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.36.02 – IGT – Derivatives

General comments:

This template relates to the information groups are requested to provide at least annually.

This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in scope of group supervision related to derivatives. Significant intra-group transactions related to derivatives shall be reported where the carrying amount of the derivative exceeds the threshold. These include, but are not limited to:

• — Interest rate contracts, including swaps, forward agreements, futures and options;

• — Foreign exchange contracts, including swaps, forward agreements, futures and options;

• — Contracts of a nature similar to those in points 1(a) to (e) and 2(a) to (d) of this Annex concerning other reference items or indices.

This template shall include intragroup transactions that were:

• — in-force at the start of the reporting period.

• — incepted during the reporting period and outstanding at the reporting date.

• — incepted and expired/matured during the reporting period.

Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.

As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.

Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.

Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.

Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.

S.36.03 – IGT – Off-balance sheet and contingent liabilities

General comments:

This template relates to the information groups shall provide at least annually.

This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intragroup transactions between entities in scope of group supervision related to off-balance sheet guarantees.

These include, but not limited to:

• — Off balance sheet guarantees;

• — undrawn credit facilities

• — assets purchased under outright forward purchase agreements (currency or other)

• — asset sale and repurchase agreements as referred to in Article 12(3) and (5) of Directive 86/635/EEC

• — Contingent liabilities

This template shall include intragroup transactions that were:

• — in-force at the start of the reporting period.

• — incepted during the reporting period and outstanding at the reporting date.

• — incepted and expired/matured during the reporting period.

Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.

As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.

Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.

Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.

Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.

S.36.04 – IGT – Insurance and Reinsurance

General comments:

This template relates to the information groups are requested to provide annually.

This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in scope of the group supervision related to internal insurance and reinsurance within the group.

These include, but not limited to:

• — Insurance contracts of entities within the scope of the group with insurance companies within the scope of the group

• — reinsurance treaties between related undertakings of a group;

• — facultative reinsurance between related undertakings of a group; and

• — any other transaction that results in transferring underwriting risk (insurance risk) between related undertakings of a group.

This template shall include intragroup transactions that were:

• — in-force at the start of the reporting period.

• — incepted during the reporting period and outstanding at the reporting date.

• — incepted and expired/matured during the reporting period.

Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.

As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.

Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.

Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.

Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.

S.36.05 – IGT – P&L

General comments:

This annex relates to the information the groups are requested to provide annually.

This template shall report the P&L associated to all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in the scope of the group supervision or P&L transaction considered as significant or very significant intragroup transactions or transactions required to be reported in all circumstances. These include, but not limited to:

• — Fees;

• — Commissions;

• — Interests;

• — Dividends;

• — Costs or revenues from intragroup outsourcing, internal cost sharing or rental agreements.

Intragroup outsourcing or internal cost sharing leading to significant intragroup transactions shall be reported.

Although interest, dividends are reported in S.36.01, S.36.02 they have to be reported additionally in S.36.05 P&L.

This template shall include intragroup transactions that were:

• — in-force at the start of the reporting period.

• — incepted during the reporting period and outstanding at the reporting date.

• — incepted and expired/matured during the reporting period.

Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose/objective or are temporally connected in a plan, they shall be considered as a single economic operation.

As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intra-group transactions, even though individually the transactions fall below the threshold.

Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.

Where the transaction value is different for two transacting parties (e.g. a EUR10m transaction between A and B where A records EUR10m but B only receive EUR9,5 m because of transactions costs, of say EUR0,5 m has been expensed) the template shall record the maximum amount as the transaction amount, in this case EUR10m.

Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if ‘A’-> ‘B’ -> ‘C’-> ‘D’ where both ‘B’ and ‘C’ are both in the group but unregulated entities, this transaction shall also be reported.

S.37.01 – Risk concentration – Exposure to Counterparties

General comments:

This section relates to the at least annually submission of information for groups.

This template shall include all significant risk concentrations between entities in scope of group supervision and third parties which can add up from the risk exposures mentioned in the template irrespective of the choice of calculation method or whether sectoral solvency rules have been used for the purposes of the group solvency calculation.

The aim is to list the significant exposures (value of the exposures in each kind of instrument listed in the template) by single counterparty outside the scope of the group. If more than one entity of the group is involved, for each entity a separate line is necessary.

It can be understood as the maximum possible exposure on a contractual basis and not necessarily be reflected on the balance sheet, on both gross basis and net basis taking into account any risk mitigation instruments or techniques. Thresholds are fixed by the group supervisor after consulting the group itself and the college.

Data should be reported by legal entity.

S.37.02 – Risk Concentration – Exposure by currency, sector, country

General comments:

The tables shall include the risk concentration between entities in the scope of group supervision and third parties. All exposures should be represented by currency, sector and country, starting from the maximum exposure to the minimum one. In case the country, sector or currency is not relevant the figures may be reported under an ‘Other’ category.

The ‘sector’ should be presented in the split for NACE code 1st level of disaggregation (letter). The tables shall be based on all the exposures (full balance sheet) after credit or insurance risk mitigation technique and exemptions (net amount).

S.37.03 – Risk Concentration – Exposure by asset class and rating

General comments:

The tables shall include all the risk concentration between entities in the scope of group supervision and third parties represented by the combination of the main asset classes and rating. For bonds the tables are presented by the combination of asset class and rating of the security. For equity exposure, the total exposure amount and the equity exposures’ share of total assets (full balance sheet) shall be reported

The table shall be based on all the exposures within the specified asset classes, after credit or insurance risk mitigation technique and exemptions (net amount).

Where two or more credit assessments are available from nominated ECAIs and they correspond to different parameters for a rated item, the assessment generating the higher capital requirement shall be used.