Hot Topic Reporting requirements under Solvency II move forward

Hot Topic
Reporting requirements
under Solvency II move
forward
FS Regulatory Centre of
Excellence
9 November 2011
Summary
Latest proposals from EIOPA provide insurers with a largely stabilised
package of quantitative reporting requirements. This should give sufficient
certainty for insurers to move their reporting workstreams forward as they
prepare for implementation.
On 8 November 2011 EIOPA published its draft proposals on qualitative and
quantitative reporting (“the proposals”) under Solvency II. These proposals
define the content and format of insurers' Solvency II reporting both on a
private basis to their supervisors and for public reporting to all
stakeholders. This represents an important milestone in the development of
the Solvency II regime.
The proposals are open for comment until 20 January 2012 and EIOPA
plans to finalise reporting requirements in the summer of 2012. Whilst there
remain a small number of areas of uncertainty these proposals follow an
intensive period of informal consultations where EIOPA gathered
stakeholder feedback and revised its proposed requirements.
In addition, EIOPA is currently working on additional data requirements
for financial stability purposes – another consultation is expected from
December 2011 on these additional requirements. National supervisors may
propose additional reporting requirements to deal with matters specific to
their countries.
The form and content of narrative reporting will be specified in delegated
acts which are not expected to be formally published until the spring of 2012.
However, EIOPA’s consultation does contain a number of proposed
guidelines that will underpin those narrative reporting requirements.
Development of the
proposals
EIOPA’s predecessor body, CEIOPS,
originally consulted on proposals for
Solvency II reporting in Consultation
Paper 58 (CP 58) published in mid-2009.
During 2010 and 2011 EIOPA conducted
two rounds of informal consultations with
a number of key stakeholders and the
current proposals constitute the result of
almost two years of discussions and
consideration of the requirements. As a
result EIOPA considers that the proposals
currently being consulted on represent ‘a
largely stabilized package on topics which
have already been consulted on’. The clear
implication is that EIOPA is not
anticipating a need to make any sweeping
changes as a result of the current round of
consultation.
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Hot Topic
Reporting requirements under Solvency II
Scope and content of the
proposals
Regular reporting under Solvency II includes both
private reporting to supervisors in the form of the
Regular Supervisory Report (RSR) and public reporting
to all stakeholders in the Solvency and Financial
Condition Report (SFCR)
Overall, SFCR and RSR combine quantitative and
qualitative information about the risk position and
related capital adequacy with a description of risk
management processes.
EIOPA’s consultation deals with all aspects of
quantitative reporting under Solvency II. However, in
respect of qualitative reporting the proposals are largely
limited to the provision of guidelines on interpretation of
the requirements that will be set out in delegated acts.
Quantitative reporting
forms of which up to 52 will be required to be completed
by individual insurers and up to 38 by insurance groups.
The QRTs capture information on balance sheet, assets,
Solvency Capital Requirement (SCR), Minimum Capital
Requirement (MCR), technical provisions, variation
analysis and reinsurance. Each form is to be completed
as prescribed by EIOPA. To that effect log files with
explanation for completion are attached to each form.
There have been a number of key policy choices that
EIOPA has addressed in bringing forward these
proposals and these were set out in the impact
assessment that accompanied the proposals.
Stakeholders have previously commented on the lack of
guidance on how to apply the principle of proportionality
and materiality to the completion of the QRTs. EIOPA
has sought to address the issue by creating thresholds for
detail reporting on certain forms and also by reducing
public disclosure requirements on many forms. The table
below sets out some of the more significant decisions
made by EIOPA in response to stakeholders’ concerns:
Quantitative reporting takes the form of the Quantitative
Reporting Templates (QRTs). The QRTs are a set of 62
Policy area
Proposed approach
Rationale and comment
Detailed list of assets
Detailed lists of assets will be required for all
insurers on an annual basis.
During the pre-consultation it was proposed that
only larger or more complex insurers would be
required to provide detailed listings of assets on a
quarterly basis and so EIOPA’s proposals represent a
development of that theme.
Full quarterly reporting of detailed lists of assets will
be required sufficient to ensure coverage of at least:
•
90% of the total value of investments at
European level; and
•
75% of the total value of investments at a
national level.
Insurers not required to produce full detailed assets
lists on a quarterly basis will instead have to submit
a summary.
EIOPA’s view is that the detailed reporting of
investments will provide information that is
essential for both micro and macro-supervision.
EIOPA’s intention is that this detailed list will be
used to give a full vision of the risks in the
investment portfolio, to reduce the need for ad hoc
requests to assess specific exposures of certain
undertakings, to perform any necessary aggregation
and analysis at undertaking level, to enable marketwide analysis.
The proposals do not set out specific criteria as to
how the individual insurers that will be exempted
from full quarterly disclosure will be selected to
ensure that the European and national thresholds
are met.
Underwriting vs.
accident year for
reporting of claims
development
EIOPA is not proposing to mandate whether claims
development triangles are prepared on an accident
year or an underwriting year basis.
However, it proposed allowing national supervisors
the flexibility to specify the basis of reporting at a
national level.
EIOPA believes this decision will generally allow
insurers to maintain their current approach.
Where issues arise due to groups using different
bases in different territories it is envisaged that this
will be dealt with through the college of supervisors.
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Hot Topic
Reporting requirements under Solvency II
Policy area
Proposed approach
Rationale and comment
Reporting of reported
but not settled (RBNS)
claims
RBNS claims will be reported both in claims
triangles and in a columnar format.
The approach is consistent with that proposed
during pre-consultations.
Quarterly balance
sheet reporting
Insurers will be required to submit a quarterly
balance sheet only in cases where the ‘reconciliation
reserve’ cannot be explained sufficiently by the
information on assets and liabilities that is reported
in other quarterly templates.
EIOPA believes that both forms of reporting are
needed and that the marginal costs of reporting the
data in two formats will not be significant.
In the most recent pre-consultation this was an open
issue and so EIOPA have now clarified their position.
The information already available in quarterly
templates is expected to explain the largest part of
the reconciliation reserve.
EIOPA is seeking comments from stakeholders on
what quantitative threshold should be applied in
determining when a quarterly balance sheet will be
required.
Scope of public
disclosure
Ring-fenced funds
(RFF)
Variation Analysis
EIOPA is proposing that the following templates are
disclosed annually as part of the SFCR:
•
Balance sheet
•
Premiums, claims & expenses
•
Own funds
•
Solvency capital requirement
•
Minimum capital requirement (solo reporting
only)
•
Technical provisions (solo reporting only)
•
Entities in scope of the group (group reporting
only)
•
Risk concentration (group only)
EIOPA is proposing requiring reporting, at a solo
level, for each material ring-fence fund of templates
detailing the following:
•
Balance sheet
•
Technical provisions
•
Solvency capital requirement
•
Own funds
Variation analysis templates will be privately
reported to the supervisor on an annual basis. No
reporting will be required in the first year following
Solvency II implementation.
The templates to be used for annual public
disclosure are in some cases the versions used for
quarterly reporting to supervisors (which contain
less detail that the annual templates) and in some
other cases are simplified versions of what will be
reported privately to supervisors.
EIOPA’s proposals represent an extension to what
was proposed at pre-consultation when only own
funds and assets were proposed for reporting at the
level of the ring-fenced fund. EIOPA would welcome
feedback on these proposals.
No quantitative guidance is given to assist in
determining whether a ring-fenced fund is material.
These templates have been extensively modified
since the pre-consultation. Therefore EIOPA is
particularly interested in stakeholder comments on
these templates.
The templates will comprise a summary together
with templates dealing movements in own funds
arising from:
•
Investments
•
Technical provisions
•
Own debt and other items
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Hot Topic
Reporting requirements under Solvency II
Policy area
Proposed approach
Rationale and comment
Risk Concentration
The QRTs consulted on include a template in respect
of risk concentration reporting.
The quantitative template consulted on is a
development of the version contained in the preconsultation.
However, EIOPA indicates that its initial preference
is only to require qualitative narrative information
(with figures included) for risk concentration in the
early years of Solvency II’s implementation with a
quantitative template being introduced at a later
date in light of experience.
However, it appears EIOPA is not minded to
mandate its use, at least in the early years of
Solvency II.
This is an area in which EIOPA is seeking specific
feedback.
Appendix 1 to this document contains a full list of QRTs with details on their applicability, frequency and type of
disclosure.
Qualitative reporting
Other guidelines
Qualitative reporting takes the form of the narrative
included in the SFCR and the RSR.
EIOPA has also proposed guidelines as to what predefined events would trigger a requirement to report to
the supervisor outside of the RSR process and what
should be include in insurers’ disclosure policy.
The required form and content for qualitative reporting
in the SFCR and RSR will be set out in the Level 2
delegated acts. The latest draft of the delegated acts was
submitted by the European Commission to the European
Parliament at the end of October 2011. However, these
remain a private document and it is not expected that
they will be formally published until the Spring of 2012.
EIOPA’s consultation set out a number of guidelines
surrounding the preparation of the narrative reporting in
the RSR and SFCR which are aimed at achieving
harmonisation ‘to the extent that further clarification
and detail to the delegated acts are necessary’, the
guidelines do not cover every aspect of narrative
reporting. Given that the delegated acts have not been
published (and are not expected to be published until
after the consultation period closes) it is arguably hard to
form a definitive view as to whether EIOPA’s guidelines
are necessary or sufficient to achieve their stated
purpose.
The proposals comprise 27 guidelines dealing with
narrative reporting in the SFCR including together with
a further 16 guidelines specific to the RSR. These are
grouped under the standard headings to be used in the
RSR and SFCR being:
•
•
•
•
•
Business & performance
Systems of governance
Risk profile
Valuation for solvency purposes
Capital management
Areas of uncertainty
Additional reporting requirements
EIOPA is currently working on additional reporting
requirements under Solvency II over and above the
proposals discussed in this paper. EIOPA is expected to
consult on these additional requirements from
December 2011. It is expected that the additional
requirements will deal with information needed to
analyse the financial stability of the system as a whole.
In addition, national supervisors may propose additional
reporting requirements to deal with matters specific to
their countries.
Areas where EIOPA is requesting
feedback
The current proposals have been subject to extensive
discussion and two rounds of private consultations.
Although feedback is expected on the whole set of
templates there are a few areas where EIOPA
particularly expects feedback from stakeholders.
Some of those areas include:
•
•
•
Variation analysis templates – these have been
heavily revised since previous private consultation
exercises
Own Funds – Reporting treatment of eligible own
funds and treatment of reconciliation reserve
Balance sheet reporting – thresholds for
exempting quarterly reporting of the balance
sheet .
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Hot Topic
Reporting requirements under Solvency II
•
•
•
•
Reporting risk concentration for groups – should
this be done in narrative reporting instead rather
than through a quantitative template?
Format of reporting for ring-fenced funds
Design of non-life catastrophe risk templates
Content of guidelines on narrative reporting
Audit requirements?
The proposals do not include any mention of a potential
assurance requirement over Solvency II reporting. It is
understood the European Commission is considering
leaving the decision as to whether to impose any audit
requirements over Solvency II reporting at the discretion
of each Member State.
Deadlines for reporting
Reporting deadlines for SFCR, RSR and the annexed quantitative reporting templates (annual and quarterly) are to
be determined on the Level 2 implementing measures. These measures are still being developed and are expected to
be published in draft in the spring of 2012. However, our current understanding is that the reporting deadlines are
likely to be as follows:
Element of reporting
Frequency
Deadline for reporting periods ending
Solo SFCR and either full or summary RSR
(including annexed quantitative templates)
Annually
On or before 31 December 2014: 20 weeks
During 2015: 18 weeks
Single group-wide SFCR (where prepared)
During 2016: 16 weeks
After 1 January 2017: 14 weeks
Group SFCR (not incorporating solo SFCRs) and
group full or summary RSR (including annexed
quantitative templates)
On or before 31 December 2014: 26 weeks
Annually
During 2015: 24 weeks
During 2016: 22 weeks
After 1 January 2017: 20 weeks
Quarterly quantitative reporting templates
Quarterly
On or before 31 December 2014: 8 weeks
During 2015: 7 weeks
During 2016: 6 weeks
After 1 January 2017: 5 weeks
What’s next?
•
The current proposals will have to fit in within the wider
Solvency II body of legislation which is still being
developed. EIOPA is aware that a number of
adjustments to the draft delegated acts and
implementing measures to Solvency II will have to be
considered in the reporting templates. Whilst, overall
EIOPA does not believe that any adjustments would be
material, it does highlight some areas that might give
rise to adjustments to the templates including:
•
•
•
•
•
•
Counter- cyclical premium and matching
premium;
Treatment of Expected Profits Included in Future
Premiums (EPIFP);
Treatment of participations;
Treatment of ring-fenced funds;
Treatment of branches of 3rd country (non-EEA)
insurers;
Changes to certain SCR modules; and
Change in financial stability related analysis.
EIOPA has moved ahead with publishing these proposals
before the adoption of the Omnibus II Directive and the
publication of the Level 2 measures in order to provide
insurers with some extra certainty as to the reporting
requirements under Solvency II. Up until now, many
insurers have been waiting for more certainty before
fully engaging resources in the reporting element of their
Solvency II implementation plans. EIOPA is clear that
these current set of proposals should form the basis for
that preparation.
The proposals are open for comments until 20 January
2012 and it will be the last time insurers will have a
5
Hot Topic
Reporting requirements under Solvency II
chance to influence the reporting requirements under
Solvency II. It is expected that EIOPA will finalise the
requirements in the summer of 2012 and submit the
technical standards to the European Commission for
endorsement by September 2012.
Contacts
To gain deeper understandings of how the proposals on
Solvency II reporting requirements affect your business
contact:
Name
Email
Telephone
Jim Bichard
[email protected]
020 7804 3792
Mike Vickery
[email protected]
011 7923 4222
Kareline Daguer
[email protected]
020 7804 5390
What do I need to do?
To date, Solvency II reporting has tended to take a
back seat to capital evaluation and risk
management work streams for many European
insurers due to the uncertainty around the
requirements. EIOPA's publication removes some
of this uncertainty and allows insurers to accelerate
their implementation plans.
The amount of work required should not be
underestimated, as Solvency II reporting will be
much more detailed and exhaustive compared to
current requirements. Insurers should see this
consultation, and the additional clarity it provides,
as the much-needed trigger to get their reporting
workstreams on track.
The biggest challenge for most insurers will be the
requirement to report to the regulator on a more
frequent basis and in some areas to report
information that has not previously been required.
Finance functions may need to re-think their target
operating model to enable faster reporting and
enhanced integration with actuarial, risk and other
departments.
Insurers might wish to consider responding to
these proposals, particularly in the areas
highlighted as still under debate or where
comments are sought in response to the impact
assessment as these are perhaps where the chance
to influence the outcome may be greatest.
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Hot Topic
Reporting requirements under Solvency II
Appendix 1: Quantitative reporting templates
Template
BS – C1
Balance sheet
Data covered
Solo /
Group
Frequency
Annual Public
Disclosure?
Provides an overall view of the financial
and solvency condition of the insurer
under Solvency II valuation rules through
an analysis of the balance sheet. In
addition, it requires a quantitative
reconciliation to the statutory accounts.
Solo &
Group
Annually in aggregate
and, on a solo basis, for
each material ringfenced fund
Yes
Quarterly only in cases
where the ‘reconciliation
reserve’ cannot be
explained sufficiently by
the information that is
reported in other
quarterly templates.
BS – C1B
Off-balance
sheet items
Provides an overall view of the off-balance
sheet items that could impact the financial
position.
Solo &
Group
Annually
No
BS – C1D
Assets and
liabilities by
currency
Provides an overview of currency
mismatches between assets and liabilities
and potential currency risk.
Solo &
Group
Annually
No
Solo only
Annually
No
Solo &
Group
Annual (A1A) and
Quarterly (A1Q)
Yes in the form of
A1Q
Annually (B1A) in
aggregate and, on a solo
basis, for each material
ring-fenced fund
Yes – in an
slightly extended
version of the
quarterly
template B1Q
Materiality thresholds only require that all
most important currencies representing up
to 90% of both assets & liabilities (in SII
value) are reported.
Country –
K1
Activity by
country
This template aims at describing activity
carried out abroad by providing an
analysis of activity by country.
Materiality thresholds apply to data on
non-EEA jurisdictions, where reporting is
only required for jurisdictions where gross
written premiums (or claims paid)
represent more than 5% or 25 M€ of
written premiums (or claims paid).
Cover –
A1A &
A1Q
Premiums,
claims &
expenses –
annual data /
quarterly data
These templates give an analysis of written
premiums, claims and expenses paid, by
line of business and by country of
localisation of risk. The annual template
requires, in addition, details of premiums
earned and a sub-analysis of expenses by
type.
Materiality thresholds only require data by
country to be given the five countries with
the largest amount of gross written
premiums (or until 90% of written
premiums are covered).
OF – B1A
(solo &
group) &
B1Q (solo
& group)
Own funds
(annual and
quarterly
template – for
solo and group
entities)
This template provides an analysis of the
structure of own funds by type of own
funds item and by tier. The quarterly
template B1Q is a simplified version of the
annual template B1A.
Solo &
Group
VA – C2A
Summary
analysis of
This template summarises the year-onyear movement in each item of basic own
Solo only
Quarterly (B1Q)
Annually
No
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Hot Topic
Reporting requirements under Solvency II
Template
VA – C2B
VA – C2C
Data covered
changes in BOF
funds (BOF) and summarises the sources
of those movements (as shown in more
detail on C2B, C2C and C2D).
Analysis of
change in BOF
due to
investments
This template analyses the changes in BOF
relating to investments, with a breakdown
into different sources:
Analysis of
change in BOF
due to technical
provisions
•
The revenues triggered by
investments
•
The expenses related to investments
•
The impact on BOF of movements in
investment portfolio and in valuation
This template analyses the changes in BOF
relating to technical provisions, with a
breakdown into different sources:
•
Impact of risks accepted during the
period,
•
Impact of risks accepted prior to
period (which are then further subanalysed)
•
Impact from changes in risk margin
Solo /
Group
Frequency
Annual Public
Disclosure?
Solo only
Annually
No
Solo only
Annually
No
A further sub-analysis is given by line of
business (subject to a de minimis
threshold of 5% of total technical
provisions) of the movement during the
period resulting from the best estimate
element of technical provisions.
VA – C2D
Analysis of
change in BOF
due to own debt
and other items
This template analysing the changes in
BOF related to financial liabilities
(including subordinated liabilities) and to
other changes not explained in templates
VA - C2B or VA - C2C.
Solo only
Annually
No
SCR –
B2A
Solvency Capital
Requirement –
for undertakings
on Standard
Formula or
Partial Internal
Models
This template summaries the output of the
solvency capital requirement (SCR)
calculation for entities on the standard
formula or using a partial internal model.
The reporting is required at module level
of the standard formula on both a gross
and net basis.
Solo and
group
Annually in aggregate
and, on a solo basis, for
each material ringfenced fund
Yes
This template will also be required by
firms using a full internal model where
they are required to provide an estimate of
the standard formula SCR.
SCR –
B2B
Solvency Capital
Requirement –
for undertakings
on Partial
Internal Models
This template summarises the output of
the SCR calculation for entities using
partial internal. It only covers the risks
that are within the scope of the partial
internal model.
Solo and
group
Annually in aggregate
and, on a solo basis, for
each material ringfenced fund
Yes
SCR –
B2C
Solvency Capital
Requirement –
for firms on Full
Internal Models
This template provides with an overview of
the calculation of SCR using a full internal
model. Undertakings should agree with
their supervisors the identifiable
component categories from their model to
Solo and
group
Annually in aggregate
and, on a solo basis, for
each material ringfenced fund
Yes
8
Hot Topic
Reporting requirements under Solvency II
Template
Solo /
Group
Frequency
Annual Public
Disclosure?
Solo &
Group
Annually in aggregate
and, on a solo basis, for
each material ringfenced fund
No
These templates provide an analysis of the
Minimum Capital Requirement (MCR)
calculation (both inputs and outputs).
Solo only
Quarterly
Yes
Both the annual and the quarterly
template provide detailed information on
all the individual investments held by the
insurer (other than derivatives which are
separately reported). However, some
undertakings may be exempted from the
requirement to produce a full portfolio list
quarterly and instead prepared a quarterly
summary.
Solo &
Group
Annually (AS – D1) and
Quarterly (AS D1Q)
No
Solo &
Group
Annually
No
Data covered
be reported on this template.
SCR –
B3A B3G
Solvency Capital
Requirement:
- Market risk
- Counterparty
default risk
-Life
underwriting
risk
These templates provide more detailed
information on the calculation of the
various modules of the standard formula
SCR.
These templates are not required by firms
using a full internal model except where
they are also required to provide an
estimate of the standard formula SCR.
-Health
underwriting
risk
-Non-life
underwriting
risk
-Non-life
catastrophe risk
-Operational
risk
MCR –
B4A
MCR –
B4B
Minimum
Capital
Requirement
(except for
composite
undertakings)
Minimum
Capital
Requirement Composite
undertakings
Assets –
D1 & D1Q
Investments
data – portfolio
list (detailed list
of investments)
– annual
Investments
data – Portfolio
list – quarterly /
quarterly
summary
Assets –
D1S
Structure
products Data –
Portfolio list
The criteria for determining which
individual insurers may be exempted from
full quarterly reporting are not specified.
However, detailed portfolio lists will be
required on a quarterly basis to achieve at
least 90% coverage (separately for life and
non-life business) at a European level and,
potentially, at least 75% coverage at a
national level.
This template applies to structured notes
and collateralised securities and provides a
specific detailed analysis of structured
products, taking into account their specific
9
Hot Topic
Reporting requirements under Solvency II
Template
Data covered
Solo /
Group
Frequency
Annual Public
Disclosure?
Annually
No
characteristics.
Materiality thresholds only require this
template to be completed when structured
products exceed 5% of total investments.
Assets –
D20
Derivatives data:
open positions
This template provides detailed
information on all derivatives contracts
that existed during the reporting period
and were not closed prior to the reporting
reference date.
Solo &
group
Assets –
D2T
Derivatives data:
historical
derivatives
trades
This template provides detailed
information on all derivatives contracts
that existed during the reporting period
but were closed prior to the reporting
reference date.
Solo and
group
Assets –
D3
Return on
investment
assets (by asset
category)
This template provides information about
investment return. The purpose is to
assess the investment performance by
asset category to monitor profitability
under the prudent person principle and
the actual cash flows from investments in
an ALM perspective.
Solo &
Group
Annually
No
Assets –
D4
Investment
funds (lookthrough
approach)
This template provides information for
each investment fund of the underlying
main asset categories, main geographical
zones and currency.
Solo &
Group
Annually
No
Assets –
D5
Securities
lending and
repos
This template integrates detailed
information regarding exposures to
repurchase agreements (repos) and
securities lending operations.
Solo &
Group
Annually
No
Assets –
D6
Assets held as
collateral
This template integrates detailed
information regarding assets held as
collateral.
Solo &
Group
Annually
No
TP (L) –
F1 & F1Q
Life and health
SLT – Technical
provisions
(Annual &
Quarterly)
This template provides an analysis of life
and health SLT technical provisions by
type of contract (e.g. with-profits, linked,
other). The information is split between
the best estimate and the risk margin (with
technical provision calculated as a whole
separately reported).
Solo only
Annually (TP(L) – F1) in
aggregate and for each
material ring-fenced
fund
Yes – in form
TP(L) – F1Q
Quarterly – with
possible exemption by
reference to the notional
value of derivatives
using similar thresholds
to those applied to
Assets – D1Q
Annually
No
Quarterly – with
possible exemption by
reference to the notional
value of derivatives
using similar thresholds
to those applied to
Assets – D1Q
Quarterly – with
possible exemption
where investment funds
are less than 20% of
total investments
Quarterly (TP(L) –F1Q)
The annual template contains more
detailed sub-analyses of the best estimate
including an analysis by country (countries
10
Hot Topic
Reporting requirements under Solvency II
Template
Data covered
Solo /
Group
Frequency
Annual Public
Disclosure?
contributing no more than 10% to the total
may be aggregated).
TP (L) –
F2
Projection of
future cash flows
(Best Estimate –
Life)
This template aims at giving an overall
idea of the duration of liabilities used in
the calculation of the best estimate.
Solo only
Annually
No
TP (L) –
F3
Life obligations
analysis
This template aims at giving an
understanding of life business
characteristics at a product level.
Solo only
Annually
No
TP (L) –
F3A
Only for
Variable
Annuities –
Description of
guarantees by
product
This template aims at giving an overview
of Variable Annuities (VA) on a description
of guarantees by product. This template is
a supplement for template F3 and is only
applicable to VA writers.
Solo only
Annually
No
TP (L) –
F3B
Only for
Variable
Annuities –
Hedging of
guarantees
This template aims at giving an overview
of hedging techniques used for VA
products. This template is a supplement
for template F3 and is only applicable to
VA writers.
Solo only
Annually
No
TP (L) –
F4
Information on
annuities
stemming from
Non-Life
Insurance
obligations.
This template provides an overview of
non-life annuities stemming from non-life
claims at a line of business level.
Solo only
Annually
No
TP (NL) –
E1 & E1Q
Non-Life
Technical
Provisions
(annual and
quarterly)
This template provides an analysis of nonlife technical provisions by line of
business. The information is split between
the best estimate and the risk margin (with
technical provisions calculated as a whole
separately reported).
Solo only
Annually (TP (NL) – E1)
Yes - in form
TP(NL) – E1Q
Quarterly (TP(NL) E1Q)
The annual template contains more
detailed sub-analyses including an analysis
of the best estimate by country (countries
contributing no more than 10% to the total
may be aggregated).
TP (NL) –
E2
Projection of
future cash flows
(Best Estimate –
Non-Life)
This template aims at giving an overview
of the future cash flows by year expected to
be required to settle the insurance
obligations.
Solo only
Annually
No
TP (NL) –
E3
Non-life
Insurance
Claims
information
This template provides development
triangles for each line of business and
material currency for claims paid, the
undiscounted best estimate of claims
outstanding and claims reported but not
settled (RBNS). There is separate
reporting of gross amounts and
recoverable from reinsurance and (except
in respect of the best estimate) recoverable
from salvage and subrogation.
Solo only
Annually
No
11
Hot Topic
Reporting requirements under Solvency II
Template
Data covered
Solo /
Group
Frequency
Annual Public
Disclosure?
Solo only
Annually
No
Undertakings are required to report runoff triangles with a default length of 15
years.
Where a line of business represents less
that 3% of the best estimate it may be
reported in aggregate rather than by
currency.
For other lines of business reporting is
required for any currency in respect of
which liabilities are either more than 25%
of the best estimate liabilities for that line
of business or more than 5% of total best
estimate liabilities
TP (NL) –
E4
Movement of
RBNS claims
This template provides for each line of
business and material currency, an
analysis of the year on year movement in
the value and number of RBNS claims.
Where a line of business represents less
that 3% of the RBNS claims it may be
reported in aggregate rather than by
currency.
For other lines of business reporting is
required for any currency in respect of
which RBNS claims are either more than
25% of the RBNS claims for that line of
business or more than 5% of total RBNS
claims.
TP (NL) –
E6
Loss distribution
profile non-life
This template should be prepared for each
line of direct business. It analyses the
number and value of claims incurred at the
end of the current and previous 14
accident or underwriting years in
predefined brackets.
Solo only
Annually
No
TP – E7A
Underwriting
risks (peak
risks)
This template shows the 20 biggest
underwriting risks, based on net retention,
across all lines of business together with
the two biggest underwriting risks for any
lines of business not covered through this
methodology.
Solo only
Annually
No
TP – E7B
Underwriting
risks (mass
risks)
This template shows the underwriting risk
profile being the distribution, in
(predefined) brackets, of the number of
risks, the sum insured and the total annual
premium of all the underwriting risks
which have been accepted by the
undertaking (i.e. mass risks).
Solo only
Annually
No
Reporting is require for the following lines
of business:
•
Other motor insurance;
•
Marine, aviation and transport
insurance;
•
Fire & other damage;
12
Hot Topic
Reporting requirements under Solvency II
Template
Data covered
•
Solo /
Group
Frequency
Annual Public
Disclosure?
Credit & Suretyship insurance
In addition, member states may require
reporting of the following lines of
business:
•
Medical expenses insurance;
•
Income protection insurance;
•
Worker’s compensation insurance;
•
Miscellaneous financial loss.
Re – J1
Facultative
covers non-life
and life (10 most
important risks
in terms of
reinsured
exposure)
This template provides details of the
insurer’s ten biggest facultative non-life
and life risks for each line of business.
Solo only
Annually
No
Re – J2
Outgoing
Reinsurance
Program in the
next reporting
year
This template provides detailed
information on the insurer’s outgoing
reinsurance program for the coming year
by reinsurer.
Solo only
Annually with quarterly
update for new or
cancelled treaties and
material changes in the
reinsurance program,
No
Re – J3
Share of
reinsurers
This template provides detailed
information on individual reinsurers,
including type, domicile, rating and rating
agency, and an analysis of recoveries
recognised and guarantees received.
Solo &
Group
Annually
No
SPV
Special Purpose
Insurance
Vehicles
This template is for insurers using
insurance risk transfer through Special
Purpose Vehicles (SPVs). It aims to
provide details of the use of SPVs as a risk
mitigation technique.
Solo &
Group
Annually
No
G01
Undertakings in
the scope of the
group
This template gathers information on each
entity in the group to ascertain the scope of
supervision, and the method by which the
entity is included in group supervision.
Information covers the type of entity, its
supervisory authority and ranking by
balance sheet turnover, income and
performance measures. The influence
exercise is reported by various measures
including % share capital and voting share.
Information is also gathered on whether
each entity is included in group and
subgroup supervision and the method of
used for the group solvency assessment.
Group
only
Annually
Yes (simplified
version)
G03
(Re)insurance
solo
requirements
This template provides an overview of
solvency assessment at solo level for
insurance entities; for EEA undertakings
information gathered covers solo SCR,
MCR, own funds, method of SCR
calculation (undertaking specific
parameters, simplifications, partial
internal model), level of model used
(group / solo, initial approval date & latest
Group
only
Annually
No
13
Hot Topic
Reporting requirements under Solvency II
Template
Data covered
Solo /
Group
Frequency
Annual Public
Disclosure?
major change), solo capital add-ons. For
non-EEA entities information gathered
covers first and final intervention point
and eligible own funds.
G04
Other regulated
entities incl.
holding
companies
This template provides an overview of
solvency assessment at solo level for non
insurance entities. The template gathers
financial information on non insurance
entities; for each entity the type of its
capital requirement, the first and final
intervention point and eligible own funds.
Group
only
Annually
No
G14
Technical
Provisions:
Contribution to
group TP
This template provides an overview of the
technical provisions across the
undertakings within the group split by non
life, health (life and non life), life and unit
linked.
Group
only
Annually
No
G20
Contribution to
Group SCR with
Deduction and
Aggregation
The template summarises the solo capital
requirements for undertakings included in
the deduction and aggregation method of
group SCR calculation. The value of the six
main risk modules (after adjustment for
intra group transactions (IGTs)) for each
entity together with the total SCR. Also
included (from G03) are the solo SCR and
MCR for non EEA entities.
Group
only
Annually
No
IGT1
IGT involving
equity-type
transactions,
debt and asset
transfer
The template reports significant IGT on:
Group
only
Annually
No
Group
only
Annually
No
•
equity and other capital items
including participations in related
entities and transfer shares of related
entities of the group;
•
debt including bonds, loans,
collateralised debt, and other
transactions of similar nature e.g.
with periodic pre-determined
interest/coupon/premium payments
for a pre-determined period of time;
•
other asset transfer such as transfer
of properties and transfer of shares
of other companies unrelated (i.e.
outside) to the group;
that might result in capital/cash support
within the group and have a material
impact on the balance sheets of the entities
concerned.
Materiality thresholds shall be set by the
group supervisor.
IGT2
IGT Derivatives
This template reports significant IGT on
derivatives which include guarantees that
might result in capital/cash support or
mitigation of risks within the group and
have a material impact on the balance
sheets of the entities concerned.
Materiality thresholds shall be set by the
14
Hot Topic
Reporting requirements under Solvency II
Template
Data covered
Solo /
Group
Frequency
Annual Public
Disclosure?
Group
only
Annually
No
Group
only
Annually
No
Group
only
Annually
Yes (simplified
version)
group supervisor.
IGT3
IGT – Internal
reinsurance
This template reports significant IGT on
internal reinsurance between
(re)insurance undertakings of a group.
Materiality thresholds shall be set by the
group supervisor.
IGT4
RC
IGT – Internal
cost sharing,
Other
Contingent
Liabilities & Off
Balance Sheet
Items and Other
Types of IGT
This template reports all other material
IGT that are not reported in IGT1 to IGT3,
including IGT on internal cost sharing,
other contingent liabilities and off balance
sheet items.
Risk
concentration
This template seeks to list the most
important exposure by counterparty
outside the scope of the group. Details of
the counterparty to be provided are its
name, country ID code and type, rating
and the agency concerned and its sector.
Also required are the nature of the
exposure, its maturity / validity and
quantum (Solvency II value & currency),
and the entity subject to the exposure. The
maximum exposure and amount to be paid
by reinsurer, the ceded technical
provisions and impact on assets or
liabilities or whether the exposure is off
balance sheet must be disclosed.
Materiality thresholds shall be set by the
group supervisor.
Only the most important exposures should
be listed and the thresholds may be set by
the group supervisor.
This publication has been prepared for general guidance on matters of interest only, and does not constitute professional advice. You should not act upon the information contained in
this publication without obtaining specific professional advice. No representation or warranty (express or implied) is given as to the accuracy or completeness of the information contained
in this publication, and, to the extent permitted by law, PricewaterhouseCoopers LLP, its members, employees and agents accept no liability, and disclaim all responsibility, for the
consequences of you or anyone else acting, or refraining to act, in reliance on the information contained in this publication or for any decision based on it.
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