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    S.26.05 — Solvency Capital Requirement — Non-Life underwriting risk Group

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    S.26.05 — Solvency Capital Requirement — Non-Life underwriting risk PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.26.05_group.pdf
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    S.26.05 — Solvency Capital Requirement — Non-Life underwriting risk

    General comments:

    This section relates to the annual submission of information for groups, ring fenced-funds, matching adjustment portfolios and remaining part.

    Template SR.26.05 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.

    Template SR.26.05 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation-based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

    All values shall be reported net of reinsurance and other risk mitigating techniques.

    Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.

    For group reporting the following specific requirements shall be met:

    • a) This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
    • b) When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
    • c) This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
    ITEMINSTRUCTIONS
    Z0010Article 112Identifies whether the reported figures have
    been requested under Article 112 (7), to
    provide an estimate of the SCR using
    standard formula. One of the options in the
    following closed list shall be used:
    1 — Article 112 (7) reporting
    2 — Regular reporting
    Z0020Ring-fenced fund,
    matching adjustment
    portfolio or
    remaining part    		Identifies whether the reported figures are
    with regard to a RFF, matching adjustment
    portfolio or to the remaining part. One of the
    options in the following closed list shall be
    used:
    1 — RFF/MAP
    2 — Remaining part
    Z0030Fund/Portfolio
    number    		When item Z0020 = 1, identification number
    for a ring fenced fund or matching
    adjustment portfolio. This number is
    attributed by the undertaking within the
    scope of group supervision and must be
    consistent over time and with the
    fund/portfolio number reported in other
    templates.
    R0010/C0010Captives
    simplifications — non life premium and
    reserve risk    		Identify whether a captive undertaking
    within the scope of group supervision used
    simplifications for the calculation of non – life premium and reserve risk. One of the
    options in the following closed list shall be
    used:
    1 — Simplifications used
    2 — Simplifications not used
    If R0010/C0010 = 1, only C0060, C0070
    and C0090 shall be filled in for R0100 — R0230.
    R0011/C0010Simplifications used
    – non-life lapse risk    		Identify whether an undertaking within the
    scope of group for the SCR calculation used
    simplifications for the calculation of non-life
    underwriting risk. The following options
    shall be used:
    1 – Simplification
    for
    the
    purposes of Article 90a
    9 – Simplification not used
    Non-life premium and
    Reserve Risk
    R0100–R0210/ C0020Standard deviation
    for premium risk — USP Standard
    Deviation    		This is the group specific standard deviation
    for premium risk for each segment as
    calculated by the group and approved or
    prescribed by the supervisory authority.
    This item is not reported where no group
    specific parameter is used.
    R0100–R0210/ C0030USP Standard
    Deviation gross/net    		Identify if the USP standard Deviation was
    applied gross or net. One of the options in
    the following closed list shall be used:
    1 — USP gross
    2 — USP net
    R0100–R0210/C0040Standard deviation
    for premium risk — USP — Adjustment
    factor for non — proportional
    reinsurance    		This is the group specific adjustment factor
    for non — proportional reinsurance of each
    segment allows groups to take into account
    the risk — mitigating effect of particular per
    risk excess of loss reinsurance — as
    calculated by the group and approved or
    prescribed by the supervisory authority.
    This item is not reported where no group
    specific parameter is used.
    R0100–R0210/ C0050Standard deviation
    for reserve risk — USP    		This is the group specific standard deviation
    for reserve risk each segment as calculated
    by the group and approved or prescribed by
    the supervisory authority.
    This item is not reported where no group
    specific parameter is used.
    R0100–R0210/ C0060Volume measure for
    premium and reserve
    risk — volume
    measure for premium
    risk: Vprem    		The volume measure for premium risk for
    each line of business as defined in Annex I
    to Delegated Regulation (EU) 2015/35.
    R0100–R0210/ C0070Volume measure for
    premium and reserve
    risk –Volume
    measure reserve risk:
    Vres    		The volume measure for reserve risk for
    each segment, equal to the best estimate for
    the provisions for claims outstanding for the
    segment, after deduction of the amount
    recoverable from reinsurance contracts and
    special purpose vehicles.
    R0100–R0210/ C0080Volume measure for
    premium and reserve
    risk — Geographical
    Diversification —    		Geographical diversification used for the
    volume measure for each segment
    If the factor for geographical diversification
    is not calculated, then this item is set to the
    default value of 1.
    R0100–R0210/ C0090Volume measure for
    premium and reserve
    risk — V    		The volume measure for non — life
    premium and reserve risk for each segment
    If R0010/C0010 = 1, this item shall
    represent the capital requirement for non — life premium and reserve risk of particular
    segment calculated using simplifications
    R0220/C0090Total Volume
    measure for premium
    and reserve risk    		The total volume measure for premium and
    reserve risk, equal to the sum of the volume
    measures for premium and reserve risk for
    all segments.
    R0230/C0020Combined standard
    deviation    		This is the combined standard deviation for
    premium and reserve risk for all segments.
    R0300/C0100Total solvency
    capital requirement
    for non — life
    premium and reserve
    risk    		This is the total solvency capital charge for
    the non-life premium and reserve risk sub
    module.
    Non-life lapse risk
    R0400/C0110Initial absolute
    values before shock
    — Assets — Non – life underwriting risk
    — Lapse risk    		This is the absolute value of the assets
    sensitive to the non-life lapse risk, before
    the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0400/C0120Initial absolute
    values before shock
    — Liabilities — Non-life
    underwriting risk — Lapse risk    		This is the absolute value of liabilities
    sensitive to the non-life lapse risk, before
    the shock.
    The amount of Technical Provisions shall be
    net of reinsurance and SPV recoverables.
    R0400/C0130Absolute values after
    shock — Assets — Non-life
    underwriting risk — Lapse risk    		This is the absolute value of the assets
    sensitive to non-life lapse risk, after the
    shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0400/C0140Absolute values after
    shock — Liabilities
    — Non-life
    underwriting risk — Lapse risk    		This is the absolute value of the liabilities
    sensitive to non-life lapse risk, after the
    shock.
    The amount of Technical Provisions shall be
    net of reinsurance and SPV recoverables.
    R0400/C0150Solvency capital
    requirement — Non – life underwriting risk
    — Lapse risk    		This is the capital charge for non-life
    underwriting lapse risk.
    Non-life catastrophe
    risk
    R0500/C0160Solvency capital
    requirement for non – life catastrophe risk    		This is the total non-life catastrophe risk
    capital requirement.
    Total non-life
    underwriting risk
    R0600/C0160Diversification
    within non-life
    underwriting risk
    module    		This is the diversification effect within the
    non-life underwriting risk sub-module as a
    result of the aggregation of the capital
    requirements premium and reserve risk,
    catastrophe risk and lapse risk.
    Diversification shall be reported as a
    negative value if they reduce the capital
    requirement.
    R0700/C0160Total capital
    requirement for non – life underwriting risk    		This is the solvency capital requirement for
    non-life underwriting risk sub module.