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    S.26.07 — Solvency Capital Requirement — Simplifications Group

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    S.26.07 — Solvency Capital Requirement — Simplifications PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.26.07_group.pdf
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    S.26.07 — Solvency Capital Requirement — Simplifications

    General comments:

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

    Template SR.26.07 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.26.07 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).

    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 numberWhen 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.
    Z0040Currency for interest rate
    risk (captives)    		Identify the ISO 4217 alphabetic code
    of the currency of issue. Each currency
    shall be reported in a different line.
    Market risk (including
    captives)
    R0010/C0010–C0070Spread risk (bonds and
    loans) — Market value — by credit quality step    		Market value of the assets subject to a
    capital requirement for spread risk on
    bonds and loans for each credit quality
    step where a credit assessment by a
    nominated ECAI is available.
    R0010/C0080Spread risk (bonds and
    loans) — Market value — No rating available    		Market value of the assets subject to a
    capital requirement for spread risk on
    bonds and loans where no credit
    assessment by a nominated ECAI is
    available.
    R0020/C0010–C0070Spread risk (bonds and
    loans) — Modified
    duration — by credit
    quality step    		Modified duration in years of the assets
    subject to a capital requirement for
    spread risk on bonds and loans for each
    credit quality step where a credit
    assessment by a nominated ECAI is
    available.
    R0020/C0080Spread risk (bonds and
    loans) — Modified
    duration — No rating
    available    		Modified duration in years of the assets
    subject to a capital requirement for
    spread risk on bonds and loans where
    no credit assessment by a nominated
    ECAI is available.
    R0030/C0090Spread risk (bonds and
    loans) — Increase in unit – linked and index-linked
    technical provisions    		Increase in the technical provisions less
    risk margin for policies where the
    policyholders bear the investment risk
    with embedded options and guarantees
    that would result from an instantaneous
    decrease in the value of the assets
    subject to the capital requirement for
    spread risk on bonds according to the
    simplified calculation.
    Interest rate risk
    (captives)
    R0040/C0100Interest rate risk (captives)
    — Capital requirement — Interest rate up — by
    currency    		Capital requirement for the risk of an
    increase in the term structure of interest
    rates according to the captive simplified
    calculation for each currency reported.
    R0040/C0110Interest rate risk
    (Captives) — Capital
    requirement — Interest
    rate down — by currency    		Capital requirement for the risk of a
    decrease in the term structure of interest
    rates according to the captive simplified
    calculation for each currency reported.
    Life underwriting risk
    R0100/C0120Mortality risk — Capital
    at risk    		Sum of positive capitals at risk as
    defined in Article 91 of Delegated
    Regulation (EU) 2015/35 for all
    obligations subject to mortality risk.
    R0100/C0160Mortality risk — Average
    rate t+1    		Average mortality rate during the
    following 12 (t + 1) months weighted
    by sum insured for policies with a
    positive capital at risk.
    R0100/C0180Mortality risk — Modified durationModified duration in years of all
    payments payable on death included in
    the best estimate for policies with a
    positive capital at risk.
    R0110/C0150Longevity risk — Best
    estimate    		Best estimate of obligations subject to
    longevity risk.
    R0110/C0160Longevity risk — Average rate t+1Average mortality rate during the
    following 12 months (t+1) weighted by
    sum insured for policies where a
    decrease in the mortality rate leads to
    an increase in technical provisions.
    R0110/C0190Longevity risk — Modified durationModified duration in years of all
    payments to beneficiaries included in
    the best estimate for policies where a
    decrease in the mortality rate leads to
    an increase in technical provisions.
    R0120/C0120Disability-morbidity risk
    — Capital at risk    		Sum of positive capitals at risk as
    defined in Article 93 of Delegated
    Regulation (EU) 2015/35 for all
    obligations subject to disability – morbidity risk.
    R0120/C0130Disability-morbidity risk
    — Capital at risk t+1    		Capital at risk as defined in
    R0120/C0120 after 12 months.
    R0120/C0150Disability-morbidity risk
    — Best estimate    		Best estimate of obligations subject to
    disability-morbidity risk.
    R0120/C0160Disability-morbidity risk
    — Average rate t+1    		Average disability-morbidity rate
    during the following 12 months (t+1)
    weighted by sum insured for policies
    with a positive capital at risk.
    R0120/C0170Disability-morbidity risk
    — Average rate t+2    		Average disability-morbidity rate
    during the 12 months after the
    following 12 months (t+2) weighted by
    sum insured for policies with a positive
    capital at risk.
    R0120/C0180Disability-morbidity risk
    — Modified duration    		Modified duration in years of all
    payments on disability-morbidity
    included in the best estimate for
    policies with a positive capital at risk.
    R0120/C0200Disability-morbidity risk
    — Termination rates    		Expected termination rates during the
    following 12 months (t+1) for policies
    with a positive capital at risk.
    R0130/C0140Lapse risk (up) — Surrender strainSum of all positive surrender strains as
    defined in Article 95 of Delegated
    Regulation (EU) 2015/35.
    R0130/C0160Lapse risk (up) — Average rate t+1Average lapse rate for policies with
    positive surrender strains.
    R0130/C0190Lapse risk (up) — Average run off periodAverage period in years over which the
    policies with a positive surrender strain
    run off.
    R0140/C0140Lapse risk (down) — Surrender strainSum of all negative surrender strains as
    defined in Article 95 of Delegated
    Regulation (EU) 2015/35.
    R0140/C0160Lapse risk (down) — Average rate t+1Average lapse rate for policies with
    negative surrender strains.
    R0140/C0190Lapse risk (down) — Average run off periodAverage period in years over which the
    policies with a negative surrender strain
    run off.
    R0150/C0180Life expense risk — Modified durationModified duration in years of the cash
    flows included in the best estimate of
    life insurance and reinsurance
    obligations.
    R0150/C0210Life expense risk — PaymentsExpenses paid related to life insurance
    and reinsurance during the last 12
    months.
    R0150/C0220Life expense risk — Average inflation rateWeighted average inflation rate
    included in the calculation of the best
    estimate of those obligations, where the
    weights are based on the present value
    of expenses included in the calculation
    of the best estimate for servicing
    existing life obligations.
    R0160/C0120Life catastrophe risk — Capital at riskSum of positive capitals at risk as
    defined in Article 96 of Delegated
    Regulation (EU) 2015/35.
    Health underwriting
    risk
    R0200/C0120Health mortality risk — Capital at riskSum of positive capitals at risk as
    defined in Article 97 of Delegated
    Regulation (EU) 2015/35 for all
    obligations subject to health mortality
    risk.
    R0200/C0160Health mortality risk — Average rate t+1Average mortality rate during the
    following 12 months (t+1) weighted by
    sum insured for policies with a positive
    capital at risk.
    R0200/C0180Health mortality risk — Modified durationModified duration in years of all
    payments payable on death included in
    the best estimate for policies with a
    positive capital at risk.
    R0210/C0150Health longevity risk — Best estimateBest estimate of obligations subject to
    health longevity risk.
    R0210/C0160Health longevity risk — Average rate t+1Average mortality rate during the
    following 12 months (t+1) weighted by
    sum insured for policies where a
    decrease in the mortality rate leads to
    an increase in technical provisions.
    R0210/C0180Health longevity risk — Modified durationModified duration in years of all
    payments to beneficiaries included in
    the best estimate for policies where a
    decrease in the mortality rate leads to
    an increase in technical provisions.
    R0220/C0180Health disability – morbidity risk (medical
    expense) — Modified
    duration    		Modified duration in years of the cash
    flows included in the best estimate of
    medical expense insurance and
    reinsurance obligations.
    R0220/C0210Health disability – morbidity risk (medical
    expense) — Payments    		Expenses paid related to medical
    expense insurance and reinsurance
    during the last 12 months.
    R0220/C0220Health disability – morbidity risk (medical
    expense) — Average
    inflation rate    		Weighted average rate of inflation on
    medical payments included in the
    calculation of the best estimate of those
    obligations, where the weights are
    based on the present value of medical
    payments included in the calculation of
    the best estimate of those obligations.
    R0230/C0120Health disability – morbidity risk (income
    protection) — Capital at
    risk    		Sum of positive capitals at risk as
    defined in Article 100 of Delegated
    Regulation (EU) 2015/35 for all
    obligations subject to disability – morbidity risk (income protection).
    R0230/C0130Health disability – morbidity risk (income
    protection) — Capital at
    risk t+1    		Capital at risk as defined in
    R0230/C0120 after 12 months.
    R0230/C0150Health disability – morbidity risk (income
    protection) — Best
    estimate    		Best estimate of obligations subject to
    disability-morbidity risk.
    R0230/C0160Health disability – morbidity risk (incomeAverage disability-morbidity rate
    during the following 12 months (t+1)
    protection) — Average
    rate t+1    		weighted by sum insured for policies
    with a positive capital at risk.
    R0230/C0170Health disability – morbidity risk (income
    protection) — Average
    rate t+2    		Average disability-morbidity rate
    during the 12 months after the
    following 12 months (t+2) weighted by
    sum insured for policies with a positive
    capital at risk.
    R0230/C0180Health disability – morbidity risk (income
    protection) — Modified
    duration    		Modified duration in years of all
    payments on disability-morbidity
    included in the best estimate for
    policies with a positive capital at risk.
    R0230/C0200Health disability – morbidity risk (income
    protection) — Termination rates    		Expected termination rates during the
    following 12 months for policies with a
    positive capital at risk.
    R0240/C0140Health SLT lapse risk (up)
    — Surrender strain    		Sum of all positive surrender strains as
    defined in Article 102 of Delegated
    Regulation (EU) 2015/35.
    R0240/C0160Health SLT lapse risk (up)
    — Average rate t+1    		Average lapse rate for policies with
    positive surrender strains.
    R0240/C0190Health SLT lapse risk (up)
    — Average run off period    		Average period in years over which the
    policies with a positive surrender strain
    run off.
    R0250/C0140Health SLT lapse risk
    (down) — Surrender
    strain    		Sum of all negative surrender strains as
    defined in Article 102 of Delegated
    Regulation (EU) 2015/35.
    R0250/C0160Health SLT lapse risk
    (down) — Average rate
    t+1    		Average lapse rate for policies with
    negative surrender strains.
    R0250/C0190Health SLT lapse risk
    (down) — Average run
    off period    		Average period in years over which the
    policies with a negative surrender strain
    run off.
    R0260/C0180Health expense risk — Modified durationModified duration in years of the cash
    flows included in the best estimate of
    health insurance and reinsurance
    obligations.
    R0260/C0210Health expense risk — PaymentsExpenses paid related to health
    insurance and reinsurance during the
    last 12 months.
    R0260/C0220Health expense risk — Average inflation rateWeighted average inflation rate
    included in the calculation of the best
    estimate of these obligations, weighted
    by the present value of expenses
    included in the calculation of the best
    estimate for servicing existing health
    obligations.
    Market risk — Market
    risk concentrations
    R0300/C0300Debt portfolio shareThe share of the debt portfolio for
    which a simplified SCR calculation has
    been made.
    To be reported only in case undertaking
    is exempted from reporting template
    S.06.02
    NAT CAT
    simplifications
    R0400/C0330Windstorm – sum of
    exposures subject to the
    NAT CAT
    simplifications    		Include sum of exposures subject to
    windstorm simplifications
    R0410/C0330Hail – sum of exposures
    subject to the NAT CAT
    simplifications    		Include sum of exposures subject to hail
    simplifications
    R0420/C0330Earthquake – sum of
    exposures subject to the
    NAT CAT
    simplifications    		Include sum of exposures subject to
    earthquake simplifications
    R0430/C0330Flood – sum of exposures
    subject to the NAT CAT
    simplifications    		Include sum of exposures subject to
    flood simplifications
    R0440/C0330Subsidence – sum of
    exposures subject to the
    NAT CAT
    simplifications    		Include sum of exposures subject to
    subsidence simplifications