Commission Implementing Regulation (EU) 2023/895 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 procedures, formats and templates for the disclosure by insurance and reinsurance undertakings of their report on their solvency and financial condition and repealing Implementing Regulation (EU) 2015/2452 (Text with EEA relevance)

S.25.05 – Solvency Capital Requirement – for groups using an internal model (partial or full)

General comments:

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

This Annex contains instructions in relation to the templates included in Annex I of this Regulation. The first column of the following table identifies the items to be reported by identifying the columns and lines as shown in the template in Annex I.

This Annex relates to opening and annual submission of information for individual entities, ring fenced-funds, matching adjustment portfolios and remaining part.

This template shall be reported based on availability 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 shall be reported before any tax effects unless otherwise stated.

For groups using a 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 which are embedded in the calculation, but not those which are modelled as a separate component.

These amounts shall fully consider the diversification effects referred to in Article 304 of Directive 2009/138/EC, where applicable.

Where applicable, these cells shall not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level.

For the groups, reporting at the level of the whole group, 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) 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 group applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level: the nSCR shall be 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 group applies the simplification at risk sub-module level to aggregate the nSCR of the RFF/MAP at entity level, the nSCR and LAC shall be calculated considering a direct summation at sub-module level method;

• — where the group applies the Simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level, the nSCR and LAC shall be calculated considering a direct summation at module level method.

For group reporting the following specific requirements shall be met:

• (a) the information until R0470 (S.25.05.22.02) is applicable when method 1 as defined in Article 230 of Solvency II Directive 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.25.05.22.02) shall be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.

S.32.01 – Undertakings in the scope of the group

General comments:

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

This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of Directive 2009/138/EC and a combination of methods. It is a list of all undertakings in the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, subject to full group supervision according to Article 213(2)(a)(b)(c) of Directive 2009/138/EC, including the participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies at the top of the group.

• — Cells C0010 to C0080 are related to the identification of the undertaking;

• — Cells C0180 to C0230 are related to criteria of influence;

• — Cells C0240 and C0250 are related to the inclusion in the scope of group supervision;

• — Cell C0260 is related to group solvency calculation.