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Newsletter
Solvency 2 Update
Clarity on reporting and disclosure –
EIOPA publishes updated QRTs in its
second consultation on ITS and
Guidelines
Summary
FS Regulatory Centre of
Excellence
15 January 2015
On 2 December 2014 EIOPA launched a public consultation on its second set of
Implementing Technical Standards (ITS) and Guidelines for Solvency 2. The ITS
and Guidelines respectively provide technical requirements applicable directly to
insurers and supervisors across all three pillars, and guidance for regulators
implementing Solvency 2. With this second set of ITS and Guidelines, EIOPA has
released for consultation the final major outstanding piece of the Solvency 2
framework.
Requirements relating to Pillar 3 (reporting and disclosure) form a major
component of the second set of ITS and Guidelines, and insurers now have increased
clarity on the disclosure requirements that will apply from 2016. In particular, the
consultation provides a full updated set of quantitative reporting templates (QRTs).
This will allow insurers to put their preparations for Solvency 2 Pillar 3 into the
final phase as 2016 approaches. The ITS and Guidelines supplement requirements
for narrative reporting that were previously published by the European
Commission (EC) in its final version of the Delegated Acts, released in October 2014.
Given that the previous full set of draft QRTs was released in 2012, it is unsurprising
that there are changes throughout the templates. Notwithstanding this, the overall
structure of the templates has remained broadly consistent, and additional
specification is now available on the application of the templates and the contents of
reporting. Insurers may now therefore be able to start answering some of their
outstanding questions on the previous drafts of the templates.
The consultation is open until 2 March 2015, with the exception of CP 14/062 on
recovery plans, finance schemes and supervisory powers in deteriorating financial
conditions, which has a deadline for comments on 18 February 2015. EIOPA is due
to provide final versions of the ITS (including final templates) to the EC by the end
of June 2015, and to publish the final Guidelines in July 2015.
Contents of the ITS and
Guidelines
The second set of ITS and Guidelines contains six
consultation papers and one call for advice relevant to
Pillar 1, four consultation papers relevant to Pillar 2,
and seven consultation papers covering different
topics relevant to Pillar 3. The Pillar 3 consultation
papers cover the following:
CP-14-052 - ITS on regular supervisory
reporting
Requirements for reporting to regulators, including:




QRTs to be completed for opening reporting
and regular annual and quarterly reporting by
solo insurers and groups, including full
updated QRT spreadsheet and LOG files.
QRTs to be completed for material ringfenced funds.
Reporting thresholds, criteria and application
of proportionality for different elements of
reporting (for example, reporting by country).
Reporting rules including units and foreign
currency conversion.
CP-14-055 - ITS on public disclosure:
procedures, formats and templates
Requirements for public disclosure, including:






QRTs subject to public disclosure,
approval of public disclosure by the
administrative, management or supervisory
body,
cross references within public disclosure.
Means of disclosure including publication
online.
intra-group coordination.
Reporting rules including units and foreign
currency conversion.

CP-14-047 – Guidelines on reporting and
disclosure
Additional guidance on narrative reporting
supplementing the requirements of the Delegated
Acts, including:






CP-14-045 – Guidelines on financial stability
reporting
Guidance on financial stability reporting, including:




2
identification of insurers within the scope of
financial stability reporting and application of
requirements,
best efforts basis for preparation of data.
QRTs to be submitted,
submission deadlines,
additional detailed guidance on items to be
covered by insurers in specified sections of
their narrative reporting (both SFCR and
RSR),
identification of pre-defined events and
reporting,
requirements for public disclosure and
reporting policies,
cross referencing within the RSR,
data checks to be applied,
approval of reported information by the
administrative, management or supervisory
body.
CP-14-050 – Guidelines on exchange of
information on a systematic basis within
colleges
Guidance on information exchange within colleges,
including assessment of information to be exchanged
and coordination arrangements.
CP-14-048 – Guidelines on third country
branches
Detailed guidance on supervision of branches of third
country insurers, including:


CP-14-044 – Guidelines on methods to
determine the market share for the purpose of
exemptions to supervisory reporting
Guidance on how supervisors should determine
market share (including treatment of composite
insurers) for the purpose of applying de-minimis
limits.
data plausibility checks to be applied.



authorisation, supervisory powers and
processes, accounting and valuation
requirements, location of assets, branch
capital requirements and solvency, and
governance and risk management
requirements,
narrative and quantitative reporting
requirements applicable to third country
branches, including RSR, QRTs, ORSA
supervisory report and coordination with
home-country reporting, including with
respect to public disclosure,
means of reporting, frequency and deadlines,
data checks to be applied to reporting,
transitional arrangements.
This consultation paper addresses only branches
writing direct business, as branches writing only
reinsurance business are not within the scope of
authorisation for Solvency 2.
Quantitative reporting
templates
Thresholds for completion
of the QRTs
The requirements for quantitative reporting through
the QRTs are covered in several different consultation
papers, with three sets of QRT spreadsheet templates
released covering regular supervisory reporting,
public disclosure and financial stability reporting,
respectively.
One of the most significant open questions in the
previous versions of the QRTs has been whether
thresholds or de-minimis limits will apply for
completion of the QRTs.
Completion of different templates is specified for
annual, quarterly, group, solo, financial stability and
ring-fenced fund reporting. A description of the
individual templates and their application is provided
in Appendix 1.
The ITS and Guidelines on quantitative reporting
specify a number of completion thresholds for various
QRTs, limiting the level of detail that will be required
in some cases. Thresholds that will apply for
completion of specific templates include:

Developments to the QRTs
EIOPA last published a full set of QRTs in July 2012
when it released its final report on public
consultations 11/009 and 11/011. It also released an
updated sub-set of templates for preparatory phase
reporting late in 2013, which were subsequently
updated in August 2014 for errata purposes. The
newly released full set of QRTs builds on the previous
versions of the templates, covering consistent topic
areas across a broadly similarly structured set of
templates.
However, EIOPA has made updates across the
templates, which therefore vary in points of detail
from the earlier drafts. This will present an immediate
challenge to insurers preparing for Pillar 3, but should
be quickly offset by the benefit of increased certainty
on the templates that will be applicable, reporting
items and formats. For those insurers which have not
yet carried out an analysis of the reporting
requirements to identify the new information or
additional detail and granularity that will need to be
reported for Solvency 2, the new templates should
provide a good basis to start analysis, and to help
catch up with others in the market.





Data specifications and definitions
Alongside the templates themselves, EIOPA has
published updated sets of LOG files applicable to solo
reporting, group reporting and public disclosure. The
LOG files contain specifications and instructions for
completing the templates, including definitions of
data items, closed list or standardised coding formats,
and treatment of specific items.
The previous published versions of the LOG files were
insufficiently clear in many areas to support
consistent completion of the templates, and left many
unanswered questions. The new LOG files have been
updated, and should go some way to answering some
of these questions. However, they are unlikely to
address all potential issues and questions, and the
consultation process provides an opportunity to raise
specific issues to EIOPA for inclusion in the final draft
LOG files that will be issued next year.
3


reporting of premiums, claims and expenses
by country is only required to cover the five
most significant countries in addition to the
home country or 90% of gross written
premiums,
information on technical provisions by
country is only required to achieve a 90%
coverage,
information on activity by country is required
by non-EEA country only if needed to cover at
least 90% of premiums, otherwise all nonEEA countries are reported aggregated.
However, reporting is required for any nonEEA country where premiums exceeds 5% of
total written premiums,
reporting of assets and liabilities by currency
is only required where more than 10% of
assets and liabilities are held in foreign
currencies. Reporting by country is only
required to achieve a 90% coverage of total
assets and liabilities,
look-through reporting of collective
investments is required on a quarterly basis
only where such investments exceed 30% of
total investments. Insurers qualifying for this
exemption will still need to report lookthrough information on an annual basis,
item-by-item structured products data and
securities lending and repurchase agreement
data are required only where such products
exceed 5% of total investments,
technical provision cash flows are required
where simplified methods are used in the
calculation of technical provisions that do not
make use of cash flows, only where more than
10% of technical provisions have a settlement
period longer than 24 months,
reporting of split by currency for claims
provisions relating to non-life lines of
business or lines of business for annuities
arising from non-life business is not required
where discounted claims provisions for the
relevant line of business are less than 3% of
total discounted claims provisions. Where
discounted claims provisions exceed 3%,
currency reporting is required only for
currencies exceeding 25% of the discounted
best estimate for that line of business or
exceeding 5% of the total best estimate (for all
annuity claims provisions in the case of
annuities arising from non-life business).
In addition to the above quantitative limits which
apply to all insurers, the Delegated Acts allow national
supervisors to disapply overly burdensome reporting
requirements (or reduce the frequency of required
reporting) for insurers that collectively do not
represent more than 20% of their country’s life
market (based on gross technical provisions) and
non-life market (based on gross written premiums).
When granting these exemptions priority must be
given to smaller insurers.
The ITS also make specific reference to the
application of proportionality in several areas,
including:






the use of simplified valuation methods or
estimations for the quarterly balance sheet.
Limitations on quarterly reporting for smaller
or less complex insurers,
best efforts basis for preparation of financial
stability reporting,
extrapolation of annual SCR results for nonvolatile risk modules for quarterly financial
stability reporting of the SCR,
reporting on accident or underwriting year
basis, following the approach used by each
insurer for each particular line of business,
phasing in of historical information reporting
for technical provisions over the first 15 years
of Solvency 2, although the information may
be completed earlier on a best efforts basis.
Reporting frequency and
deadlines
Reporting deadlines for solo insurers and groups,
including the transitional extensions to the deadlines
in the first three years of Solvency 2, are specified in
the Delegated Acts so are unchanged by the new ITS
and Guidelines. However, the ITS and Guidelines
specify the following deadlines applicable to financial
stability reporting and reporting by branches of third
country insurers:


4
Financial stability reporting will be required
one week after the transitional deadlines for
individual reporting, being nine weeks in
2016, eight weeks in 2017 and seven weeks in
2018. Thereafter, financial stability reporting
will be required within six weeks of the end of
the relevant reference period
Consistent with the deadlines for insurers
established in the European Union, branches
of third country insurers will be required to
submit an RSR (or summary of material
changes where a full RSR is not required
annually) and QRTs within 14 weeks of the
financial year end, quarterly QRTs within 5
weeks, and the ORSA supervisory report two
weeks after concluding the assessment.
Submission deadlines are extended by 6
weeks in the first year of Solvency 2 reducing
by 2 weeks a year for three years, and
transitional reporting in the first year of
Solvency 2 will be required within 20 weeks
of the reference date.
Governance and assurance
The second set of ITS and Guidelines do not explicitly
address audit or assurance requirements over
Solvency 2 reported data, although EIOPA is expected
to consult on guidelines on external audit of public
reporting in 2015.
Governance and internal control
requirements
Pillar 2 of Solvency 2 specifies requirements for
governance and internal control, and the new
Guidelines specify policies which insurers are
expected to have in place to ensure adequate internal
control over reporting:

Reporting policy: covering responsibilities for
preparing and reviewing reporting to the
supervisor, and processes and controls to
guarantee the reliability, completeness and
consistency of the data provided.
 Public disclosure policy: covering
responsibilities for preparing and reviewing
public disclosures, review and approval by the
administrative, management or supervisory
body, information equivalent to the
Solvency 2 disclosures already in the public
domain, sensitive information that the
insurer intends not to disclose, and additional
information that the insurer is disclosing
voluntarily.
Many insurers are currently carrying out internal or
external assurance reviews over draft Solvency 2
reporting and data, with key focus areas including:




completeness and suitability of data,
internal consistency and level of detail of
planned reported information,
effectiveness of reporting processes, systems
and controls for Solvency 2 reporting,
review and validation of Solvency 2 reporting
output.
What do I need to do?
Preparation: 2015 will present a critical year for all insurers, and the new consultations provide a sound basis
to finalise preparations. The majority of insurers have Pillar 3 workstreams under way, but most recognise the
significant work that is still required before Solvency 2 information can be produced in a systematic and
controlled way, within the required deadlines.
Key factors to consider include:
 Data availability: whether key data is available, in the right format, in the right timescales, and with
sufficient quality, and addressing data gaps if the answer is “no”.
 Workflow planning: mapping key processes and data flows in the reporting processes, identifying
inefficiencies and bottlenecks that may slow down or prevent reporting within the prescribed deadlines.
 Systems and technology: insurers are investing in systems and technology not just to enable Solvency 2
reporting, but to streamline and improve reporting processes and meet other internal and external
reporting objectives.
Dry run: Some insurers have already completed dry runs of quantitative and in some cases narrative
reporting. Dry-running the Solvency 2 reporting on the new basis will be essential during 2015 to firm up
responsibilities, identifiy issues with enough time to remediate, and to provide sufficient time for an
appropriate level of governance and review.
Assurance: All insurers will be subject to regular private and public reporting requirements when Solvency 2
enters into force. In addition, EIOPA’s preparatory guidelines indicate that larger insurers should be reporting
to their supervisors on a Solvency 2 basis in 2015. Boards and audit committees will want to consider how they
gain appropriate assurance (either internally or externally) over all the Solvency 2 information that they are
required to report. In addition, EIOPA is expected to shortly consult on external audit requirements over public
reporting and, once these proposals are know, firms will need to consider how they will prepare for them.
Consultation response: Firms should consider responding to the Consultations. Key areas that may be
subject to comment include the application of materiality and proportionality, guidelines on narrative
reporting, and alignment with existing and future GAAP reporting.
Contacts
For more information, please contact us:
…………………………………………………………………………………………………………………….
Marc Voncken
Partner
+352 49 48 48 2461
[email protected]
Sylvia Pucar
Director
+352 49 48 48 5663
[email protected]
François De Wouters
Senior Manager
+352 49 48 48 4125
[email protected]
…………………………………………………………………………………………………………………….
…………………………………………………………………………………………………………………….
…………………………………………………………………………………………………………………….
5
Appendix 1: Quantitative reporting templates
The table below has been prepared using the following abbreviations:
NA
Provides a summary of
templates included in the
submission.
O
A
Q
O
A
Q
S.01.02
Basic
Information General
BI (prep.
phase)
Provides general basic
information about the insurer
and its application of the
Solvency 2 rules (e.g.
transitionals).
O
A
Q
O
A
Q
S.01.03
Basic
Information RFF and
matching
adjustment
portfolios
NA
Provides information on any
ring-fenced funds and/or
matching adjustment portfolios
reported by the insurer.
O
A
O
A
S.02.01
Balance Sheet
BS-C1
Provides an overview of the
balance sheet of the insurer on a
Solvency 2 basis. The template
includes a comparison to GAAP
reporting annually, and a
comparison to the current
(Solvency I) regulatory balance
sheet for opening reporting.
O
A
Q
O
A
Q
S.02.02
Assets and
liabilities by
currency
BS-C1D
Provides an overview of assets
and liabilities by category split
into the insurer’s most
important currencies.
A
A
S.03.01
Off-balance
sheet items general
BS-C1B
A
A
S.03.02
Off-balance
sheet items List of unlimited
guarantees
received by the
undertaking
A
A
6
Provides an overall view of the
off-balance sheet items that
could impact the financial
position of the insurer.
Financial
Stability
Elements?
Content of the
submission
Ring Fenced
Funds /MA
(Annual)?
S.01.01
Annual Public
Disclosure?
Data covered
Completion
Thresholds?
Template code, name and previous
template name
Group
S – Solo
G - Group
Solo
O – Opening
A – Annual
Q – Quarterly
H – Half-yearly/Semi-annually
S
G
SA
SQ
GA
GQ
SA
SQ
GA
GQ
S
G

S
G
GQ
Off-balance
sheet items List of unlimited
guarantees
provided by the
undertaking
S.04.01
Activity by
country
S.04.02
Information on
class 10 in Part
A of Annex I of
Solvency 2
Directive1,
excluding
carrier's liability
S.05.01
Premiums,
claims and
expenses by line
of business
S.05.02
Premiums,
claims and
expenses by
country
S.06.01
Summary of
assets
S.06.02
Country-K1
A
Q
A
Q
A
Q
NA
Provides a summary of assets by
category and identifying nonlisted/non-exchange tradable
assets, split between life, nonlife, RFF and internal funds.
This template is only required
where S.06.02 is not required at
least annually.
A
List of assets
AS-D1
D1 provides detailed information
on all the individual investments
held by the insurer (other than
derivatives which are separately
reported).
Q
Q
S.06.03
Collective
investment
undertakings look-through
approach
AS-D4
This template provides
information for each investment
fund of the underlying main
asset categories, country of issue
and currency.
Q
Q

S.07.01
Structured
products
AS-D1S
This template applies to
structured products, taking into
account their specific
characteristics.
A
A

7
Financial
Stability
Elements?
A
A
Q
Class 10 covers Motor Vehicle Liability as specified in the Solvency 2 Directive.
Ring Fenced
Funds /MA
(Annual)?

These templates give an analysis
of written premiums, claims and
expenses paid, by line of
business and by country of
localisation of risk. The annual
template requires, in addition, a
sub-analysis of expenses by type.
1
Annual Public
Disclosure?
A
Completion
Thresholds?
A
A
These templates aim at
describing activity carried out
abroad by providing an analysis
of activity by country.
Cover-A1Q/
A1Q
Group
S.03.03
Data covered
Solo
Template code, name and previous
template name
S
G

GQ
S
G
GQ
SQ
GQ
AS-D2O
This template provides detailed
information on all derivatives
contracts that existed during the
reporting period and were not
closed prior to the reporting
reference date.
Q
Q
S.08.02
Derivatives
Transactions
AS-D2T
This template provides detailed
information on all derivatives
contracts that existed during the
reporting period but were closed
prior to the reporting reference
date.
Q
Q
S.09.01
Income/gains
and losses in the
period
AS-D3
This template provides
information about investment
return by income category.
A
A
S.10.01
Securities
lending and
repos
AS-D5
This template integrates detailed
information regarding exposures
to repurchase agreements
(repos) and securities lending
operations.
A
A
S.11.01
Assets held as
collateral
AS-D6
This template integrates detailed
information regarding assets
held as collateral.
A
A
S.12.01
Life and Health
SLT Technical
Provisions
TP-F1/ F1Q
This template provides an
analysis of life and health SLT
technical provisions by type of
contract (e.g. with-profits,
linked, other). The information
is split between the best estimate
and the risk margin (with
technical provision calculated as
a whole separately reported).
The annual template provides
more detailed sub-analyses.
A
Q
S.12.02
Life and Health
SLT Technical
Provisions - by
country
Provides further analysis of the
best estimate and TPs as a whole
by country for life and health
SLT technical provisions.
A
S.12.03
Best estimate by
country and
currency - life
NA
Provides an analysis of best
estimate by country and by
currency for life technical
provisions.
A
S.13.01
Projection of
future gross
cash flows
TP-F2
Provides analysis of cash flows
by line of business by year over
the next 30 years, by decade up
to 50 years and in total
thereafter.
A
8
Financial
Stability
Elements?
Group
Open
derivatives
Ring Fenced
Funds /MA
(Annual)?
Solo
S.08.01
Annual Public
Disclosure?
Data covered
Completion
Thresholds?
Template code, name and previous
template name
GQ
SQ
GQ
SQ
GQ

S


S
A
S.15.01
Description of
the guarantees
of variable
annuities
TP-F3A
This template aims at giving an
overview of Variable Annuities
(VA) with a description of
guarantees by product.
A
A
S.15.02
Hedging of
guarantees of
variable
annuities
TP-F3B
This template aims at giving an
overview of hedging techniques
used for VA products.
A
A
S.16.01
Information on
annuities
stemming from
Non-Life
Insurance
obligations (old
F4)
TP-F4
This template provides an
overview of non-life annuities
stemming from non-life claims
at a line of business level.
A

S.17.01
Non-life
Technical
Provisions
TP-E1/E1Q
This template provides an
analysis of non-life technical
provisions by line of business.
The information is split between
the best estimate and the risk
margin (with technical
provisions calculated as a whole
separately reported). The annual
template contains more detailed
sub-analyses.
A
Q

S.17.02
Non-Life
Technical
Provisions - By
country
TP-E1
Provides further analysis of the
best estimate and TPs as a whole
by country for non-life technical
provisions.
A

S.17.03
Best estimate by
country and
currency - nonlife
NA
Provides an analysis of best
estimate by country and by
currency for non-life technical
provisions.
A
S.18.01
Projection of
future cash
flows (Best
Estimate - Non
Life)
TP-E2
This template aims at giving an
overview of the future cash flows
by year expected to be required
to settle the insurance
obligations.
A
9
Financial
Stability
Elements?
This template aims at giving an
understanding of life business
characteristics at a product level
and homogeneous risk groups.
Ring Fenced
Funds /MA
(Annual)?
TP-F3
Annual Public
Disclosure?
Life obligations
analysis
Completion
Thresholds?
S.14.01
Group
Data covered
Solo
Template code, name and previous
template name
SA
GA

S
S
TP-E3
A
Undertakings are required to
report run-off triangles with a
default length of 15 years.
S.20.01
Development of
the distribution
of the claims
incurred
TP-E4
This template provides for each
line of business, an analysis of
the year on year movement in
the value and number of RBNS
claims.
A
S.21.01
Loss
distribution risk
profile
TP-E6
This template analyses the
number and value of claims
incurred at the end of the
current and previous 14 accident
or underwriting years in
predefined brackets.
A
S.21.02
Non-life
underwriting
peak risks
TP-E7A
This template shows the 20
biggest underwriting risks,
based on net retention, across all
lines of business together with
the two biggest underwriting
risks for any lines of business if
not covered through this
methodology.
A
S.21.03
Non-life
underwriting
mass risks
TP-E7B
This template shows the
underwriting risk profile being
the distribution, in (predefined)
brackets, of the number of risks,
the sum insured and the total
annual premium of all the
underwriting risks which have
been accepted by the
undertaking (i.e. mass risks).
Reporting is required for four
lines of business specified for the
template, and may be required
by Member State regulators for a
further eight specified lines of
business.
A
10
S
Financial
Stability
Elements?

Ring Fenced
Funds /MA
(Annual)?
Annual Public
Disclosure?
This template provides
development triangles for each
line of business and material
currency for claims paid, the
undiscounted best estimate of
claims outstanding and claims
reported but not settled (RBNS).
There is separate reporting of
gross amounts; reinsurance
recoveries and net amounts.
Non-life
Insurance
Claims
Information
Completion
Thresholds?
S.19.01
Group
Data covered
Solo
Template code, name and previous
template name
S.22.02
Projection of
future cash
flows (Best
Estimate Matching
portfolios)
NA
Provides a projection of cash
flows and analysis of mismatch
during the reporting period for
each matching adjustment
portfolio.
S
S.22.03
Information on
the matching
adjustment
calculation
NA
Provides information on the
calculations supporting the
matching adjustment, by
matching adjustment portfolio.
S
S.22.04
Information on
the transitional
on interest rates
calculation
NA
Provides information on the
calculation of the transitional
adjustment on interest rates, by
currency for which the
adjustment is calculated.
A
S.22.05
Overall
calculation of
the transitional
on technical
provisions
NA
Provides information on the
calculation of the transitional
adjustment on technical
provisions.
A
S.23.01
Own funds
OF-B1/B1Q
This template provides an
analysis of the structure of own
funds by type of own funds item
and by tier.
O
A
Q
O
A
Q
S.23.02
Detailed
information by
tiers on own
funds
This template provides further
detail on own funds items by
tier.
A
A
S.23.03
Annual
movements on
own funds
VA-C2A
This template provides details of
the year-on-year movement in
each item of basic own funds
(BOF) and the sources of those
movements.
A
A
S.23.04
List of items on
own funds
OF-B1/B1Q
This template provides further
details on different own funds
items, including mutual member
accounts, preference shares,
subordinated liabilities, ancillary
own funds, capital items in the
financial statements that do not
satisfy the Solvency 2 criteria,
and ring-fenced funds/Matching
Adjustment portfolios
A
A
11
A
A
Financial
Stability
Elements?
Analyses the impact of the long
term guaranty and transitional
measures on Technical
provisions, basic own funds, own
funds eligible to meet the SCR
by tier, and the SCR.
Ring Fenced
Funds /MA
(Annual)?
NA
Annual Public
Disclosure?
Impact of long
term guarantees
and transitional
measures
Completion
Thresholds?
S.22.01
Group
Data covered
Solo
Template code, name and previous
template name
S
G
S
G
GQ
Ring Fenced
Funds /MA
(Annual)?
Participatio
ns
This template provides a
comprehensive list of
participations held and an
overview of the calculation for
the deduction from own funds
related to participations in
financial and credit institutions.
A
S.25.01
Solvency Capital
Requirement for undertakings
on Standard
Formula
SCR-B2A
This template summarises the
output of the solvency capital
requirement (SCR) calculation
by module for entities on the
standard formula. The reporting
is required at module level of the
standard formula on both a
gross and net basis.
O
A
O
A
S
G
S
G
S.25.02
Solvency Capital
Requirement for undertakings
using the
standard
formula and
partial internal
model
SCR-B2A
This template summarises the
output of the solvency capital
requirement (SCR) calculation
for entities using a partial
internal model. Undertakings
should agree with their
supervisors the identifiable
component categories from their
model to be reported on this
template.
O
A
O
A
S
G
S
G
S.25.03
Solvency Capital
Requirement for undertakings
on Full Internal
Models
SCR-B2C
This template provides with an
overview of the calculation of
SCR using a full internal model.
Undertakings should agree with
their supervisors the identifiable
component categories from their
model to be reported on this
template.
O
A
O
A
S
G
S
G
S.25.04
Basic
information on
the SCR
NA
This template reports the net
SCR.
S.26.01
Solvency Capital
Requirement Market risk
SCR-B3A
S.26.02
Solvency Capital
Requirement Counterparty
default risk
SCR-B3B
S.26.03
Solvency Capital
Requirement Life
underwriting
risk
SCR-B3C
12
These templates provide more
detailed information on the
calculation of the various
modules of the standard formula
SCR, including the use of
simplifications.
Financial
Stability
Elements?
Annual Public
Disclosure?
Participations
held
Completion
Thresholds?
S.24.01
Group
Data covered
Solo
Template code, name and previous
template name
SQ
GQ
A
A
S
G
A
A
S
G
A
A
S
G
Solvency Capital
Requirement Health
underwriting
risk
SCR-B3D
A
A
S
G
S.26.05
Solvency Capital
Requirement Non-life
underwriting
risk
SCR-B3E
A
A
S
G
S.26.06
Solvency Capital
Requirement Operational risk
SCR-B3G
A
A
S
G
S.26.07
Solvency Capital
Requirement Simplifications
NA
A
A
S
G
S.27.01
Solvency Capital
Requirement Non-life
catastrophe risk
SCR-B3F
A
A
S
G
S.28.01
Minimum
Capital
Requirement Non-Composite
MCR-B4A
O
A
Q
S
S.28.02
Minimum
capital
Requirement Composite
MCR-B4B
O
A
Q
S
S.29.01
Excess of Assets
over Liabilities
VA-C2A
This template summarises the
year-on-year movement in each
item of basic own funds (BOF)
and summarises the sources of
those movements.
A
S.29.02
Excess of Assets
over Liabilities explained by
investments and
financial
liabilities
VA-C2B
This template analyses the
changes in own funds relating to
investments and financial
liabilities, with a breakdown into
different sources.
A
13
These templates provide an
analysis of the Minimum Capital
Requirement (MCR) calculation
(both inputs and outputs).
Financial
Stability
Elements?
Ring Fenced
Funds /MA
(Annual)?
Annual Public
Disclosure?
S.26.04
Completion
Thresholds?
Group
Data covered
Solo
Template code, name and previous
template name
A
S.29.04
Detailed
analysis per
period Technical flows
versus Technical
provisions
VA-C2C
This template provides further
analysis of technical flows versus
technical provisions,
differentiating between risks
accepted/covered during, prior
and after (accident year only)
the reporting period.
A
S.30.01
Facultative
covers - Basic
Re-J1_basic
A
S.30.02
Facultative
covers - Shares
ReJ1_shares
These templates provide details
of the insurer’s ten biggest
facultative non-life and life risks
for each line of business.
S.30.03
Outgoing
Reinsurance
Program in the
next reporting
year - Basic
ReJ2_basic
S.30.04
Outgoing
Reinsurance
Program in the
next reporting
year - Shares
ReJ2_shares
S.31.01
Share of
reinsurers
(including
Finite
Reinsurance
and SPV's)
Re-J3
This template provides detailed
information on individual
reinsurers, including type,
domicile, rating and rating
agency, and an analysis of
recoveries recognised and
guarantees received.
A
A
S.31.02
Special Purpose
Vehicles
Re-SPV
This template is for insurers
using insurance risk transfer
through Special Purpose
Vehicles (SPVs). It aims to
provide details of the use of
SPVs as a risk mitigation
technique.
A
A
14
This template provides detailed
information on the insurer’s
outgoing reinsurance program
for the coming year.
Financial
Stability
Elements?
This template analyses the
changes in own funds relating to
technical provisions. A detailed
breakdown into different
sources is required in respect of
the gross best estimate, and
analysis is required of technical
flows affecting technical
provisions (premiums, claims,
etc)
Ring Fenced
Funds /MA
(Annual)?
VA-C2C
Annual Public
Disclosure?
Excess of Assets
over Liabilities explained by
technical
provisions
Completion
Thresholds?
S.29.03
Group
Data covered
Solo
Template code, name and previous
template name
A
A
SA
GA
A
SA
GA
SQ
GQ
G01
O
A
Information covers the type of
entity, its supervisory authority
and ranking by balance sheet
turnover, income and
performance measures. The
influence exercise is reported by
various measures including %
share capital and voting share.
Information is also gathered on
whether each entity is included
for group solvency assessment.
S.33.01
Insurance and
Reinsurance
individual
requirements
G03
This template provides an
overview of solvency assessment
at solo level for insurance
entities. For insurers subject to
Solvency 2’s requirements the
information gathered covers solo
SCR, MCR, own funds, method
of SCR calculation (undertaking
specific parameters,
simplifications, partial internal
model), level of model used
(group / solo, initial approval
date & latest major change), solo
capital add-ons. For non-EEA
entities information gathered
covers local capital requirements
and eligible own funds.
O
A
S.34.01
Other regulated
and nonregulated
financial
undertakings
including
insurance
holding
companies and
mixed financial
holding
company
individual
requirements
G04
This template provides an
overview of the solvency
assessment at solo level for non
insurance entities. The template
gathers financial information on
non insurance entities; for each
entity the type of its capital
requirement, the notional SCR
(or sectoral capital
requirement), notional MCR (or
sectoral equivalent) and eligible
own funds.
O
A
15
G
Financial
Stability
Elements?
Ring Fenced
Funds /MA
(Annual)?
Annual Public
Disclosure?
This template gathers
information on each entity in the
group to ascertain the scope of
supervision, and the method by
which the entity is included in
group supervision.
Undertakings in
the scope of the
group
Completion
Thresholds?
S.32.01
Group
Data covered
Solo
Template code, name and previous
template name
A
S.36.01
IGT involving
equity-type
transactions,
debt and asset
transfer
IGT1
The template reports significant
intra-group transactions relating
to equity-type transactions, debt
and asset transfers, and provides
details on the counterparty and
transaction details.
A
S
S.36.02
IGT Derivatives
IGT2
This template reports significant
intra-group transactions in
derivatives, and provides details
on the counterparty and
derivative transaction details.
A
S
S.36.03
IGT Internal
reinsurance
IGT3
This template reports significant
intra-group transactions on
internal reinsurance between
(re)insurance undertakings of a
group, and provides details on
the counterparty and
reinsurance transaction details.
A
S
S.36.04
IGT Internal
Cost Sharing,
Contingent
Liabilities
(other than
derivatives) &
Off Balance
Sheet Items and
Other Types of
IGT
IGT4
This template reports all other
material IGT that are not
reported in IGT1 to IGT3,
including IGT on internal cost
sharing, other contingent
liabilities and off balance sheet
items. The template provides
details on the counterparty and
transaction details.
A
S.37.01
Risk
concentration
RC
This template provides
information on the most
important exposures by
counterparty outside the scope
of the group, including
identifying information and
details of the exposures.
A
S.38.01
Duration of
liabilities
Duration of
liabilities
This template provides
information about the overall
duration of life and non-life
liabilities.
16
Financial
Stability
Elements?
This template provides an
overview of the technical
provisions across the
undertakings within the group
split by non life, health (life and
non life), life and unit linked.
The template also reports TPs
subject to transitional
provisions, Volatility
Adjustment and Matching
Adjustment gross and net of
IGT.
Ring Fenced
Funds /MA
(Annual)?
G14
Annual Public
Disclosure?
Contribution to
group Technical
Provisions
Completion
Thresholds?
S.35.01
Group
Data covered
Solo
Template code, name and previous
template name
SA
GA
SH
GH
S.40.01
Profit (or loss)
sharing
Profit (or
loss)
sharing
This template provides
information on the average
profit (or loss) sharing (i.e. own
fund share of gain/loss) by
entities in the group or solo
entity.
SA
GA
S.41.01
Lapses
Lapses
This template provides
information about the overall
evolution in lapse/surrender
rates and volumes for life
business.
SQ
GQ
Financial
Stability
Elements?
This template provides
information on overall profit and
loss on a GAAP basis.
Ring Fenced
Funds /MA
(Annual)?
Profit and
loss
Annual Public
Disclosure?
Profit and loss
Completion
Thresholds?
S.39.01
Group
Data covered
Solo
Template code, name and previous
template name
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publication without obtaining specific professional advice. No representation or warranty (express or implied) is given as to the accuracy or completeness of the information contained in this
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© 2015 PricewaterhouseCoopers Société coopérative. All rights reserved. In this document, “PwC” refers to PricewaterhouseCoopers Société coopérative, which is a member firm of
17
PricewaterhouseCoopers
International Limited, each member firm of which is a separate legal entity.