LegalizeCommission Implementing Regulation (EU) 2023/894 of 4 April 2023 laying down implementing technical standards for the application of Directive 2009/138/EC of the European Parliament and the Council with regard to the templates for the submission by insurance and reinsurance undertakings to their supervisory authorities of information necessary for their supervision and repealing Implementing Regulation (EU) 2015/2450 (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| ITEM | INSTRUCTIONS | |
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used: 1 – Article 112(7) reporting 2 – Regular reporting |
| Z0020 | Ring Fenced Fund/Matching adjustment portfolios/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/C0010 | Simplifications | Identify whether an undertaking used simplifications for the calculation of counter party default risk. The options in the following closed list shall be used: 3 – Simplification pooling arrangements, for the purposes of Article 109 4 – Simplification grouping single name exposures, for the purposes of Article 110 5 – Simplification of the LGD for reinsurance arrangements, for the purposes of Article 112a 6 – Simplification for type 1 exposures, for the purposes of Article 112b 7 – Simplification for the risk-mitigating effect of reinsurance arrangements, for the purposes of Article 111 9 – Simplifications not used Options 3 to 7 may be used simultaneously. Where R0010/C0010 = 4 or 6, for Type 1 exposures, only R0100/C0080 shall be filed in for R0100 |
| R0100/C0080 | Type 1 exposures – Gross solvency capital requirement | This is the gross capital charge (before the application of the adjustment for the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 1 exposures. Where R0010/C0010 = 4 or 6, this item shall represent the Gross solvency capital requirement using simplifications. |
| R0110–R0200/C0020 | Name of single name exposure | Describe the name of the 10 largest single exposures. |
| R0110–R0200/C0030 | Code of single name exposure | Identification code using the Legal Entity Identifier (LEI) if available. If not available this item shall not be reported |
| R0110–R0200/C0040 | Type of code of the single name exposure | Identification of the code used in item ‘Code of single name exposure’. One of the options in the following closed list shall be used: 1 – LEI 9 – None |
| R0110–R0200/C0050 | 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 exposure. |
| R0110–R0200/C0060 | Type 1 exposures – Single name exposure X – Probability of Default | The Probability of Default for each of the 10 largest single name exposure. |
| R0300/C0080 | Type 2 exposures – Gross solvency capital requirement | This is the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk arising from all Type 2 exposures, as defined for Solvency II purposes |
| R0310/C0050 | Type 2 exposures – Receivables from Intermediaries due for more than 3 months – Loss Given Default | This is the value of Loss Given Default for Type 2 counterparty risk arising from intermediaries due for more than 3 months. |
| R0320/C0050 | Type 2 exposures – All type 2 exposures other than receivables from Intermediaries due for more than 3 months – Loss Given Default | This is the value of Loss Given Default for Type 2 counterparty risk arising from all type 2 exposures other than receivables from Intermediaries due for more than 3 months. |
| R0330/C0080 | Diversification within counterparty default risk module – gross solvency capital requirement | 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. |
| R0400/C0070 | Total net solvency capital requirement for counterparty default risk | This is the total amount of the net capital charge (after the loss–absorbency capacity of technical provisions) for counterparty default risk. |
| R0400/C0080 | Total gross solvency capital requirement for counterparty default risk | This is the total amount of the gross capital charge (before the loss–absorbency capacity of technical provisions) for counterparty default risk. |
| Further details on mortgages | ||
| R0500/C0090 | Losses stemming from type 2 mortgage loans | Amount of the overall losses stemming from mortgage loans that has been classified as type 2 exposures according to Article 191(13) of Delegated Regulation (EU) 2015/35. |
| R0510/C0090 | Overall losses stemming from mortgage loans | Amount of the overall losses stemming from mortgage loans according to Article 191(13) of Delegated Regulation (EU) 2015/35. |
S.26.03 – Solvency Capital Requirements – Life underwriting risk
General comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.03 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 SR.26.03 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).
All values shall be reported net of reinsurance and other risk mitigating techniques.
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.
| ITEM | INSTRUCTIONS | |
| Z0010 | Article 112 | Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used: 1 – Article 112(7) reporting 2 – Regular reporting |
| Z0020 | Ring–fenced fund, matching adjustment portfolio or remaining part | Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used: 1 – RFF/MAP 2 – Remaining part |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Simplifications used: mortality risk | Identify whether an undertaking within the scope of group supervision used simplifications for a calculation of mortality risk. The following options shall be used: 1 – Simplifications used 2 – Simplifications not used If R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0100. |
| R0020/C0010 | Simplifications used – longevity | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of longevity risk. The following options shall be used: 1 – Simplifications used 2 – Simplifications not used If R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0200. |
| R0030/C0010 | Simplifications used: disability– morbidity risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of disability – morbidity risk. The following options shall be used: 1 – Simplifications used 2 – Simplifications not used If R0030/C0010 = 1, only C0060 and C0080 shall be filled in for R0300. |
| R0040/C0010 | Simplifications used – life lapse risk | Identify whether an undertaking within the scope of group for the SCR calculation used simplifications for the calculation of lapse risk. The following options shall be used: 1 – Simplification for the purposes of Article 95 2 – Simplification for the purposes of Article 95a 9 – Simplifications not used Options 1 and 2 may be used simultaneously. Where R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420. |
| R0050/C0010 | Simplifications used: life expense risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of life expense risk. The following options shall be used: 1 – Simplifications used 2 – Simplifications not used If R0050/C0010 = 1, only C0060 and C0080 shall be filled in for R0500. |
| R0060/C0010 | Simplifications used: life catastrophe risk | Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of life catastrophe risk. The following options shall be used: 1 – Simplifications used 2 – Simplifications not used If R0060/C0010 = 1, only C0060 and C0080 shall be filled in for R0700. |
| Life underwriting risk | ||
| R0100/C0020 | Initial absolute values before shock – Assets – Mortality risk | This is the absolute value of the assets sensitive to mortality risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0030 | Initial absolute values before shock – Liabilities – Mortality risk | This is the absolute value of liabilities sensitive to mortality risk, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0040 | Absolute values after shock – Assets – Mortality risk | This is the absolute value of the assets sensitive to mortality risk after the shock (i.e. permanent increase in mortality rates). Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0100/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Mortality risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to risk, after the shock (i.e. permanent increase in mortality rates). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0060 | Absolute value after shock – Net solvency capital requirement – Mortality risk | This is the net capital charge for mortality risk after the shock (after adjustment for the loss absorbing capacity of technical provisions). If R0010/C0010 = 1, this item represents net capital charge for mortality risk calculated using simplifications. |
| R0100/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Mortality risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to mortality risk, after the shock (permanent increase in mortality rates). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0100/C0080 | Absolute value after shock – Gross solvency capital requirement – Mortality risk | This is the gross capital charge for mortality risk. (before the loss absorbing capacity of technical provisions) If R0010/C0010 = 1, this item represents gross capital charge for mortality risk calculated using simplifications. |
| R0200/C0020 | Initial absolute values before shock – Assets – Longevity risk | This is the absolute value of the assets sensitive to longevity risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0030 | Initial absolute values before shock – Liabilities – Longevity risk | This is the absolute value of liabilities sensitive to longevity risk charge, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0040 | Absolute values after shock – Assets – Longevity risk | This is the absolute value of the assets sensitive to longevity risk, after the shock (i.e. permanent decrease in mortality rates). Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0200/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Longevity risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions sensitive to longevity risk, after the shock (i.e. permanent decrease in mortality rates). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0060 | Absolute value after shock – Net solvency capital requirement – Longevity risk | This is the net capital charge for longevity risk after the shock (after adjustment for the loss absorbing capacity of technical provisions). If R0020/C0010 = 1, this item represents net capital charge for longevity risk calculated using simplifications |
| R0200/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Longevity risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to longevity risk charge, after the shock (permanent decrease in mortality rates. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0200/C0080 | Absolute value after shock – Gross solvency capital requirement – Longevity risk | This is the gross capital charge for longevity risk (before the loss absorbing capacity of technical provisions). If R0020/C0010 = 1, this item represents gross capital charge for longevity risk calculated using simplifications. |
| R0300/C0020 | Initial absolute values before shock – Assets – Disability – morbidity risk | This is the absolute value of the assets sensitive to disability – morbidity risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0030 | Initial absolute values before shock – Liabilities – Disability– morbidity risk | This is the absolute value of liabilities sensitive to disability – morbidity risk, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0040 | Absolute values after shock – Assets – Disability – morbidity risk | This is the absolute value of the assets sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula: an increase in disability and morbidity rates which are used in calculation of technical provisions to reflect the disability and morbidity experience in the next following 12 months, and for all months after the following 12 months and a decrease in the disability and morbidity rates recovery rates used in the calculation of technical provisions in respect of next 12 months and for all year thereafter. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0300/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Disability – morbidity risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula, see description provided in definition to cell R0300/C0040). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0060 | Absolute value after shock – Net solvency capital requirement – Disability – morbidity risk | This is the net capital charge for disability – morbidity risk, after adjustment for the loss absorbing capacity of technical provisions. If R0030/C0010 = 1, this item represents net capital charge for disability and morbidity risk calculated using simplifications. |
| R0300/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Disability – morbidity risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to disability – morbidity risk, after the shock (i.e. as prescribed by standard formula, see description provided in definition to cell R0300/C0040). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0300/C0080 | Absolute value after shock – Gross solvency capital requirement – Disability – morbidity risk | This is the gross capital charge for disability – morbidity risk (before the loss absorbing capacity of technical provisions). If R0030/C0010 = 1, this item represents gross capital charge for disability and morbidity risk calculated using simplifications. |
| R0400/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk | This is the overall net capital charge for lapse risk, after adjustment for the loss absorbing capacity of technical provisions. If R0040/C0010 = 1, this item represents net capital charge for lapse risk calculated using simplifications. |
| R0400/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk | This is the overall gross capital charge (before the loss–absorbing capacity of technical provisions) for lapse risk. If R0040/C0010 = 1, this item represents gross capital charge for lapse risk calculated using simplifications. |
| R0410/C0020 | Initial absolute values before shock – Assets – Lapse risk– risk of increase in lapse rates | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0030 | Initial absolute values before shock – Liabilities – Lapse risk – risk of increase in lapse rates | This is the absolute value of liabilities sensitive to the risk of an increase in lapse rates, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0040 | Absolute values after shock – Assets – Lapse risk –risk of increase in lapse rates | This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase in the lapse rates). Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – risk of increase in lapse rates | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase in the lapse rates). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – risk of increase in lapse rates | This is the net capital charge for the risk of a permanent increase in lapse rates, after adjustment for the loss absorbing capacity of technical provisions. If R0040/C0010 = 1, this item represents net capital charge for a permanent increase in lapse rates, calculated using simplified calculation for lapse rate. |
| R0410/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions – Lapse risk – risk of increase in lapse rates) | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent increase in lapse rates, after the shock (permanent increase in lapse rates). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0410/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – risk of increase lapse rates | This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for the risk of a permanent increase in lapse rates. If R0040/C0010 = 1, this item represents gross capital charge for a permanent increase in lapse rates, calculated using simplified calculation for lapse rate. |
| R0420/C0020 | Initial absolute values before shock – Assets – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0030 | Initial absolute values before shock – Liabilities – Lapse risk – risk of decrease in lapse rates | This is the absolute value of liabilities sensitive to the risk of a permanent decrease in lapse rates, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0040 | Absolute values after shock – Assets – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse rates). Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0420/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – risk of decrease in lapse rates | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease of the rates of lapse rates). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – risk of decrease in lapse rates | This is the net capital charge for the risk of a permanent decrease in lapse rates, after adjustment for the loss absorbing capacity of technical provisions. If R0040/C0010 = 1, this item represents net capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate. |
| R0420/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions)– Lapse risk – risk of decrease in lapse rates | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (permanent decrease in lapse rates). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0420/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – risk of decrease in lapse rates | This is the gross capital charge for the risk of a decrease in lapse rates as used to compute the risk (before the loss absorbing capacity of technical provisions). If R0040/C0010 = 1 and/or 2, this item represents gross capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate |
| R0430/C0020 | Initial absolute values before shock – Assets – Lapse risk– mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0030 | Initial absolute values before shock – Liabilities – Lapse risk –mass lapse risk | This is the absolute value of liabilities sensitive to mass lapse risk, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0040 | Absolute values after shock – Assets – Lapse risk – mass lapse risk | This is the absolute value of the assets sensitive to mass lapse risk charge, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0430/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Lapse risk – mass lapse risk | This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to mass lapse risk charge, after the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0060 | Absolute value after shock – Net solvency capital requirement – Lapse risk – mass lapse risk | This is the net capital charge for mass lapse risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0430/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Lapse risk – mass lapse risk | This is the absolute value of the liabilities sensitive to mass lapse risk charge, after the shock (before the loss absorbing capacity of technical provisions). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0430/C0080 | Absolute value after shock – Gross solvency capital requirement – Lapse risk – mass lapse risk | This is the gross capital charge for mass lapse risk, after the shock (before the loss absorbing capacity of technical provisions). |
| R0500/C0020 | Initial absolute values before shock – Assets – Life – expense risk | This is the absolute value of the assets sensitive to life – expense risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0030 | Initial absolute values before shock – Liabilities – Life – expense risk | This is the absolute value of liabilities sensitive to life –expense risk, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0040 | Absolute values after shock – Assets – Life – expense risk | This is the absolute value of the assets sensitive to life expense risk, after the shock (i.e. shock as prescribed by standard formula: a 10 % increase the amount of expenses taken into account in the calculation of technical provisions and increase in 1 percentage point to the expense inflation rate (expressed as a percentage) used for the calculation of technical provision). Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Life – expense risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. a shock. as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0060 | Absolute value after shock – Net solvency capital requirement – Life expense risk | This is the net capital charge for expense risk, including adjustment for the loss absorbing capacity of technical provisions. If R0050 = 1, this cell represents net capital charge for life expense risk calculated using simplified calculation. |
| R0500/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Life – expense risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. shock as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0500/C0080 | Absolute value after shock – Gross solvency capital requirement – Life –expense risk | This is the gross capital charge for expense risk (before the loss absorbing capacity of technical provisions). If R0050/C0010 = 1, this cell represents gross capital charge for life expense risk calculated using simplified calculations. |
| R0600/C0020 | Initial absolute values before shock – Assets – Revision risk | This is the absolute value of the assets sensitive to revision risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0030 | Initial absolute values before shock – Liabilities – Revision risk | This is the absolute value of liabilities sensitive to revision risk, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0040 | Absolute values after shock – Assets – Revision risk | This is the absolute value of the assets sensitive to revision risk, after the shock (i.e. shock as prescribed by standard formula: a % increase in the amount of annuity benefits taken into account in the calculation of technical provisions. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0600/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Revision risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to revision risk charge, after the shock (i.e. as prescribed by standard formula, refer to a definition in item R0600/C0040). The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0060 | Absolute value after shock – Net solvency capital requirement – Revision risk | This is the net capital charge for revision risk after adjustment for the loss absorbing capacity of technical provisions. |
| R0600/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – Revision risk | This is the absolute value of the liabilities (excluding the loss–absorbing capacity of technical provisions) underlying revision risk charge, after the shock ((i.e. shock as prescribed by standard formula, refer to a definition provided in item R0600/C0040), as used to compute the risk. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0600/C0080 | Absolute value after shock – Gross solvency capital requirement – Revision risk | This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for revision risk. |
| R0700/C0020 | Initial absolute values before shock – Assets – Life Catastrophe risk | This is the absolute value of the assets sensitive to life catastrophe risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0700/C0030 | Initial absolute values before shock – Liabilities – Life Catastrophe risk | This is the absolute value of liabilities sensitive to life catastrophe risk, before the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0040 | Absolute values after shock – Assets – Life Catastrophe risk | This is the absolute value of the assets sensitive to life catastrophe risk, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0700/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Life catastrophe risk | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk charge, after the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0060 | Absolute value after shock – Net solvency capital requirement – life catastrophe risk | This is the net capital charge for life catastrophe risk after adjustment for the loss absorbing capacity of technical provisions. If R0060/C0010 = 1, this item represents net capital charge for life catastrophe risk calculated using simplified calculations. |
| R0700/C0070 | Absolute values after shock – Liabilities (before the loss–absorbing capacity of technical provisions) – life catastrophe risk | This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk, after the shock. The amount of Technical Provisions shall be net of reinsurance and SPV recoverables. |
| R0700/C0080 | Absolute value after shock – Gross solvency capital requirement – life catastrophe risk | This is the gross capital charge for life catastrophe risk (before the loss absorbing capacity of technical provisions). If R0060/C0010 = 1, this item represents gross capital charge for life catastrophe risk calculated using simplified calculations. |
| R0800/C0060 | Diversification within life underwriting risk module – Net | This is the diversification effect within the life underwriting risk module as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules. Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0800/C0080 | Diversification within life underwriting risk module – Gross | This is the diversification effect within the life underwriting risk module as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules. Diversification shall be reported as a negative value if they reduce the capital requirement. |
| R0900/C0060 | Total net solvency capital requirement for life underwriting risk | This is the total net capital charge for life underwriting risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0900/C0080 | Total gross solvency capital requirement for life underwriting risk | This is the total gross capital charge for life underwriting risk, before the loss absorbing capacity of technical provisions. |
| Further details on revision risk | ||
| R1000/C0090 | USP – Factors applied for the revision risk shock | Revision shock – group specific parameter (‘USP’) as calculated by the group and approved by the supervisory authority. This item is not reported where no group specific parameter is used. |
S.26.04 – Solvency Capital Requirement – Health underwriting risk
General Comments:
This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.04 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.26.04 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).
All values shall be reported net of reinsurance and other risk mitigating techniques.
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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