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    S.29.03 — Excess of Assets over Liabilities — explained by technical provisions Solo

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    S.29.03 — Excess of Assets over Liabilities — explained by technical provisions

    General comments:

    This section relates to annual submission of information for individual entities.

    This template focuses on changes in the Excess of Assets over Liabilities due to technical provisions (TP). The scope of technical provisions includes risks captured through Best Estimate (BE) and Risk margin, and those captured through TP calculated as a whole.

    As regards the order of calculation in the table ‘breakdown of Variation in Best Estimate’, presentation of the order is not deemed prescriptive as to the order in which the calculation is performed, as long as the content of the different cells indeed reflect the purpose and definition of these cells.

    Undertakings are required to report data on accident year or underwriting year basis, in accordance with any requirements of the National Supervisory Authority. If the National Supervisory Authority has not stipulated which to use then the undertaking may use accident or underwriting year according to how they manage each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35, provided that they use the same year consistently, year on year.

    The purpose of the template is to provide a detailed understanding of the changes in the Excess of Assets over Liabilities related to technical provisions, considering:

    • Changes in TP captions;
    • Changes in technical flows of the period;
    • A detailed breakdown of the variation of Best Estimate gross of reinsurance by sources of changes (such as new business, changes in assumptions, experience, etc.).

    The accepted reinsurance on unit-linked and index-linked business shall be included within the template.

    ITEMINSTRUCTIONS
    Of which the following
    breakdown of Variation
    in Best Estimate — analysis per UWY if
    applicable — Gross of
    reinsurance
    C0010–C0020/R0010Opening Best
    Estimate    		Amount of Best Estimate — gross of
    reinsurance — as stated in the Balance Sheet at
    closing year N–1 related to those lines of
    business, as defined in Annex I to Delegated
    Regulation (EU) 2015/35, for which an
    underwriting year approach (UWY) is used for
    Best Estimate calculation.
    C0010–C0020/R0020Exceptional
    elements
    triggering
    restating of
    opening Best
    Estimate    		Amount of adjustment to opening Best Estimate
    due to elements, other than changes in perimeter
    that led to restate the opening BE.
    Shall essentially concern changes in models (in
    case models are used) for correction of the
    model and other modifications. It shall not
    concern changes in assumptions.
    These cells are expected to be mostly applicable
    for Life business.
    C0010–C0020/R0030Changes in
    perimeter    		Amount of adjustment to opening Best Estimate
    related to changes in perimeter of the portfolio
    like sales of (part of) portfolio and purchases.
    This could also concern changes of perimeter
    due to liabilities evolving to annuities stemming
    from Non-Life obligations (triggering some
    changes from Non-Life to Life).
    C0010–C0020/R0040Foreign
    exchange
    variation    		Amount of adjustment to opening Best Estimate
    related to foreign exchange variation during the
    period.
    In this case the foreign exchange variation is
    actually meant to be applied to contracts which
    are taken out in currencies different from the
    balance sheet currency. For the calculation, the
    cash-flows of these contracts contained in the
    opening Best Estimate are simply converted due
    to the exchange variation.
    This item does not address the impact on the
    cash-flows of the insurance portfolio induced by
    re-valuation of year N–1 assets due to foreign
    exchange variation during year N.
    C0010–C0020/R0050Best Estimate
    on risks
    accepted during
    the period    		It represents present expected future cash flows
    (gross of reinsurance) included in Best Estimate
    and related to risks accepted during the period.
    This shall be considered at the closing date (and
    not at the actual date of inception of the risks),
    i.e. this shall form part of the Best Estimate at
    closing date.
    The scope of cash flows refers to Article 77 of
    Directive 2009/138/EC.
    C0010–C0020/R0060Variation of
    Best Estimate    		The variation of Best Estimate captured here
    shall only relate to the unwinding of discount
    due to
    unwinding of
    discount rate — risks accepted
    prior to period    		rates, and does not take into account other
    parameters such as changes in assumptions or
    discount rates, experience adjustment, etc.
    The concept
    of unwinding may be illustrated as
    follows: Calculate the Best Estimate of year N–1
    again but using the shifted interest rate term
    structure
    In order to isolate this strict scope of variation,
    the calculation may be as follows:
    – Consider
    Opening
    Best
    Estimate
    including the adjustment to opening
    Best Estimate (cells C0010/R0010 to
    R0040);
    – Based on this figure, run the calculation
    of the unwinding of discount rates.
    C0010–C0020/R0070Variation of
    Best Estimate
    due to year N
    projected in and
    out flows — risks accepted
    prior to period    		Premiums, claims, and surrenders that were
    forecasted on the Opening Best Estimate as to be
    paid during the year, will not be in the closing
    Best Estimate anymore as they would have been
    paid/received during the year. A neutralisation
    adjustment shall be performed.
    In order to isolate this adjustment, the
    calculation may be as follows:
    – Consider Opening Best Estimate (cell
    C0010/R0010) including the adjustment
    to
    opening
    Best
    Estimate
    (cells
    C0010/R0020 to R0040)
    – Isolate the amount of cash flows (cash in
    minus cash out) that were projected
    within this opening Best Estimate for the
    period considered
    – This isolated amount of cash flow shall
    come
    in
    addition
    to
    Opening
    Best
    Estimate (for neutralisation effect) — and be filled in cell C0010/R0070 and
    C0020/R0070.
    C0010–C0020/R0080Variation of
    Best Estimate
    due to
    experience —    		The variation of Best Estimate captured here
    shall strictly relate to the cash flows projected at
    the end of the
    period when compared to the cash
    risks accepted
    prior to period    		flows that were projected at the beginning of the
    period for the periods N
    +
    1 and future.
    It shall only capture the changes due to the
    realisation of the CF in year N and not linked to
    changes in assumptions.
    C0010–C0020/R0090Variation of
    Best Estimate
    due to changes
    in non – economic    		It mainly refers to changes in best estimate not
    driven by realised technical flows and changes
    in assumptions directly linked to insurance risks
    (i.e. lapse rates), which can be referred to as
    non-economic assumptions.
    assumptions — risks accepted
    prior to period    		In order to isolate the strict scope of variation
    due to changes in assumptions, the calculation
    may be as follows:
    – Consider the opening Best Estimate (cell
    C0010/R0010) including the adjustment
    to
    opening
    Best
    Estimate
    (cell
    C0010/R0010 to R0040) and the impact
    of unwinding of year N projected cash – flows
    (C0010/R0060
    to
    R0080
    and
    C0020/R0060 to R0080 respectively);
    – Based on this figure, run calculations
    with new assumptions not related to
    discount rates — that applied at year end
    N (if any)
    This will provide the variation of Best Estimate
    strictly related to changes in these assumptions.
    This may not capture the variation due to case – by-case revision of RBNS, which would thus
    have to be added.
    For Non-Life, cases can be expected where
    these changes cannot be discerned separately
    from changes due to experience (C0020/R0080).
    In such cases, report the total figure under
    C0020/R0080.
    C0010–C0020/R0100Variation of
    Best Estimate
    due to changes
    in economic
    environment — risks accepted
    prior to period    		It mainly refers to assumptions not directly
    linked to insurance risks, i.e. mainly the impact
    of the changes in economic environment on the
    cash flows (taking management actions into
    account, e.g. reduction of future discretionary
    benefits (‘FDB’)) and changes in discount rates.
    For non-life (C0020/R0100), in case variation
    due to inflation cannot be discerned from
    changes due
    to experience, the whole amount
    would be reported under C0020/R0080.
    In order to isolate this strict scope of variation,
    the calculation may be as follows:
    – Consider the opening Best Estimate
    including the adjustment to opening
    Best Estimate (cell C0010/R0010 to
    R0040) and the impact of unwinding, of
    year
    N
    projected
    cash-flows
    and
    experience (C0010/R0060 to R0080 and
    C0020/R0060 to R0080 respectively, or
    alternatively, C0010/R0060 to R0090
    and
    C0020/R0060
    to
    R0090
    respectively)
    – Based on this figure, run calculations
    with new discount rates that applied
    during year N, together with related
    financial assumptions (if any).
    This will provide the variation of Best Estimate
    strictly related to changes in discount rates and
    related financial assumptions.
    C0010–C0020/R0110
    C0010–C0020/R0120    		Other changes
    not elsewhere
    explained
    Closing Best
    Estimate — gross of
    reinsurance    		Corresponds to other variations in Best
    Estimate, not captured in cells C0010/R0010 to
    R0100 (for Life) or C0020/R0010 to R0100
    (Non-Life).
    Amount of Best Estimate as stated in the
    Balance Sheet at closing year N related to those
    lines of business, as defined in Annex I to
    Delegated Regulation (EU) 2015/35, for which
    an underwriting year approach (UWY) is used
    for Best Estimate calculation.
    These cells might be nil (if no UWY approach is
    used), or might total the closing Best Estimate
    figure in the Balance Sheet if no accident Year
    approach (AY) is used.
    Of which the following
    breakdown of Variation
    in Best Estimate — analysis per UWY if
    applicable —
    Reinsurance
    recoverables
    C0030–C0040/R0130Opening Best
    Estimate    		Amount of Best Estimate of reinsurance
    recoverable as stated in the Balance Sheet at
    closing year N–1 related to those lines of
    business, as defined in Annex I to Delegated
    Regulation (EU) 2015/35, for which an
    underwriting year approach (UWY) is used for
    Best Estimate calculation.
    C0030–C0040/R0140Closing Best
    Estimate    		Amount of Best Estimate of reinsurance
    recoverable as stated in the Balance Sheet at
    closing year N related to those lines of business,
    as defined in Annex I to Delegated Regulation
    (EU) 2015/35, for which an underwriting year
    approach (UWY) is used for Best Estimate
    calculation.
    Of which the following
    breakdown of Variation
    in Best Estimate — analysis per AY if
    applicable — Gross of
    reinsurance
    C0050–C0060/R0150Opening Best
    Estimate    		Amount of Best Estimate — gross of
    reinsurance — as stated in the Balance Sheet at
    closing year N–1 related to those lines of
    business, as defined in Annex I to Delegated
    Regulation (EU) 2015/35, for which an accident
    year approach (AY) is used for Best Estimate
    calculation.
    C0050–C0060/R0160Exceptional
    elements
    triggering
    restating of
    opening Best
    Estimate    		Same as for C0010 and C0020/R0020
    C0050–C0060/R0170Changes in
    perimeter    		Same as for C0010 and C0020/R0030
    C0050–C0060/R0180Foreign
    exchange
    variation    		Same as for C0010 and C0020/R0040
    C0050–C0060/R0190Variation of
    Best Estimate
    on risk covered
    after the period    		It is expected that these cells mainly concerns
    Non-Life and refers to changes in (part of)
    Premiums Provisions (i.e. in relation to all
    recognised obligations within the boundary of
    the contract at the valuation date where the
    claim has not yet occurred) as follows:
    – Identify the part of premiums provisions
    at end of year (N) related to
    a coverage
    period starting after the closing year end
    N;
    – Identify the part of premiums provisions
    at end of Year (N – 1) related to a
    coverage period starting after the closing
    Year end N;
    Derive the variation from the two figures.
    C0050–C0060/R0200Variation of
    Best Estimate
    on risks
    covered during
    the period    		It is expected that these cells mainly concerns
    Non-Life, and refers to the following cases:
    a)
    (part of) Premiums Provisions at
    Year end N – 1 which turned to Claims
    Provisions at year end N because claim
    has occurred during that period
    b)
    claims
    provisions
    related
    to
    claims occurred during the period (for
    which
    there
    was
    no
    Premiums
    provisions at year end N – 1)
    Calculation may be as follows:
    – Identify the part of claims provisions at
    Year end (N) related to risks covered
    during the period;
    – Identify the part of premiums provisions
    at Year end (N – 1) related to risks
    covered during the period;
    Derive the variation from the two figures.
    C0050–C0060/R0210Variation of
    Best Estimate
    due to
    unwinding of
    discount rate — risks covered    		The concept of unwinding may be illustrated as
    follows: Calculate the Best Estimate of year N–1
    again but using the shifted interest rate term
    structure.
    In order to isolate this strict scope of variation,
    prior to periodthe calculation may be as follows:
    – Consider part of the Opening Best
    Estimate related to risks covered prior to
    period,
    i.e.
    Opening
    Best
    Estimate
    excluding
    Premiums
    provisions
    but
    including opening adjustments if any
    (see cells C0050/R0160 to R0180 and
    C0060/R0160 to R0180;
    – Based on this figure, run the calculation
    of the unwinding of discount rates that
    applied during year N.
    C0050–C0060/R0220Variation of
    Best Estimate
    due to year N
    projected in and
    out flows — risks covered
    prior to period    		Premiums, claims, and surrenders that were
    forecasted on the Opening Best Estimate (related
    to risks covered prior to period) as to be paid
    during the year, will not be in the closing Best
    Estimate anymore as they would have been
    paid/received during the year.
    A neutralization adjustment has thus to be
    performed.
    In order to isolate this adjustment, the
    calculation may be as follows:
    – Consider part of the Opening Best
    Estimate related to risks covered prior to
    period,
    i.e.
    Opening
    Best
    Estimate
    excluding Premiums provisions;
    – Isolate the amount of cash flows (cash in
    minus cash out) that were projected
    within this opening Best Estimate for the
    period considered;
    – This isolated amount of cash flow shall
    come
    in
    addition
    to
    Opening
    Best
    Estimate (for neutralisation effect) — and
    be
    filled
    in
    cell
    C0050
    and
    C0060/R0220.
    C0050–C0060/R0230Variation of
    Best Estimate
    due to
    experience — riskscovered
    prior to period    		The variation
    of Best Estimate captured here
    shall strictly relate to the cash flows projected at
    the end of the
    period when compared to the cash
    flows that were projected at the beginning of the
    period for the periods N
    +
    1 and future.
    It shall only capture the changes due to the
    realisation of the CF in year N and not linked to
    changes in assumptions.
    C0050–C0060/R0240Variation of
    Best Estimate
    due to changes
    in non – economic
    assumptions — risks covered
    prior to period    		It mainly refers to changes in best estimate not
    driven by realised technical flows and changes
    in assumptions directly linked to insurance risks
    (i.e. lapse rates), which can be referred to as
    non-economic assumptions.
    In order to isolate the strict scope of variation
    due to changes in assumptions, the calculation
    may be as follows:
    Consider the opening Best Estimate (cell C0050-
    C0060/R0150) including the adjustment to
    opening Best Estimate (cells C0050-
    C0060/R0160 to R0180) and the impact of
    unwinding of year N projected cash-flows
    (C0050-C0060/R0210
    to R0230);
    Based on this figure, run calculations with new
    assumptions not related to discount rates – that
    applied at year end N (if any);
    This will provide the variation of Best Estimate
    strictly related to changes in these
    assumptions.
    This may not capture the variation
    due to case-by-case revision of RBNS, which
    would thus have to be added.
    For Non-Life, in cases where these changes
    cannot be discerned separately from changes due
    to experience, report the total figure under
    C0060/R0230.
    C0050–C0060/R0250Variation of
    Best Estimate
    due to changes
    in economic
    environment — risks covered
    prior to period    		It mainly refers to assumptions not directly
    linked to insurance risks, i.e. mainly the impact
    of the changes in economic environment on the
    cash flows (taking management actions into
    account, e. g. reduction of FDB) and changes in
    discount rates.
    For non-life (C0060/R0250), in case variation
    due to inflation cannot be discerned from
    changes due to experience, the whole amount
    would be reported under C0060/R0230.
    In order to isolate this strict scope of variation,
    the calculation may be as follows:
    – Consider the opening Best Estimate
    including the adjustment to opening
    Best Estimate
    (cells C0050/R0160 to
    R0180) and the impact of unwinding, of
    year
    N
    projected
    cash-flows
    and
    experience (C0050/R0210 to R0230 and
    C0060/R0210 toR0230 respectively, or
    alternatively, C0050/R0210 to R0240
    and
    C0060/R0210
    toR0240,
    respectively);
    – Based on this figure, run calculations
    with new discount rates that applied
    during year N, together with related
    financial assumptions (if any).
    This will provide the variation of Best Estimate
    strictly related to changes in discount rates and
    related financial assumptions.
    C0050–C0060/R0260Other changes
    not elsewhere
    explained    		Corresponds to other variations in Best
    Estimate, not captured in cells C0050/R0150 to
    R0250 (for Life) or C0060/R0150 to R0250
    (Non-Life).
    C0050–C0060/R0270Closing Best
    Estimate    		Amount of
    Best Estimate as stated in the
    Balance Sheet at closing year N related to those
    lines of business, as defined in Annex I to
    Delegated Regulation (EU) 2015/35, for which
    an accident year approach (AY) is used for Best
    Estimate calculation.
    Of which the following
    breakdown of Variation
    in Best Estimate — analysis per AY if
    applicable — reinsurance
    recoverables
    C0070–C0080/R0280Opening Best
    Estimate    		Amount of Best Estimate of reinsurance
    recoverable as stated in the Balance Sheet at
    closing year N–1 related to those lines of
    business, as defined in Annex I to Delegated
    Regulation (EU) 2015/35, for which an accident
    year approach (AY) is used for Best Estimate
    calculation.
    C0070–C0080/R0290Closing Best
    Estimate    		Amount of Best Estimate of reinsurance
    recoverable as stated in the Balance Sheet at
    closing year N related to those lines of business,
    as defined in Annex I to Delegated Regulation
    Of which adjustments in
    Technical Provisions
    related to valuation of
    Unit linked contracts,
    with theoretically a
    neutralising impact on
    Assets over Liabilities    		(EU) 2015/35 for which an accident year
    approach (AY) is used for Best Estimate
    calculation.
    C0090/R0300Net
    variation
    for index
    linked and unit
    linked business    		Amount shall represent the net variation, in
    Balance Sheet, of the Assets held for index – linked and unit-linked funds and of technical
    provisions – index-linked and unit-linked
    (calculated as best estimate and risk margin or
    calculate as a whole).
    Technical flows
    affecting Technical
    provisions
    C0100–C0110/R0310Premiums
    written during
    the period    		Amount of written premiums under Solvency II,
    respectively for Life and Non-life.
    C0100–C0110/R0320Claims and
    benefits during
    the period, net
    of salvages and
    subrogations    		Amount of claims and benefits during the
    period, net of salvages and subrogations,
    respectively for Life and Non-life.
    If amounts are already captured in the closing
    best estimate, they shall not be part of this item.
    C0100–C0110/R0330Expenses
    (excluding
    Investment
    expenses)    		Amount of expenses (excluding investment
    expenses — which are reported under S.29.02),
    respectively for Life and Non-life.
    If amounts are already captured in the closing
    best estimate, they shall not be part of this item.
    C0100–C0110/R0340Total technical
    flows on gross
    Technical
    Provisions    		Total amount of technical flows affecting gross
    TP.
    C0100–C0110/R0350Technical flows
    related to
    reinsurance    		Total amount of technical flows related to
    reinsurance recoverable during the period, i.e.
    Variation in Excess ofduring the
    period
    (recoverables
    received net of
    premiums paid)    		recoverable received net of premiums,
    respectively for Life and Non-life.
    Assets over Liabilities
    explained by Technical
    provisions
    C0120–C0130/R0360Variation in
    Excess of
    Assets over
    Liabilities
    explained by
    Technical
    provisions
    management — Gross
    Technical
    Provisions    		This calculation corresponds to the following
    principle:
    – consider the variation (opening minus
    closing) in BE, RM, TP calculated as a
    whole and transitional on Technical
    Provisions;
    – add amount of total technical flows, i.e.:
    inflows
    minus
    outflows
    on
    gross
    technical provisions (C0100/R0340 for
    Life and C0110/R0340 for Non-Life).
    C0120–C0130/R0370Variation in
    Excess of
    Assets over
    Liabilities
    explained by
    Technical
    provisions
    management — Reinsurance
    recoverables    		This calculation corresponds to the following
    principle:
    – consider the variation in Reinsurance
    recoverables;
    – add total amount of technical flows, i.e.:
    inflows
    minus
    outflows,
    related
    to
    reinsurance during the period.
    If the amount has a positive impact on Excess of
    Assets over Liabilities, this shall be a positive
    amount.