undertakings which are credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies and they are subject to capital requirements, calculated in accordance with the relevant sectoral rules. |
| R0520/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) – Institutions for occupational retirement provisions | Amount of capital requirement for institutions for occupational retirement provisions. This item is only applicable to group reporting where the group includes undertaking which are institutions for occupational retirement provision and subject to non–insurance capital requirements calculated in accordance with the relevant sectoral rules. |
| R0530/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) – Capital requirement for non–regulated undertakings carrying out financial activities | Amount of capital requirement for non-regulated undertakings carrying out financial activities. This figure represents a notional solvency requirement, calculated if the relevant sectoral rules were to be applied. This item is only applicable to group reporting where the group includes undertakings which are non – regulated undertakings carrying out financial activities. |
| R0540/C0100 | Capital requirement for non–controlled participations | Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies or mixed financial holding companies which are not subsidiaries, in accordance with Article 336(1)(b) of Delegated Regulation (EU) 2015/35. This item is only applicable to group reporting and corresponds, for those entities which are not subsidiaries, to the capital requirement calculated in accordance with Solvency 2. |
| R0550/C0100 | Capital requirement for residual undertakings | Amount determined in accordance with Article 336(1)(d) of Delegated Regulation (EU) 2015/35. |
| R0555/C0100 | Capital requirement for collective investment undertakings or investments packaged as funds | Amount determined in accordance with Article 336(1)(e) of Delegated Regulation (EU) 2015/35. |
| R0560/C0100 | SCR for undertakings included via D&A method | Amount of the Solvency Capital Requirement for undertakings included under method 2 as defined in Article 233 of Directive 2009/138/EC when the combination of methods is used. |
| R0570/C0100 | Total group Solvency capital requirement | Overall SCR for all undertakings regardless of the method used. The total group solvency capital requirement is expected to be equal to the sum of R0220 and R0560. In case the minimum consolidated group SCR (R0470) is higher than the Consolidated group SCR (R0220), then the total group solvency capital requirement is expected to be equal to the sum of R0470 and R0560. |
S.25.05 – Solvency Capital Requirement – for groups using an internal model (partial or full)
General comments:
This Annex contains additional instructions in relation to the templates included in Annex I of this Regulation. The first column of the next table identifies the items to be reported by identifying the columns and lines as showed in the template in Annex I.
This annex relates to opening and annual submission of information for groups, 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 groups.
The purpose of this template is to collect data on an aggregate level and show diversification benefits between separate risk modules. All values should be reported before any tax effects unless otherwise stated.
For group reporting the following specific requirements shall be met:
- a) The information until R0470 (S.25.05.04.02) is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
- b) When combination method is being used, the information until R0470 (S.25.05.04.02) is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.
Template SR.25.05 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
Partial internal model:
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.25.05 shall be reported by ring-fenced fund, matching adjustment portfolio and the remaining part for every group under a partial internal model. This includes undertakings where a partial internal model is applied to a full ring-fenced fund and/or matching adjustment portfolio while the other ring-fenced funds and/or matching adjustment portfolios are under the standard formula. This template should be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.
For those groups 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 (C0050) 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
— nSCRint= 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 model:
Template SR.25.05 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every group 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.
| ITEM | INSTRUCTIONS | |
| Z0020 | Ring-fenced fund, matching adjustment portfolio or Remaining Part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used: 1 – RFF/MAP 2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. When item Z0020 = 2, then report ‘0’ |
| C0010/R0020 | Total diversification | Amount of the diversification effects between risk modules. This amount should be reported as a negative value. |
| C0010/R0030 | Total diversified risk before tax | Amount of diversified capital charges before tax. Same as S.26.08.04 C0010/R0030. |
| C0010/R0040 | Total diversified risk after tax | Amount of diversified capital charges after tax. Same as S.26.08.04 C0010/R0040. |
| C0010/R0070 | Total market & credit risk | Same as S.26.08.04 C0010/R0070. |
| C0010/R0080 | Market & Credit risk – diversified | Same as S.26.08.04 C0010/R0080. |
| C0010/R0190 | Credit event risk not covered in market & credit risk | Same as S.26.08.04 C0010/R0190. |
| C0010/R0200 | Credit event risk not covered in market & credit risk – diversified | Same as S.26.08.04 C0010/R0200. |
| C0010/R0270 | Total Business risk | Same as S.26.08.04 C0010/R0270. |
| C0010/R0280 | Total Business risk – diversified | Same as S.26.08.04 C0010/R0280. |
| C0010/R0310 | Total Net Non-life underwriting risk | Same as S.26.08.04 C0010/R0310. |
| C0010/R0320 | Total Net Non-life underwriting risk – diversified | Same as S.26.08.04 C0010/R0320. |
| C0010/R0400 | Total Life & Health underwriting risk | Same as S.26.08.04 C0010/R0400. |
| C0010/R0410 | Total Life & Health underwriting risk – diversified | Same as S.26.08.04 C0010/R0410. |
| C0010/R0480 | Total Operational risk | Same as S.26.08.04 C0010/R0480. |
| C0010/R0490 | Total Operational risk – diversified | Same as S.26.08.04 C0010/R0490. |
| C0010/R0500 | Other risk | Same as S.26.08.04 C0010/R0500. |
| C0050/R0020-R0530 | Allocation from adjustments due to RFF and Matching adjustment portfolios | Where applicable, part of the adjustment allocated to each risk module and submodule according to the procedure described in the general comments. This amount shall be positive. Applicable only for partial internal models. |
| C0060/R0020-R0530 | Consideration of the future management actions regarding technical provisions and/or deferred taxes | To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation. The following closed list of options shall be used: 1 – Future management actions regarding the loss-absorbing capacity of technical provisions embedded within the component 2 – Future management actions regarding the loss-absorbing capacity of deferred taxes embedded within the component 3 – Future management actions regarding the loss-absorbing capacity of technical provisions and deferred taxes embedded within the component 4 – No embedded consideration of future management actions. |
| C0070/R0020-R0530 | Amount modelled | For each component, this cell represents the amount calculated according to the partial internal model. Applicable only for partial internal models. |
| R0110/C0100 | Total undiversified components | Sum of all components. |
| R0060/C0100 | Diversification | The total amount of the diversification among components reported in C0030. This amount does not include diversification effects inside each component, which shall be embedded in the values reported in C0030. This amount should be reported as negative value. |
| R0120/C0100 | Adjustment due to RFF/MAP nSCR aggregation | When applicable, adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level. Applicable only for partial internal models. |
| R0160/C0100 | Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC | Amount of the capital requirement, calculated in accordance with the rules stated in Article 17 of Directive 2003/41/EC, for ring-fenced funds relating to pension business operated under Article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period. |
| R0200/C0100 | Solvency Capital Requirement calculated on the basis of Art. 336 (a) of Delegated Regulation (EU) 2015/35, excluding capital add–on | Amount of the SCR, before any capital add–on, calculated in accordance with Article 336 (a), i.e. on the basis of consolidated data as referred to in Article 335(1) points (a), (b) and (c) of the Delegated Regulation (EU) 2015/35 including data of controlled collective investment undertakings and investments packaged as funds. |
| R0210/C0100 | Capital add–ons already set | Amount of capital add–on that had been set at the reporting reference date. It does not include capital add–ons set between that date and the submission of the data to the supervisory authority. |
| R0211/C0100 | Of which, capital add-ons already set – Article 37(1) Type a | Amount of type (a) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It does not include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0212/C0100 | Of which, capital add-ons already set – Article 37(1) Type b | Amount of type (b) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0213/C0100 | Of which, capital add-ons already set – Article 37(1) Type c | Amount of type (c) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0214/C0100 | Of which, capital add-ons already set – Article 37(1) Type d | Amount of type (d) capital add-on in accordance with Article 37(1) of Directive 2009/138/EC (2014/51/EU) that had been set at the reporting reference date. It doesnot include capital add-ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data. |
| R0220/C0100 | Consolidated Group SCR | Overall capital requirement including capital add-ons for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC. It shall include all components of the consolidated SCR, including capital requirements of undertakings from other financial sectors, capital requirement for non-controlled participation, capital requirement for residual undertakings and capital requirement for collective investment undertakings or investments packaged as funds. |
| Other information on SCR | Other information on SCR | Other information on SCR |
| R0300/C0100 | Amount/estimate of the overall loss-absorbing capacity of technical provisions | Amount/Estimate of the overall adjustment for loss-absorbing capacity of technical provisions, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount. |
| R0310/C0100 | Amount/estimate of the loss absorbing capacity for deferred taxes | Amount/Estimate of the overall adjustment for deferred taxes, including the part embedded in the components and the part reported as a single component. This amount shall be reported as a negative amount. |
| R0400/C0100 | Capital requirement for duration-based equity risk sub-module | Amount of the capital requirement for duration-based equity risk sub-module. Applicable only for partial internal models. |
| R0410/C0100 | Total amount of notional Solvency Capital Requirements for remaining part | Amount of the notional SCRs of remaining part when undertaking has RFF. |
| R0420/C0100 | Total amount of Notional Solvency Capital Requirements for ring-fenced funds | Amount of the sum of notional SCRs of all ring-fenced funds when undertaking has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)). |
| R0430/C0100 | Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios | Amount of the sum of notional SCRs of all matching adjustment portfolios This item does not have to be reported when reporting SCR calculation at RFF or matching adjustment portfolio level. |
| R0440/C0100 | Diversification effects due to RFF nSCR aggregation for Article 304 | Amount of the adjustment for a diversification effect between ring fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable. It shall be equal to the difference between the sum of the nSCR for each RFF/MAP/RP and the SCR reported in R0200/C0100. |
| R0450/C0100 | Method used to calculate the adjustment due to RFF nSCR aggregation | Method used to calculate the adjustment due to RFF nSCR aggregation. One of the following options shall be used: 1 – Full recalculation 2 – Simplification at risk sub-module level 3 – Simplification at risk module level 4 – No adjustment When the undertaking has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4. Applicable only for partial internal models. |
| R0460/C0100 | Net future discretionary benefits | Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance. |
| R0470/C0100 | Minimum consolidated group solvency capital requirement | Amount of the minimum consolidated group Solvency Capital Requirement as stated in art. 230 of Directive 2009/138/EC. This item is applicable to group reporting only. |
| R0500/C0100 | Capital requirement for other financial sectors (Non-insurance capital requirements) | Amount of capital requirement for other financial sectors. This item is only applicable to group reporting where the group includes an undertaking which is subject to non-insurance capital requirements, such as a bank, and is the capital requirement calculated in accordance with the appropriate requirements. |
| R0510/C0100 | Capital requirement for other financial sectors (Non-insurance capital requirements) – Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies | Amount of capital requirement for credit institutions, investment firms and financial institutions. This item is only applicable to group reporting where the group includes undertakings which are credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies and they are subject to capital requirements, calculated in accordance with the relevant sectoral rules. |
| R0520/C0100 | Capital requirement for other financial sectors (Non-insurance capital requirements) – Institutions for occupational retirement provisions | Amount of capital requirement for institutions for occupational retirement provisions. This item is only applicable to group reporting where the group includes undertaking which are institutions for occupational retirement provision and subject to non-insurance capital requirements calculated in accordance with the relevant sectoral rules. |
| R0530/C0100 | Capital requirement for other financial sectors (Non-insurance capital requirements) – Capital requirement for non-regulated undertakings carrying out financial activities | Amount of capital requirement for non-regulated undertakings carrying out financial activities. This figure represents a notional solvency requirement, calculated if the relevant sectoral rules were to be applied. This item is only applicable to group reporting where the group includes undertakings which are non-regulated entities carrying out financial activities. |
| R0540/C0100 | Capital requirement for non-controlled participation | Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies or mixed financial holding companies which are not subsidiaries. |
| R0550/C0100 | Capital requirement for residual undertakings | Amount determined in accordance with Article 336(1)(d) of Delegated Regulation (EU) 2015/35. |
| R0555/C0100 | Capital requirement for collective investment undertakings or investments packaged as funds | Amount determined in accordance with Article 336(1)(e) of Delegated Regulation (EU) 2015/35. |
| R0560/C0100 | SCR for undertakings included via D&A method | Amount of the Solvency Capital Requirement for undertakings included under method 2 as defined in Article 233 of Directive 2009/138/EC when the combination of methods is used. |
| R0570/C0100 | Total group Solvency capital requirement | Overall SCR for all undertakings regardless of the method used. The total group solvency capital requirement is expected to be equal to the sum of R0220 and R0560. In case the minimum consolidated group SCR (R0470) is higher than the Consolidated group SCR (R0220), then the total group solvency capital requirement is expected to be equal to the sum of R0470 and R0560. |
S.26.01 – Solvency Capital Requirement – Market risk
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
The template S.26.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where 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.
Template S.26.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
For group reporting the following specific requirements shall be met:
- a) This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
- b) When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
- c) This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
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