S.33.01 — Insurance and reinsurance individual requirements Group
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S.33.01 — Insurance and reinsurance individual requirements
General comments:
This section relates to opening and the annual submission of information for groups.
This template is relevant under method 1 as defined in Article 230 of Directive 2009/138/EC, method 2 as defined in Article 233 of the Directive 2009/138/EC and a combination of methods, in the following way:
- The first part of it (Cells C0060 to C0230) collects the information on all insurance and reinsurance undertakings of the group from EEA and non-EEA countries applying Directive 2009/138/EC reported in accordance with the rules therein; regardless of the method used for the calculation of the group solvency.
- The second part of it (Cells C0240 to C0260) collects information on the local capital requirements, local Minimum Capital Requirements, eligible own funds of all non– EEA insurance and reinsurance undertakings of the group which shall be reported in accordance with local rules, regardless of the method used for the calculation of the group solvency.
- The last cell C0270 collects the information on the solo contribution to the group SCR of all EEA and non EEA insurance and reinsurance undertakings.
- The purpose of the data in this template is to provide information to supervisors that improves the assessment of availability of own funds as well as that facilitates assessing the amount of diversification effects.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010 | Legal name of the undertaking | Legal name of each undertaking |
| C0020 | Identification code of the undertaking | Identification code by this order of priority: – Legal Entity Identifier (LEI) mandatory if existing; – Specific code in case of absence of LEI code. Specific code: – For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority; – For non-EEA undertakings and non-regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non – EEA or non-regulated undertaking, the group should comply with the following format in a consistent manner: |
| identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits | ||
|---|---|---|
| C0030 | Type of code of the ID of the undertaking code | Identification of the code used in item ‘Identification code of the undertaking’: 1 — LEI 2 — Specific code |
| C0040 | Entity Level/RFF or MAP /Remaining Part | Identify to which the information is related to. The following closed list shall be used: 1 — Entity level 2 — Material Ring fenced fund or Matching Adjustment Portfolio 3 — Remaining part |
| C0050 | Fund Number | When C0040 = 2, this is the unique number of each material ring-fenced fund or matching adjustment portfolio as attributed by the group. It shall remain unvarying over time. It shall not be re-used for other funds or portfolios). The number shall be used consistently across all templates, where relevant, to identify the fund/portfolio. When C0040=1 or 3, it shall be reported ‘0’. |
| EEA and non EEA insurance and reinsurance undertaking s (using Solvency II rules) | ||
| C0060 | SCR Market Risk | Individual (gross) SCR Market Risk for each undertaking. |
| C0070 | SCR Counterparty Default Risk | Individual (gross) SCR Counterparty Default Risk for each undertaking. |
| C0080 | SCR Life Underwriting Risk | Individual (gross) SCR Life Underwriting Risk for each undertaking. |
| C0090 | SCR Health Underwriting Risk | Individual (gross) SCR Health Underwriting Risk for each undertaking. |
|---|---|---|
| C0100 | SCR Non-life Underwriting Risk | Individual (gross) SCR Non-life Underwriting Risk for each undertaking. |
| C0110 | SCR Operational Risk | Individual SCR Operational Risk for each undertaking. |
| C0120 | Individual SCR | Individual SCR for each undertaking (including any capital add-on). |
| C0130 | Individual MCR | Individual MCR for each undertaking. |
| C0140 | Eligible Individual Own Funds to cover the SCR | Eligible Individual Own Funds to cover the SCR. Total own funds are to be reported in this item. No restrictions on availability for the group apply. |
| C0150 | Use of undertaking specific parameters | When an undertaking uses undertaking specific parameters for calculating individual SCR, report the area(s) for which these parameters are used. The following closed list shall be used: |
| 1 — Life underwriting risk / revision risk 2 — Health SLT underwriting risk / revision risk 3 — Health NSLT premium and reserve risk, 4 — Non Life premium and reserve risk, Include as many options as needed, separated by a ‘,’. | ||
| C0160 | Use of simplifications | When an undertaking uses simplifications for calculating individual SCR, report the area(s) for which these simplifications are used. The following closed list shall be used: |
| 1 — Market risk / spread risk (bonds and loans) | ||
| 2 — Market risk / interest rate risk (captives) | ||
| 3 — Market risk / spread risk (bonds and loans) (captives) | ||
| 4 — Market risk / market risk concentration (captives) | ||
| 5 — Counterparty default risk | ||
| 6 — Life underwriting risk / mortality risk |
| 7 — Life underwriting risk / longevity risk | ||
|---|---|---|
| 8 — Life underwriting risk / disability-morbidity risk | ||
| 9 — Life underwriting risk / lapse risk | ||
| 10 — Life underwriting risk / life expense risk | ||
| 11 — Life underwriting risk / life catastrophe risk | ||
| 12 — Health underwriting risk / mortality risk | ||
| 13 — Health underwriting risk / longevity risk | ||
| 14 — Health underwriting risk / disability-morbidity risk (medical expense) | ||
| 15 — Health underwriting risk / disability-morbidity risk (income protection) | ||
| 16 — Health SLT underwriting risk / lapse risk | ||
| 17 — Health underwriting risk / life expense risk | ||
| 18 — Non-Life underwriting risk / premium and reserve risk (captives) | ||
| Include as many options as needed, separated by a ‘,’. | ||
| C0170 | Use of Partial Internal Model | When an undertaking uses a partial internal model(s) for calculating individual SCR, report the area(s) for which this/these are used. |
| C0180 | Group or individual internal model | When an undertaking uses a full internal model for calculating individual SCR, it has to be stated whether this regards a individual internal model or group internal model. The following close list shall be used: 1 — Individual Internal Model 2 — Group Internal Model |
| C0190 | Date of initial approval of IM | In case a group or individual internal model is approved by individual supervisor, identify the ISO 8601 (yyyy-mm-dd) code of the date of this approval. |
| C0200 | Date of approval of latest major change of IM | In case a major change of group or individual internal model is approved by individual supervisor (Article115), identify the ISO 8601 (yyyy-mm-dd) code of the date of this approval. |
| C0210 | Date of decision of capital add-on | In case a capital add-on applies to any of the undertakings listed here (Article 37 of Directive 2009/138/EC), identify the ISO 8601 (yyyy-mm-dd) code of the date of the decision. |
| C0220 | Amount of capital add-on | In case a capital add-on applies to any of the entities listed here (Article 37 of Directive 2009/138/EC), report the exact amount. |
|---|---|---|
| C0230 | Reason of capital add-on | In case a capital add-on applies to any of the undertakings listed here (Article 37 of Directive 2009/138/EC), report the reason(s) stated by the supervisor in its decision. |
| Non EEA insurance and reinsurance undertaking s (both using Solvency II rules and not using Solvency II rules) regardless of the method used | ||
| C0240 | Local capital requirement | Local individual capital requirement that triggers first intervention by local supervisor. |
| C0250 | Local minimum capital requirement | Local individual minimum capital requirement that triggers final intervention — withdrawal of the authorisation — by local supervisor. This figure is needed to calculate the minimum consolidated group SCR. |
| C0260 | Eligible own funds in accordance with local rules | Eligible Individual Own Funds to cover the local capital requirement, as calculated according to local rules, without applying restrictions on availability for the group. |
| C0270 | Contribution of solo SCR to the group SCR | Contribution of solo SCR to group SCR If the method 1 is applied, the contribution of a subsidiary undertaking to the group SCR shall be calculated according to the formula: Contrj = SCRj × SCRdiversified/Σi SCRisolo Where: |
- SCRj is the SCR at individual entity level of the undertaking j;
- SCRdiversified = SCR calculated in accordance to Article 336(a) of Delegated Regulation (EU) 2015/35;
- SCRisolo is the SCR at individual entity level of the participating undertaking and each related insurance or reinsurance undertaking and third-country insurance and reinsurance undertaking included in the calculation of the SCRdiversified;
- the ratio is the proportional adjustment due to the recognition of diversification effects at group level.
For related insurance and reinsurance undertakings which are not subsidiaries (art 335 1.d of the DR) included via method 1, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.
For method 2, the contribution of the related undertaking to the group SCR is the proportional share of the individual SCR.