Quarterly quantitative templates for individual undertakings
1. Insurance and reinsurance undertakings shall submit quarterly, unless the scope or frequency of the reporting is limited in accordance with Article 35(6) of Directive 2009/138/EC, the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35, using the following templates and complying with the following instructions:
(a)
template S.01.01.02 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II to this Regulation;
(b)
template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c)
template S.02.01.02 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex II to this Regulation;
(d)
template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II to this Regulation;
(e)
template S.06.02.01 of Annex I, providing an item–by-item list of assets, following the instructions set out in section S.06.02 of Annex II and using the Complementary Identification Code (‘CIC code’) as set out in Annex V and specified in Annex VI;
(f)
where the ratio of collective investments held by the undertaking to total investments is higher than 30 %, template S.06.03.01 of Annex I, providing information on the look-through of all collective investments held by the undertaking, following the instructions set out in section S.06.03 of Annex II;
(g)
template S.08.01.01 of Annex I, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex II and using the CIC code as set out in Annex V and specified in Annex VI;
(h)
template S.12.01.02 of Annex I, specifying information on the technical provisions relating to life insurance and health insurance pursued on a similar technical basis to that of life insurance (‘health SLT’) for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;
(i)
template S.17.01.02 of Annex I, specifying information on non-life technical provisions for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II;
(j)
template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(k)
where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(l)
where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.
2. For the purposes of paragraph 1, point (f), insurance and reinsurance undertakings shall determine the ratio of collective investments held by the undertaking to total investments by taking the sum of items C0010/R0180, collective investment undertakings included in item C0010/R0220 and collective investment undertakings included in item C0010/R0090 of template S.02.01.02 and dividing that amount by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.02.
Quarterly quantitative templates for captive insurance and captive reinsurance undertakings
Captive insurance and captive reinsurance undertakings shall submit quarterly, unless the scope or frequency of the reporting is limited in accordance with Article 35(6) of Directive 2009/138/EC, the information referred to in Article 304(1), point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.01.01.02 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;
(b)
template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c)
template S.02.01.02 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex II to this Regulation;
(d)
template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II to this Regulation;
(e)
template S.12.01.02 of Annex I, specifying information on the technical provisions relating to life insurance and health insurance pursued on a similar technical basis to that of life insurance (‘health SLT’) for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;
(f)
template S.17.01.02 of Annex I, specifying information on non-life technical provisions for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;
(g)
template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(h)
where captive insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(i)
where captive insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.
Simplifications allowed on quarterly reporting for individual undertakings and captive insurance and captive reinsurance undertakings
1. With regard to the information referred to in Article 5(1), point (c), and Article 6, point (c), valuation of data may rely on estimates and estimation methods to a greater extent than valuation of annual financial data. The valuation for the quarterly reporting shall be designed to ensure that the resulting information is reliable and complies with the standards laid down in Article 75 of Directive 2009/138/EC and that all material information that is relevant for the understanding of the data is reported in accordance to Article 305 of Delegated Regulation (EU) 2015/35.
2. When submitting the information referred to in Article 5(1), points (h) and (i) and Article 6, points (e) and (f), insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings may apply simplified methods in the calculation of the technical provisions.
Annual quantitative templates for individual undertakings and captive insurance and captive reinsurance undertakings – Basic information and content of submission
Insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings shall submit annually the information referred to in Article 304(1) point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.01.01.01 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;
(b)
template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex II;
(c)
template S.01.03.01 of Annex I, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex II.
Annual quantitative templates for individual undertakings – Balance sheet and other general information
Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.02.01.01 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II;
(b)
unless one single currency represents more than 80 % of the total liabilities, template S.02.02.01 of Annex I, specifying information on liabilities by currency, following the instructions set out in section S.02.02 of Annex II;
(c)
template S.03.01.01 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex II, where (i) or (ii) applies:
(i)
the amount of any of the following values is higher than 2 % of Total Assets:
(1)
value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit (C0020/R0010) plus Value of guarantee/collateral/contingent liabilities – Total collateral pledged (C0020/R0300) plus Maximum value – Total Contingent liabilities (C0010/R0400); or
(2)
value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit (C0020/R0030) plus Value of guarantee/collateral/contingent liabilities – Total collateral held (C0020/R0200);
(ii)
the undertaking has provided or received any unlimited guarantee;
(d)
template S.04.02.01 of Annex I, specifying information on class 10 in Part A of Annex I to Directive 2009/138/EC, excluding carrier’s liability, following the instructions set out in section S.04.02 of Annex II;
(e)
template S.04.03.01 of Annex I, specifying information on Basic Information – List of underwriting entities, following the instructions set out in section S.04.03 of Annex II;
(f)
template S.04.04.01 of Annex I, specifying information on activity by country – location of underwriting, following the instructions set out in section S.04.04 of Annex II;
(g)
template S.04.05.01 of Annex I, specifying information on Activity by country – location of risk, following the instructions set out in section S.04.05 of Annex II;
(h)
template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II.
Annual quantitative templates for captive insurance undertakings – Balance sheet and other general information
Captive insurance undertakings shall submit annually the information referred to in Article 304(1) point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.02.01.01 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II;
(b)
template S.03.01.01 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex II, where (i) or (ii) applies:
(i)
the amount of any of the following values is higher than 2 % of Total Assets:
(1)
value of guarantee/collateral/contingent liabilities – Guarantees provided by the undertaking, including letters of credit (C0020/R0010) plus Value of guarantee/collateral/contingent liabilities – Total collateral pledged (C0020/R0300) plus Maximum value – Total Contingent liabilities (C0010/R0400); or
(2)
value of guarantee/collateral/contingent liabilities – Guarantees received by the undertaking, including letters of credit (C0020/R0030) plus Value of guarantee/collateral/contingent liabilities – Total collateral held (C0020/R0200);
(ii)
the undertaking has provided or received any unlimited guarantee;
(c)
template S.04.02.01 of Annex I, specifying information on class 10 in Part A of Annex I to Directive 2009/138/EC, excluding carrier’s liability, following the instructions set out in section S.04.02 of Annex II;
(d)
template S.04.03.01 of Annex I, specifying information on Basic Information – List of underwriting entities, following the instructions set out in section S.04.03 of Annex II;
(e)
template S.04.04.01 of Annex I, specifying information on Activity by country – location of underwriting, following the instructions set out in section S.04.04 of Annex II;
(f)
template S.04.05.01 of Annex I, specifying information on Activity by country – location of risk, following the instructions set out in section S.04.05 of Annex II;
(g)
template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II.
Annual quantitative templates for captive reinsurance undertakings – Balance sheet and other general information
Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.02.01.01 of Annex I, specifying balance sheet information using the valuation method referred to in Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II;
(b)
template S.04.02.01 of Annex I, specifying information on class 10 in Part A of Annex I of Directive 2009/138/EC, excluding carrier’s liability, following the instructions set out in section S.04.02 of Annex II;
(c)
template S.04.03.01 of Annex I, specifying information on Basic Information – List of underwriting entities, following the instructions set out in section S.04.03 of Annex II Regulation;
(d)
template S.04.04.01 of Annex I, specifying information on Activity by country – location of underwriting, following the instructions set out in section S.04.04 of Annex II;
(e)
template S.04.05.01 of Annex I, specifying information on Activity by country – location of risk, following the instructions set out in section S.04.05 of Annex II;
(f)
template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking’s financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II.
Annual quantitative templates for individual undertakings and captive insurance undertakings – Investments information
Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually, unless exempted under Article 35(7) of Directive 2009/138/EC in relation to a specific template, the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
where the undertaking is exempted from reporting the template S.06.02.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.06.02.01 of Annex I to this Regulation, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex II to this Regulation and using the CIC code as set out in Annex V and specified in Annex VI;
(b)
where the undertaking is exempted from reporting the template S.06.03.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC or has not reported it quarterly because the ratio of collective investments held by the undertaking to total investments, as referred to in Article 5(1), point (f) of this Regulation, is not higher than 30 %, template S.06.03.01 of Annex I to this Regulation, providing information on the look-through of all collective investments held by the undertakings, following the instructions set out in section S.06.03 of Annex II;
(c)
template S.06.04.01 of Annex I, specifying the information on climate change-related risks to investments, following the instructions set out in section S.06.04 of Annex II;
(d)
where the value of structured products, determined as the sum of assets classified in categories 5 and 6, as defined in Annex V, represents more than 5 % of the total investments as reported in items C0010/R0070 and C0010/R0220 of template S.02.01.01, template S.07.01.01 of Annex I, providing an item-by-item list of structured products, following the instructions set out in section S.07.01 of Annex II;
(e)
where the undertakings are exempted from reporting the template S.08.01.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.08.01.01 of Annex I to this Regulation, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex II to this Regulation and using the CIC code as set out in Annex V and defined in Annex VI;
(f)
template S.09.01.01 of Annex I, specifying information on income, gains and losses in the reporting period by asset category as defined in Annex IV, following the instructions set out in section S.09.01 of Annex II;
(g)
where the value of the underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, represents more than 5 % of the total investments as reported in items C0010/R0070 and C0010/R0220 of template S.02.01.01, template S.10.01.01 of Annex I, providing an item-by-item list of securities lending and repurchase agreements, on and off-balance sheet, following the instructions set out in section S.10.01 of Annex II;
(h)
where the ratio of the value of assets held as collateral to total balance sheet as reported in items C0010/R0500 of template S.02.01.01 exceeds 10 %, template S.11.01.01 of Annex I, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section S.11.01 of Annex II.
Annual quantitative templates for individual undertakings and captive insurance undertakings – Technical provisions and risks information
1. Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.12.01.01 of Annex I, specifying by line of business as specified in Annex I to Delegated Regulation (EU) 2015/35 information on life and health SLT technical provisions, following the instructions set out in section S.12.01 of Annex II;
(b)
template S.12.02.01 of Annex I, specifying information on life and health SLT technical provisions by country where the life and health SLT technical provisions regarding the home country do not represent 100 % of the sum of the technical provisions calculated as a whole and gross best estimate, following the instructions set out in section S.12.02 of Annex II;
(c)
unless the undertaking uses simplifications for the calculation of technical provisions, for which an estimate of the expected future cash-flows arising from the contracts are not calculated, template S.13.01.01 of Annex I, specifying information on the projection of best estimate future cash flows of the life business, following the instructions set out in section S.13.01 of Annex II;
(d)
template S.14.01.01 of Annex I, specifying information on life obligations analysis, including life insurance contracts and annuities stemming from non-life contracts, by product issued by the undertaking, following the instructions set out in section S.14.01 of Annex II;
(e)
template S.14.02.01 of Annex I, specifying information on non-life obligations analysis, by line of business and specific product categories issued by the undertaking, following the instructions set out in section S.14.02 of Annex II;
(f)
template S.14.03 of Annex I, specifying information on cyber underwriting risk, following instructions set out in section S.14.03 of Annex II, where any of the following conditions apply:
(i)
the sum of premiums earned for standalone cyber policies and policies with cyber as add-on coverage, where only the estimated premiums earned for cyber risk are to be taken into account, is greater than 5 % of the overall non-life business pursued by the undertaking, or greater than EUR 5 million;
(ii)
the number of policies that include cyber risk coverage represent more than 3 % of the total number of policies of the non-life business;
(g)
template S.16.01.01 of Annex I, specifying information on annuities stemming from non-life insurance obligations issued by the undertaking under direct insurance business originating annuities, regarding all lines of business as specified in Annex I to Delegated Regulation (EU) 2015/35;
(h)
template S.17.01.01 of Annex I, specifying information on non-life technical provisions by lines of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II;
(i)
template S.17.03.01 of Annex I, specifying information on non-life technical provisions referred to direct insurance business by country, where the non-life technical provisions regarding the home country does not represent 100 % of the sum of the technical provisions calculated as a whole and gross best estimate, following the instructions set out in section S.17.03 of Annex II;
(j)
unless the undertaking uses simplifications for the calculation of technical provisions, for which an estimate of the expected future cash-flows arising from the contracts are not calculated, template S.18.01.01 of Annex I, specifying information on the projection of future cash flows based on best estimate of the non-life business, for the lines of business representing a coverage of 90 % of the sum of the technical provisions calculated as a whole and gross best estimate, following the instructions set out in section S.18.01 of Annex II;
(k)
template S.19.01.01 of Annex I, specifying information on non-life insurance claims in the format of development triangles, for the total of each non-life line of business as specified in Annex I to Delegated Regulation (EU) 2015/35;
(l)
template S.20.01.01 of Annex I, specifying information on the development of the distribution of the claims incurred at the end of the financial year for material lines of business representing a coverage of 90 % of the non-life technical provisions as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.20.01 of Annex II;
(m)
template S.21.01.01 of Annex I, specifying information on loss distribution risk profile of non-life business for material lines of business representing a coverage of 90 % of the non-life technical provisions as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.21.01 of Annex II;
(n)
template S.21.02.01 of Annex I, specifying information on the non-life underwriting risks, following the instructions set out in section S.21.02 of Annex II;
(o)
template S.21.03.01 of Annex I, specifying information on non-life underwriting risks by sum insured for material lines of business representing a coverage of 90 % of the non-life technical provisions as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions in S.21.03 of Annex II.
2. For the purposes of paragraph 1, point (g), for insurance and reinsurance undertakings other than captive insurance or captive reinsurance undertakings, information shall additionally be reported by currency, following the instructions set out in section S.16.01 of Annex II. The information by currency shall only be reported where the best estimate for the annuity claims provisions on a discounted basis from one non-life line of business represents more than 3 % of the total best estimate for all annuity claims provisions, with the following split:
(i)
amount for the reporting currency;
(ii)
amount for any currency that represents more than 25 % of the best estimate for the annuity claims provisions on a discounted basis in the original currency from that non-life line of business;
(iii)
amount for any currency that represents less than 25 % of the best estimate for the annuity claims provisions (discounted basis) in the original currency from that non-life line of business but more than 5 % of total best estimate for all annuity claims provisions.
3. For the purposes of paragraph 1, point (k), for insurance and reinsurance undertakings other than captive insurance or captive reinsurance undertakings, information shall additionally be reported by currency, following the instructions set out in section S.19.01 of Annex II to this Regulation. The information by currency shall only be reported where the total gross best estimate for one non-life line of business represents more than 10 % of the total gross best estimate of the claims provision, with the following split:
(i)
amount for any currency that represents more than 25 % of the gross best estimate of the claims provisions in the original currency from that non-life line of business;
(ii)
amount for any currency that represents less than 25 % of the gross best estimate of the claims provisions in the original currency from that non-life line of business but more than 5 % of total gross best estimate of the claims provisions in the original currency.
Annual quantitative templates for captive reinsurance undertakings – Technical provisions information
Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.12.01.01 of Annex I, specifying information on life and health SLT technical provisions by line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II;
(b)
template S.19.01.21 of Annex I, specifying information on non-life insurance claims in the format of development triangles, for the total of each non-life line of business as specified in Annex I to Delegated Regulation (EU) 2015/35.
Annual quantitative templates for individual undertakings and captive insurance undertakings – Long-term guarantees information
Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.22.01.01 of Annex I, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex II;
(b)
template S.22.04.01 of Annex I, specifying information on the interest rate transitional measure, following the instructions set out in section S.22.04 of Annex II;
(c)
template S.22.05.01 of Annex I, specifying information on the transitional measure on technical provisions, following the instructions set out in section S.22.05 of Annex II;
(d)
template S.22.06.01 of Annex I, specifying information on the best estimate subject to volatility adjustment by country and currency, following the instructions set out in section S.22.06 of Annex II.
Annual quantitative templates for captive reinsurance undertakings – Long-term guarantees information
Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using template S.22.01.01 of Annex I, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex II.
Annual quantitative templates for individual undertakings and captive insurance undertakings – Own funds and participations information
Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d) of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;
(b)
template S.23.02.01 of Annex I, providing detailed information on own funds by tiers, following the instructions set out in section S.23.02 of Annex II;
(c)
where the own funds amount for any tier change more than 5 % compared to the previous year, template S.23.03.01 of Annex I, specifying information on annual movements on own funds, following the instructions set out in section S.23.03 of Annex II;
(d)
where the own funds amount for any tier change more than 5 % compared to the previous year, template S.23.04.01 of Annex I, providing a list of items on own funds, following the instructions set out in section S.23.04 of Annex II;
(e)
template S.24.01.01 of Annex I, specifying information on participations held by the undertaking and an overview of the calculation for the deduction from own funds related to participations in financial and credit institutions, following the instructions set out in section S.24.01 of Annex II.
Annual quantitative templates for captive reinsurance undertakings – Own funds and participations information
Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II.
Annual quantitative templates for individual undertakings and captive insurance undertakings – Solvency Capital Requirement information
1. Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;
(b)
where the undertaking uses a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template S.25.05.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex II;
(c)
template S.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex II;
(d)
template S.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex II;
(e)
template S.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex II;
(f)
template S.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex II;
(g)
template S.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex II;
(h)
template S.26.06.01 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex II;
(i)
template S.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex II;
(j)
template S.26.08.01 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, for undertakings using a partial internal model or a full internal model, following the instructions set out in section S.26.08 of Annex II;
(k)
template S.26.09.01 of Annex I, specifying information on internal model market and credit risk for financial instruments, following the instructions set out in section S.26.09 of Annex II;
(l)
template S.26.10.01 of Annex I, specifying information on internal model portfolio view details of credit event risk, following the instructions set out in section S.26.10 of Annex II;
(m)
template S.26.11.01 of Annex I, specifying information on internal model details for financial instruments of credit risk, following the instructions set out in section S.26.11 of Annex II;
(n)
template S.26.12.01 of Annex I, specifying information on internal model for non-financial instruments of credit risk, following the instructions set out in section S.26.12 of Annex II;
(o)
template S.26.13.01 of Annex I, specifying information on internal model non-life and health NSLT underwriting risk, following the instructions set out in section S.26.13 of Annex II;
(p)
template S.26.14.01 of Annex I, specifying information on internal model life and health underwriting risk, following the instructions set out in section S.26.14 of Annex II;
(q)
template S.26.15.01 of Annex I, specifying information on internal model operational risk, following the instructions set out in section S.26.15 of Annex II;
(r)
template S.26.16.01 of Annex I, specifying information on internal model changes, following the instructions set out in section S.26.16 of Annex II;
(s)
template S. 27.01 specifying information on non-life catastrophe risk, following the instructions set out in section S. 27.01 of Annex II as follows:
(i)
for insurance and reinsurance undertakings other than captive insurance or captive reinsurance undertaking, template S. 27.01.01 of Annex I,
(ii)
for captive insurance or captive reinsurance undertakings, summary information and information on simplifications used on non-life and health catastrophe risk.
2. In the case of ring-fenced funds or matching adjustment portfolios, the information in the templates referred to in paragraph 1, points (c) to (s), shall not be reported for the entity as a whole.
3. Where a partial internal model is used, the information in the templates referred to in paragraph 1, points (c) to (s), shall only be reported in relation to the risks covered by the standard formula and the templates referred to in of paragraph 1, points (j) to (r), shall only be reported in relation to the risks covered by the internal model.
4. Where a full internal model is used, the information in the templates referred to in paragraph 1, points (c) to (s), shall not be reported and the templates referred to in paragraph 1, points (j) to (r) shall be reported.
Annual quantitative templates for captive reinsurance undertaking— Solvency Capital Requirement information
1. Captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.21 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;
(b)
where the undertaking uses a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template S.25.05.21 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex II.
Annual quantitative templates for individual undertakings and captive insurance and captive reinsurance undertakings – Minimum capital requirement information
Insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;
(b)
where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.
Annual quantitative templates for individual undertakings – Variation analysis information
Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
template S.29.01.01 of Annex I, specifying information on the variation of the excess of assets over liabilities during the reporting year providing a summary of main sources of this variation, following the instructions set out in section S.29.01 of Annex II;
(b)
template S.29.02.01 of Annex I, specifying information on the part of variation of the excess of assets over liabilities during the reporting year explained by investments and financial liabilities, following the instructions set out in section S.29.02 of Annex II;
(c)
templates S.29.03.01 and S.29.04.01 of Annex I, specifying information on the part of variation of the excess of assets over liabilities during the reporting year explained by technical provisions, following the instructions set out in section S.29.03 and S.29.04 of Annex II.
Annual quantitative templates for individual undertakings and captive insurance undertakings – Reinsurance and special purpose vehicles information
Insurance and reinsurance undertakings and captive insurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 using the following templates and complying with the following instructions:
(a)
where reinsurance recoverables are higher than 10 % of the total best estimate calculated separately for life and non-life business, template S.30.01.01 of Annex I, specifying information on facultative covers in the next reporting year covering information on the 20 largest facultative reinsurance exposures and the 2 largest in each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, insofar as not covered by the 20 largest, for which facultative reinsurance is used, following the instructions set out in section S.30.01 of Annex II to this Regulation;
(b)
where reinsurance recoverables are higher than 10 % of the total best estimate calculated separately for life and non-life business, template S.30.02.01 of Annex I, specifying information on shares of reinsurers of facultative covers in the next reporting year covering information on the 20 largest facultative reinsurance exposures and the 2 largest in each line of business as specified in Annex I to Delegated Regulation (EU) 2015/35, insofar as not covered by the 20 largest, following the instructions set out in section S.30.02 of Annex II to this Regulation;
(c)
where reinsurance recoverables are higher than 10 % of the total best estimate calculated separately for life and non-life business, template S.30.03.01 of Annex I, specifying information on the outgoing reinsurance program in the next reporting year covering prospective information on reinsurance treaties the period of validity of which includes or overlaps the next reporting year, following the instructions set out in section S.30.03 of Annex II;
(d)
where reinsurance recoverables are higher than 10 % of the total best estimate calculated separately for life and non-life business, template S.30.04.01 of Annex I, specifying information on the outgoing reinsurance program in the next reporting year covering prospective information on reinsurance treaties the period of validity of which includes or overlaps the next reporting year, following the instructions set out in section S.30.04 of Annex II;
(e)
template S.31.01.01 of Annex I, specifying information on the share of reinsurers, following the instructions set out in section S.31.01 of Annex II;
(f)
template S.31.02.01 of Annex I, specifying information on special purpose vehicles from the perspective of the insurance or reinsurance undertaking transferring risk to the special purpose vehicles, following the instructions set out in section S.31.02 of Annex II.
Annual quantitative templates for individual undertakings and captive insurance and captive reinsurance undertakings – Ring-fenced funds, material matching adjustment portfolios and remaining part information
1. Insurance and reinsurance undertakings and captive insurance and captive reinsurance undertakings shall submit annually the information referred to in Article 304(1), point (d), of Delegated Regulation (EU) 2015/35 in relation to each material ring-fenced fund, each material matching adjustment portfolio and the remaining part, using the following templates and complying with the following instructions:
(a)
template SR.01.01.01 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;
(b)
for each material ring-fenced fund and for the remaining part, template SR.02.01.01 of Annex I, specifying balance sheet information using both the valuation in accordance with Article 75 of Directive 2009/138/EC and the valuation following the undertaking’s financial statements, following the instructions set out in section S.02.01 of Annex II to this Regulation;
(c)
template SR.12.01.01 of Annex I, specifying information on life and health SLT technical provisions for each line of business as defined in Annex I of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;
(d)
template SR.17.01.01 of Annex I, specifying information on non-life technical provisions for each line of business as defined in Annex I of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;
(e)
template SR.22.02.01 of Annex I, specifying information on the projection of future cash flows for the best estimate calculation by each material matching adjustment portfolio, following the instructions set out in section S.22.02 of Annex II;
(f)
template SR.22.03.01 of Annex I, specifying information on the matching adjustment portfolios by each material matching adjustment portfolio, following the instructions set out in section S.22.03 of Annex II;
(g)
where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template SR.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;
(h)
where the undertaking uses the a partial internal model or a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.05.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.05 of Annex II;
(i)
template SR.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex II;
(j)
template SR.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex II;
(k)
template SR.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex II;
(l)
template SR.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex II;
(m)
template SR.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex II;
(n)
template SR.26.06.01 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex II;
(o)
template SR.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex II;
(p)
for undertakings using a partial internal model or a full internal model, template SR.26.08.01 of Annex I, specifying further information on the internal model used for the Solvency Capital Requirement, following the instructions set out in section S.26.08 of Annex II;
(q)
template SR.27.01.01 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex II.
2. Where a partial internal model is used, the information in the templates referred to in paragraph 1, points (i) to (o) and (q), shall only be reported in relation to the risks covered by the standard formula and the information in the template referred to in paragraph 1, point (p), shall be reported in relation to the risks covered by the internal model.
3. Where a full internal model is used, the information in the templates referred to in paragraph 1, points (i) to (o) and (q), shall not be reported and the information in the template referred to in paragraph 1, point (p), shall be reported.
Annual quantitative templates for individual undertakings – intra-group-transactions information
Insurance and reinsurance undertakings which are not part of a group as referred to in Article 213(2), points (a), (b) or (c), of Directive 2009/138/EC and the parent undertaking of which is a mixed-activity insurance holding company shall submit annually the information referred to in Article 245(2), second subparagraph, of that Directive, in conjunction with Article 265 of that Directive, using the following templates and complying with the following instructions:
(a)
template S.36.01.01 of Annex I, specifying information on significant intra-group-transactions, involving equity-type transactions, debt and asset transfer, following the instructions set out in section S.36.01 of Annex II;
(b)
template S.36.02.01 of Annex I, specifying information on significant intra-group-transactions on derivatives, including the guarantees supporting any derivatives instruments, following the instructions set out in section S.36.02 of Annex II;
(c)
template S.36.03.01 of Annex I, specifying information on significant intra-group-transactions on off-balance sheet items and contingent liabilities, following the instructions set out in section S.36.03 of Annex II;
(d)
template S.36.04.01 of Annex I, specifying information on significant intra-group-transactions on insurance and reinsurance, following the instructions set out in section S.36.04 of Annex II;
(e)
template S.36.05.01 of Annex I, specifying information on significant intra-group transactions on profit and loss, following the instructions set out in section S.36.05 of Annex II.
Quantitative templates for individual undertakings – intra-group transactions information
Insurance and reinsurance undertakings which are not part of a group as referred to in Article 213(2), points (a), (b) or (c), of Directive 2009/138/EC and the parent undertaking of which is a mixed-activity insurance holding company shall report very significant intra-group transactions as referred to in Article 245(2), second subparagraph, of that Directive, and intra-group transactions to be reported in all circumstances as referred to in Article 245(3) of that Directive, as soon as practicable using the relevant templates among templates S.36.00.01 to S.36.05.01 of Annex I to this Regulation, following the instructions set out in section S.36.00 to S.36.05 of Annex II to this Regulation.
Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.
