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    S.26.07 — Solvency Capital Requirement — Simplifications Solo

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

    General comments:

    This section relates to annual submission of information for individual entities, ring fenced– funds, matching adjustment portfolios and remaining part.

    Template SR.26.07.01 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.

    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 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
    duration    		Modified 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+1    		Average mortality rate during the following
    12 (t + 1) months weighted by sum insured
    for policies where a decrease in the mortality
    rate leads to an increase in technical
    provisions.
    R0110/C0180Longevity risk — Modified
    duration    		Modified 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 (t + 1) 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 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+1    		Average lapse rate for policies with positive
    surrender strains.
    R0130/C0190Lapse risk (up) — Average
    run off period    		Average 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 (income protection) — Average rate t+1    		Average disability-morbidity rate during the
    following 12 (t + 1) months 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 was performed.
    This item shall only be reported in case of
    the reporting exemption of 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/C0330
    Subsidence – sum of
    exposures subject to the
    NAT CAT simplifications    		Include sum of exposures subject to
    subsidence simplifications.
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