Commission 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)

S.26.15 – Internal model: Operational risk

General comments:

This section relates to the annual submission of information for groups.

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.

Each undertaking can use their own operational risks classification.

The columns C0020-C0060 contain information on the scenarios defined by the undertaking. In case of multi-tier classifications, data on at least the two highest levels of operational risk should be provided (define L1 as the highest level and L2 the immediately lower one, if present). All the information to be filled in is related to the one year forecasted loss probability distributions.

For an event type category defined as Level 1 (L1) occurrence, all numerical information (SCR, quantiles) should refer to the aggregation of the risk made at that level. Of course, each category identified in the Level 2 (L2) occurrence could come from an aggregation of lower levels loss distributions.

Operational Risk

S.26.16 – Internal model – Model Changes

General comments:

This section relates to the annual submission of information for groups.

The purpose of this template is to collect information on the characteristics of the changes to the model according to the approved model change policy and on how the SCR has moved in an annual reporting period due to these changes, that were implemented in that period. This period may be different from the one determined by the model change policy on the accumulation of minor changes, for instance.

Minor changes to the model should not be double counted within or across reporting periods. Therefore, if a major change includes minor changes or is the accumulation of minor changes, then either:

• — remove the impact of these minor changes in the major change if the minor changes were implemented in a previous reporting period; or

• — include them in the ‘total minor changes’ and remove their effect from the major change due to accumulation of minor change impact.

S.27.01 – Solvency Capital Requirement – Non–life and health catastrophe risk

General comments:

This section relates to the annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

Template S.27.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

Template SR.27.01 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).

This template is designed to allow an understanding of how the catastrophe risk module of the SCR has been calculated and what are the main drivers.

For every type of catastrophe risk the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles must be determined. This calculation is prospective and must be based on the reinsurance program of the next reporting year as described in the reinsurance templates for Facultative covers (S.30.01 and S.30.02 of Annex II) and Outgoing reinsurance program in the next reporting year (S.30.03 and S.30.04 of Annex II).

Undertakings need to estimate their recoveries from risk mitigation in line with the Directive 2009/138/EC, Delegated Regulation (EU) 2015/35 and any relevant technical standard. Undertakings shall complete the catastrophe reporting template only to the granularity required to perform this calculation.

Under the non–life and health underwriting risk modules, catastrophe risk is defined as the risk of loss, or of adverse change in the value of insurance liabilities, resulting from significant uncertainty of pricing and provisioning assumptions related to extreme or exceptional events as set out in Article 105(2)(b) and (4)(c) of Directive 2009/138/EC.

The reported capital requirements reflects the capital requirements before and after risk mitigation which is the risk mitigating effect of the undertaking’s specific reinsurance contracts and special purpose vehicles. The reported capital requirement after risk mitigation is before the loss absorbing capacity of technical provisions. The default value of the risk mitigation shall be reported as a positive value in order to be deducted.

In case the diversification effect reduces the capital requirement the default value of the diversification shall be reported as a negative value.

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.