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    S.03.01 — Off-balance sheet items — General Group

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    S.03.01 — Off-balance sheet items — General

    General comments:

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

    This template shall include the information referring to off-balance sheet items and the maximum and solvency II value of contingent liabilities in Solvency II balance sheet also. As regards the Solvency II value, the instructions define the items from a recognition perspective. Valuation principles are laid down in Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency II Technical Standards and Guidelines.

    A pool of assets that secure an investment (e.g. the pool of assets that are a collateral for covered bonds) shall not be reported in this template.

    Guarantee require the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. These guarantees can have various legal forms, such as financial guarantees, letters of credit, credit default contracts. These items shall not include guarantees stemming from insurance contracts, which are recognised in technical provisions.

    A contingent liability is defined as:

    • a) a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non-occurrence of one or more uncertain future events not wholly within the control of the entity; or
    • c) a present obligation that arises from past events even if:
      • iii. it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or
      • iv. the amount of the obligation cannot be measured with sufficient reliability.

    Collateral is an asset with a monetary value or a commitment that secure the lender against the defaults of the borrower. The value of the collateral should be reported as the economic value of the collateral at per reference date (Solvency II value of the assets), not as the risk-adjusted value of a collateral according to Article 197 of the Delegated Regulation.

    Only limited guarantees are to be reported in this template. Internal guarantees within the scope of group supervision are not reported in this template excluding information about any provided or received unlimited guarantee.

    At group level, the template is applicable for all entities within the scope of group supervision — including other financial sectors and non-controlled participations — for method 1 (Accounting consolidation-based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.

    For non-controlled participations guarantees provided and guarantees received are included on a proportional basis when method 1 is applied. When method 2 is applied these guarantees are reported with the total amount.

    This template shall be reported considering the following specifications, which regards to the instructions in the below table:

    • a) the amount of any of the following sums is higher than 2% of Total Assets:

      • i. (C0020/R0010) Value of guarantee/collateral/contingent liabilities Guarantees provided by the undertaking, including letters of credit +

    • (C0020/R0300) Value of guarantee/collateral/contingent liabilities Total collateral pledged + (C0010/R0400) Maximum value — Total Contingent liabilities;

    • ii. (C0020/R0030) Value of guarantee/collateral/contingent liabilities Guarantees received by the undertaking, including letters of credit + (C0020/R0200) Value of guarantee/collateral/contingent liabilities — Total collateral held; or

    • b) the undertaking has provided or received unlimited guarantee.

    Undertakings consolidated in accordance with points (d), (e) and (f) of Article 335(1) of Delegated Regulation (EU) 2015/35 are excluded from the calculation of the threshold.

    ITEMINSTRUCTIONS
    C0010/R0010Maximum value — Guarantees provided
    by the group,
    including letters of
    credit    		Sum of all possible cash out-flows related to
    guarantees if events triggering guarantees were all
    to happen in relation to guarantees provided by the
    group to another party. It includes cash-flows
    related to letter of credit.
    In case any guarantee is also identified as
    contingent liability under R0310, the maximum
    amount shall also be included in this row.
    C0020/R0010Value of
    guarantee/collateral/co
    ntingent liabilities — Guarantees provided
    by the group,
    including letters of
    credit    		Solvency II value of the guarantees provided by the
    group, including letters of credit.
    C0010/R0030Maximum value — Guarantees received
    by the group,
    including letters of
    credit    		Sum of all possible cash in-flows related to
    guarantees if events triggering guarantees were all
    to happen in relation to guarantees received by the
    group from another party to guarantee the payment
    of the liabilities due by the group (includes letter of
    credit, undrawn committed borrowing facilities).
    C0020/R0030Value of
    guarantee/collateral/co
    ntingent liabilities — Guarantees received
    by the group,
    including letters of
    credit    		Solvency II value of the guarantees received by the
    group, including letters of credit.
    C0020/R0100Value of guarantee /
    collateral / contingent
    liabilities — Collateral held for
    loans made or bonds
    purchased    		Solvency II value of the collaterals held for loans
    made or bonds purchased.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0110Value of guarantee /
    collateral / contingent
    liabilities — Collateral held for
    derivatives    		Solvency II value of the collaterals held for
    derivatives.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0120Value of guarantee /
    collateral / contingent
    liabilities — Assets
    pledged by reinsurers
    for ceded technical
    provisions    		Solvency II value of the assets pledged by
    reinsurers for ceded technical provisions.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0130Value of guarantee /
    collateral / contingent
    liabilities — Other
    collateral held    		Solvency II value of other collaterals held.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0200Value of guarantee /
    collateral / contingent
    liabilities — Total
    collateral held    		Total Solvency II value of the collaterals held.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0030/R0100Value of assets for
    which collateral is
    held — Collateral held
    for loans made or
    bonds purchased    		Solvency II value of the assets for which the
    collateral for loans made or bonds purchased is
    held.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0030/R0110Value of assets for
    which collateral is
    held — Collateral held
    for derivatives    		Solvency II value of the assets for which the
    collateral for derivatives is held.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0030/R0120Value of assets for
    which collateral is
    held — Assets
    pledged by reinsurers    		Solvency II value of the assets for which the
    collateral on assets pledged by reinsurers for ceded
    technical provisions is held.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    for ceded technical
    provisions
    C0030/R0130Value of assets for
    which collateral is
    held — Other
    collateral held    		Solvency II value of the assets for which the other
    collateral is held.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0030/R0200Value of assets for
    which collateral is
    held — Total
    collateral held    		Total Solvency II value of the assets for which the
    total collateral is held.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0210Value of guarantee /
    collateral / contingent
    liabilities — Collateral pledged for
    loans received or
    bonds issued    		Solvency II value of the collaterals pledged for
    loans received or bonds issued.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0220Value of guarantee /
    collateral / contingent
    liabilities — Collateral pledged for
    derivatives    		Solvency II value of the collaterals pledged for
    derivatives.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0230Value of guarantee /
    collateral / contingent    		Solvency II value of the assets pledged to cedants
    for technical provisions (reinsurance accepted).
    liabilities — Assets
    pledged to cedants for
    technical provisions
    (reinsurance accepted)    		Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0240Value of guarantee /
    collateral / contingent
    liabilities — Other
    collateral pledged    		Solvency II value of the collateral pledged for other
    collateral.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0020/R0300Value of guarantee /
    collateral / contingent
    liabilities — Total
    collateral pledged    		Total Solvency II value of the collateral pledged.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0040/R0210Value of liabilities for
    which collateral is
    pledged — Collateral
    pledged for loans    		Solvency II value of the liabilities for which the
    collateral for loans received or bonds issued is
    pledged.
    received or bonds
    issued    		Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0040/R0220Value of liabilities for
    which collateral is
    pledged — Collateral
    pledged for
    derivatives    		Solvency II value of the liabilities for which the
    collateral for derivatives is pledged.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0040/R0230Value of liabilities for
    which collateral is
    pledged — Assets
    pledged to cedants for
    technical provisions
    (reinsurance accepted)    		Solvency II value of the liabilities for which the
    assets are pledged to cedants for technical
    provisions (reinsurance accepted).
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0040/R0240Value of liabilities for
    which collateral is
    pledged — Other
    collateral pledged    		Solvency II value of the liabilities for which other
    collateral is pledged.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0040/R0300Value of liabilities for
    which collateral is
    pledged — Total
    collateral pledged    		Total Solvency II value of the liabilities for which
    the collateral is pledged.
    Other local/sectoral valuation principles than
    Solvency II ones may be relevant in this case.
    C0010/R0310Maximum value — Contingent liabilities
    not in Solvency II
    Balance Sheet    		Maximum possible value, regardless of their
    probability (i.e. future cash out-flows required to
    settle the contingent liability over the lifetime of
    that contingent liability, discounted at the relevant
    risk-free interest rate term structure) of contingent
    liabilities that are not included in those valued in
    Solvency II Balance Sheet (item C0010/R0740 of
    S.02.01)
    Internal contingent liabilities within the scope of
    group supervision are not reported in this template.
    This shall relate to Contingent liabilities that are
    not material.
    This amount shall include guarantees reported in
    R0010 if considered as contingent liabilities.
    C0010/R0330Maximum value — Contingent liabilities
    in Solvency II Balance
    Sheet    		Maximum possible value, regardless of their
    probability (i.e. future cash out-flows required to
    settle the contingent liability over the lifetime of
    that contingent liability, discounted at the relevant
    risk-free interest rate term structure) of contingent
    liabilities that are valued in Solvency II Balance
    Sheet, as defined in Article 11 of the Delegated
    Regulation (EU) 2015/35.
    C0010/R0400Maximum value — Total Contingent
    liabilities    		Total maximum possible value, regardless of their
    probability (i.e. future cash flows required to settle
    the contingent liability over the lifetime of that
    contingent liability, discounted at the relevant risk – free interest rate term structure) of contingent
    liabilities.
    C0020/R0310Value of guarantee/
    collateral / contingent
    liabilities — Contingent liabilities
    not in Solvency II
    Balance Sheet    		Solvency II value of the contingent liabilities not in
    Solvency II Balance Sheet.
    C0020/R0330Value of guarantee /
    collateral / contingent
    liabilities — Contingent liabilities
    in Solvency II Balance
    Sheet    		Solvency II value of the contingent liabilities in
    Solvency II Balance Sheet. This value shall only be
    reported in relation to contingent liabilities for
    which a value in item C0010/R0330 in S.03.01 was
    reported.
    If this value is lower than C0010/R0740 in S.02.01
    an explanation shall be provided in the narrative
    reporting.
    C0050/R0510Unlimited guarantees
    -
    received    		Indication if the unlimited guarantees received
    exists. One of the options in the following closed list
    shall be used:
    0 -
    no unlimited guarantees received;
    1 -
    Unlimited guarantees received only from group;
    2 -
    Unlimited guarantees received only from
    outside the group;
    3 -
    Unlimited guarantees received from group and
    from outside the group.
    C0050/R0520Unlimited guarantees
    -
    provided    		Indication if the unlimited guarantees provided
    exists. One of the options in the following closed list
    shall be used:
    0 -
    no unlimited guarantees provided;
    1 -
    Unlimited guarantees provided only by group;
    2 -
    Unlimited guarantees provided only by an entity
    outside the group;
    3 - Unlimited guarantees provided by group and by
    entity outside the group.