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July 2015
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Insurance Risk and Regulation
Hot topic
EIOPA finalises Solvency II
reporting package and publishes
second set of ITS and Guidelines
Highlights
EIOPA has published its
second set of ITS and
Guidelines for Solvency II.
These contain requirements
and guidance for all three
pillars of Solvency II, and
most notably contain the
finalised requirements on
reporting and disclosure,
including a full set of
quantitative reporting
templates. These give
welcome certainty to insurers
as they continue to prepare
for reporting and disclosure
under Solvency II. There are
a few changes since the
December 2014 consultation
that insurers should factor
into their final preparations.
On 6 July 2015 EIOPA published its second and final set of Implementing Technical
Standards (ITS) and Guidelines for Solvency II following a consultation issued in
December 2014. The ITS set out technical requirements applicable directly to
insurers and supervisors across all three pillars of Solvency II. The Guidelines provide
guidance for regulators and insurers on implementing certain of Solvency II’s
requirements. With this second set of ITS and Guidelines, EIOPA has finalised the
last major outstanding piece of the Solvency II framework.
Requirements relating to Pillar 3 (reporting and disclosure) form a major component
of the second set of ITS and Guidelines. In particular, EIOPA published a final set of
quantitative reporting templates (QRTs). This gives insurers certainty in their
preparations for Solvency II Pillar 3 as 2016 approaches. The ITS and Guidelines
supplement requirements for narrative reporting that were previously published by
the European Commission (EC) in its final version of the Delegated Acts, released in
October 2014.
The final set of QRTs follows a consultation launched in December 2014. Although
there are a few changes, the overall structure of the templates has remained
unchanged with changes affecting the codification of the templates, simplification of
some templates considered overly burdensome and a significant reduction in the
financial stability reporting package.
Contents of the ITS and
Guidelines
The second set of ITS and Guidelines contains four
ITS and two sets of Guidelines relevant to Pillar 1,
three ITS and one set of Guidelines relevant to Pillar
2, and two ITS and five sets of Guidelines covering
different topics relevant to Pillar 3.
The Pillar 1 and Pillar 2 ITS and Guidelines are
broadly consistent with the previous consultations,
the few changes introduced are immaterial in the
context of preparing for Solvency II. A full list of these
ITS and Guidelines and a brief summary of the
changes introduced are included further down in this
hot topic.The Pillar 3 ITS and Guidelines cover the
following:

Best efforts basis for preparation of data.

QRTs to be submitted.

Submission deadlines.

Data plausibility checks to be applied.
Guidelines on reporting and disclosure
(formerly CP 14/047)
Additional guidance on narrative reporting
supplementing the requirements of the Delegated
Acts, including:

Additional detailed guidance on items to be
covered by insurers in specified sections of
their narrative reporting (both SFCR and
RSR).

Identification of pre-defined events and
reporting.
ITS on templates for the submission of
information to the supervisory authorities
(formerly CP 14/052)

Requirements for public disclosure and
reporting policies.
Requirements for reporting to regulators, including:

Cross referencing within the RSR.

Data checks to be applied.

Approval of reported information by the
administrative, management or supervisory
body.

QRTs to be completed for opening reporting
and regular annual and quarterly reporting by
solo insurers and groups, including full
updated QRT spreadsheet and LOG files.

QRTs to be completed for material ringfenced funds.

Reporting thresholds, criteria and application
of proportionality for different elements of
reporting (for example, reporting by country).

Reporting rules including units and foreign
currency conversion.
ITS on procedures, formats and templates of
the Solvency and Financial Condition Report
(SFCR) (formerly CP 14/055)
Requirements for public disclosure, including:

QRTs subject to public disclosure.

Cross references within public disclosure.

Means of disclosure including publication online.

Involvement of subsidiaries in the single SFCR.

Reporting rules including units and foreign
currency conversion.
Guidelines on exchange of information on a
systematic basis within colleges (formerly CP
14/050)
Guidance on information exchange within colleges,
including assessment of information to be exchanged
and coordination arrangements.
Guidelines on third country branches
(formerly CP 14/048)
Detailed guidance on supervision of branches of third
country insurers, including:

Authorisation, supervisory powers and
processes, accounting and valuation
requirements, distribution and determination
of branch assets, location of branch assets,
branch capital requirements and solvency,
and governance and risk management
requirements.

Narrative and quantitative reporting
requirements applicable to third country
branches, including RSR, QRTs, ORSA
supervisory report and coordination with
home-country reporting, including with
respect to public disclosure.

Means of reporting, frequency and deadlines.

Data checks to be applied to reporting.

Transitional arrangements.
Guidelines on methods to determine the
market share for the purpose of exemptions to
supervisory reporting (formerly CP 14/044)
Guidance on how supervisors should determine
market share for the purpose of applying de-minimis
limits to reporting and how they should communicate
to insurers that have been granted exemptions to
reporting.
Guidelines on financial stability reporting
(formerly CP 14/045)
Guidance on financial stability reporting, including:

Identification of insurers within the scope of
financial stability reporting and application of
requirements.
2 Hot Topic Insurance Risk and Regulation
This consultation paper addresses only branches
writing direct business, as branches of third-country
insurers writing only reinsurance business in the EU
are not within the scope of authorisation for
Solvency II.
insurer has outsourcing arrangements in place
that lead to this information not being directly
available to the insurer.
Quantitative reporting
templates
The requirements for quantitative reporting through
the QRTs are covered in several different ITS and
Guidelines, with four sets of QRT spreadsheet
templates released covering regular supervisory
reporting, public disclosure, financial stability
reporting and reporting by branches.
Completion of different templates is specified for
annual, quarterly, group, solo, third country branch,
financial stability and ring-fenced fund reporting. A
description of the individual templates and their
application to insurers, groups and third country
branches is provided in Appendix 1.
Developments to the QRTs
EIOPA last published a full set of QRTs in
December 2014 when it released its final consultation
on reporting to the supervisory authorities. The final
templates released on 6 July 2015 build on the
previous versions although the changes are not
substantial. Some of the more significant changes
are listed below:


Codification: The codification of the templates
has been simplified to substantially reduce the
number of worksheets. This consists of
defining the templates only once when the
same template applies in different
circumstances (solo and group, or quarterly
and annually), rather than having a named
template for each variant. EIOPA is expected
to publish a table to help identify the different
templates to be used in each circumstance.
Currency definition and exchange rates: The
‘Solvency II reporting currency’ definition now
refers to the currency used for the preparation
of the financial statements although the
supervisor could require reporting in another
currency if needed. Exchange rates used for
financial statements can also be used for
Solvency II reporting unless otherwise
required by the supervisor.

Solvency I balance sheet data on opening
reporting: This is no longer required and will
be reported to supervisors through the
narrative report on opening date
(1 January 2016).

Information by country – S.04.01: This
template was simplified requiring reporting at
a granular level by Member State for gross
written premiums only.

Premiums, claims and expenses – S.05.01 &
S.05.02: The LOGs have been clarified mainly
with regards to the classification of expenses.
The quarterly reporting split by top five
countries has been eliminated.

External rating information on asset
reporting: Supervisors may exempt insurers
from reporting external rating information on
templates S.06.02 and S.08.01 where the
3 Hot Topic Insurance Risk and Regulation

Changes to CIC codes: The two first positions
of the CIC code are based on valuation and a
new category XV has been created to be used
for generic prices.

Collective investment schemes – Look-through
approach S.06.03: The look-through approach
should be implemented in order to identify all
countries that represent more than 5% of the
fund being looked-through and until 90% of
the value of the fund is identified by country.
There was previously no threshold to the split
by country data to be reported.

TP-Life S.12.01: EIOPA clarified that where
possible contracts with guarantees should be
unbundled. Where it is not possible, the full
amount of technical provisions should be
reported in TP column ‘Contract with options
or guarantees’.

Best estimate by country and currency
S12.03/S.17.03 (now coded S.22.06): This
template will only be required from volatility
adjustment users and a materiality threshold
was added (90% of the best estimate of the
volatility adjustment obligations of the insurer
are to be split according to the matrix).

Own funds S.23.01: EIOPA introduced
changes for groups to clarify the calculation of
solvency ratios when a combination of
methods is applied.

Own funds S.23.04: Amendments to the tables
on adjustment for ring-fenced funds and
matching adjustment portfolios.

Participation S.24.01: Both template and LOG
have been revised and clarifications added.

Variation analysis S.29.01 to S.29.04: EIOPA
confirms these templates are to be submitted
for the first time in 2018 (referring to 2017).
The template is ‘results based’ rather than
‘cash flows based’ and the LOG was amended
to improve clarity.

Risk concentration S.37.01: The template has
been simplified with a few columns deleted,
the LOG updated and only the line-by–line
exposure approach retained.
Data specifications and definitions
Alongside the templates themselves, EIOPA has
published updated sets of LOG files. The LOG files
contain specifications and instructions for completing
the templates, including definitions of data items,
closed list or standardised coding formats, and
treatment of specific items.
Reporting frequency and
deadlines
EIOPA confirms that equivalence decisions are also
relevant when considering the reporting burden on
third country branches.
Reporting deadlines for solo insurers and groups,
including the transitional extensions to the deadlines
in the first three years of Solvency II, are specified in
the Delegated Acts so are unchanged by the new ITS
and Guidelines.
Consistent with the deadlines for insurers established
in the European Union, branches of third country
insurers will be required to submit an RSR (or
summary of material changes where a full RSR is not
required annually) and QRTs within 14 weeks of the
financial year end, quarterly QRTs within 5 weeks,
and the ORSA supervisory report two weeks after
concluding the assessment. Submission deadlines are
extended by 6 weeks in the first year of Solvency II
reducing by 2 weeks a year for three years, and
transitional reporting in the first year of Solvency II
will be required within 20 weeks of the reference date.
The reporting deadlines have remained unchanged
since they were consulted on in December 2014.
Financial stability reporting
The financial stability reporting package was subject
to significant changes (mainly reductions in scope)
following challenge from the industry about it being
overly burdensome. As a result, EIOPA will replace
the templates identified as the most complex by an
aggregate balance sheet template. Templates that are
no longer required for financial stability purposes
include: derivatives data: open positions; return on
investment assets (by asset category); investment
funds (look-through approach); securities lending and
repos; and FS-specific reinsurance information.
In addition, EIOPA has extended the deadline for
financial stability reporting after transition from six to
seven weeks. The deadlines for financial stability
reporting will be ten weeks in 2016, nine weeks in
2017 and eight weeks in 2018. Thereafter, financial
stability reporting will be required within seven weeks
of the end of the relevant reference period.
Other Guidelines and ITS
(Pillar 1 and 2)
The second set of ITS and Guidelines being finalised
early in July also include:

ITS on regional governments and local
authorities treated as exposures.

ITS on equity index for the equity dampener.

ITS on adjustment for pegged currencies.
Finally, EIOPA has eliminated the market share
requirement for reporting from undertakings as this
did impact smaller entities in those markets where
this requirement could not be fulfilled by reporting
from the largest insurers.

ITS on health risk equalisation systems
standard.

ITS on supervisory transparency and
accountability.

ITS on capital add-on.
Overall, the reporting burden for financial stability
purposes has been significantly reduced.

ITS on risk management: procedures when
assessing external credit assessments.
Supervision of thirdcountry branches

Guidelines on valuation of assets and
liabilities.

Guidelines on long term guarantees and
transitional measures.

Guidelines on extension of the recovery
period.
EIOPA introduced a number of changes to its
Guidelines on the supervision of third-country
branches including:


Equivalence decisions on a third-country have
no direct impact on the supervision of the
branch in the EU. However, EIOPA
recognises that the supervisor can take into
account how the equivalence of the home
country can affect consideration on the
proportionate application of the guidelines.
EIOPA now suggests that the supervisor
should take account of equivalence decisions
when assessing whether the whole
undertaking has an adequate solvency
margin.
The requirement for the third country branch
to provide a legal opinion on the distribution
of branch assets in the event of winding-up
has been amended, with supervisors allowed
to rely on other sources.
4 Hot Topic Insurance Risk and Regulation
Overal, the above ITS and Guidelines are broadly
consistent with the consultations issued in December
2014 except for some areas where EIOPA made
amendments to improve clarity. In the case of
Guidelines on valuation of assets and liabilities,
EIOPA clarified that recognition and valuation of
deferred tax assets are aligned to the Directive and
Delegated Acts and that documentation requirements
do not result in reporting requirements to the
supervisory authorities.
Guidelines on long term guarantees (LTG) and
transitional measures have remained broadly
unchanged with the exception of Guideline 1 which
clarifies that insurers should not create an ‘unrealistic
or distortionary’ link between future policyholder
behaviour assumptions and their use of volatility
adjustment, matching adjustment or transitional
measures.
The ITS on capital add-ons has been amended in
response to feedback from industry to clarify that
insurers will always have the opportunity to respond
to the supervisor’s conclusion to set up a capital addon and the supervisor should consider any arguments
against the capital add-on.
EIOPA will publish the Guidelines in the official
languages of the EU. Once published Member State
supervisors will have two months to confirm to
EIOPA whether they comply or intend to comply with
the Guidelines, giving reasons for any noncompliance.
The ITS have been submitted to the European
Commission (EC) who have a maximum of four
months to decide on their formal endorsement.
There are two remaining ITS on the mapping of credit
ratings and the application of the equity risk
transitional measure which EIOPA plans to finalise
shortly. It is not expected that these will introduce
significant changes to the overall Solvency II
framework.
What next?
What do I need to do?
Preparation: The majority of insurers have Pillar 3 workstreams under way, with EIOPA’s publication of final
QRTs, ITS and Guidelines on reporting, insurers have the last pieces of the reporting puzzle and can confidently
move ahead with final preparations. For those that had been basing their preparations on the set of QRTs
consulted on in December 2014, the final set does not increase the reporting burden but diminishes it slightly
on some templates and in certain circumstances (such as for financial stability reporting). This will be welcome
news to the industry.
Dry run: Some insurers have already completed dry runs of quantitative and in some cases narrative reporting
and most have also completed their preparatory phase reporting. Dry-running the Solvency II reporting on the
new basis would be beneficial before the go-live date to firm up responsibilities, identifiy issues with enough
time to remediate, and to provide sufficient time for an appropriate level of governance and review.
Assurance: All insurers will be subject to regular private and public reporting requirements when Solvency II
enters into force. Whilst it is not yet clear what assurance requirements may be mandated by the regulator,
Boards and audit committees will want to consider how they gain appropriate assurance (either internally or
externally) over all the Solvency II information that they are required to report.
Contacts
Paraic Joyce
Insurance Partner
padraic.joyce@ie.pwc.com
01 792 6394
Tony O’Riordan
Life Actuarial Director
tony.oriordan@ie.pwc.com
01 792 7551
Ronan Mulligan
Non-Life Actuarial Director
ronan.mulligan@ie.pwc.com
01 792 7505
Niall Naughton
Principal Consultant
niall.naughton@ie.pwc.com
01 792 6314
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, its members,
employees and agents do not accept or assume any liability, responsibility or duty of care for any 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.
© 2015 PricewaterhouseCoopers. All rights reserved. In this document, “PwC” refers to the Irish member firm, and may sometimes refer to the PwC network.
Each member firm is a separate legal entity. Please see www.pwc.com/structure for further details.
5 Hot Topic Insurance Risk and Regulation
Appendix 1: Quantitative reporting templates
The table below has been prepared using the following abbreviations:
O – Opening
S – Solo
A – Annual
G – Group
Q – Quarterly
B – Third-country branch
S.01.02
S.01.03
S.02.01
O
A
A
A
Q
Q
Q
Provides general basic information about
the insurer and its application of the
Solvency II rules (e.g. transitionals).
O
O
O
A
A
A
Q
Q
Q
Basic Information –
RFF and matching
adjustment
portfolios
Provides information on any ring-fenced
funds and/or matching adjustment
portfolios reported by the insurer.
O
O
O
A
A
A
Balance Sheet
Provides an overview of the balance sheet of
the insurer on a Solvency II basis. The
template includes a comparison to GAAP
reporting annually, and a comparison to the
current (Solvency I) regulatory balance sheet
for opening reporting.
O
O
O
A
A
A
Q
Q
Q
A
A
A
Basic Information –
General
S.02.02
Assets and
liabilities by
currency
Provides an overview of assets and liabilities
by category split into the insurer’s most
important currencies.
S.02.03
Additional branch
balance sheet
information
Provides information on branch
encumbered assets and preferential claims
to be paid out of branch available assets.
S.03.01
Off-balance sheet
items -general
Provides an overall view of the off-balance
sheet items that could impact the financial
position of the insurer.
S.03.02
Off-balance sheet
items – List of
unlimited
guarantees received
by the undertaking
1
The Ring Fenced Funds templates are coded SR.xx.xx
6 Hot Topic Insurance Risk and Regulation
A
A
A
A
A
A
A
S
G
B
Financial
Stability
Elements?
O
Ring Fenced
Funds/MA
(Annual)?1
O
Content of the
submission
Annual Public
Disclosure?
Provides a summary of templates included
in the submission.
Branch
S.01.01
Group
Data covered
Solo
Template code and name
Completion
Thresholds?
H – Half-yearly/Semi-annually
SA
SQ
GA
GQ
SA
SQ
GA
GQ
S
G

GQ
S.04.01
Activity by country
S.04.02
Information on class
10 in Part A of Annex
I of Solvency II
Directive2, excluding
carrier’s liability
S.05.01
Premiums, claims
and expenses by
line of business
These templates aim at describing activity
carried out abroad by providing an analysis
of activity by country.
A
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, a
sub-analysis of expenses by type.
A
A
A
Q
Q
Q
A
A
A

A
S.05.02
Premiums, claims
and expenses by
country
S.06.01
Summary of assets
Provides a summary of assets by category
and identifying non-listed/non-exchange
tradable assets, split between life, non-life,
RFF and internal funds. This template is
only required where the insurer is exempt
from the annual submission ofS.06.02 or
S.08.01.
A
A
S.06.02
List of assets
D1 provides detailed information on all the
individual investments held by the insurer
(other than derivatives which are separately
reported).
A3
A3
A
Q
Q
Q
Collective
investment
undertakings –
look-through
approach
This template provides information for each
investment fund of the underlying main
asset categories, country of issue and
currency.
A3
A3
A
Q
Q
Q
S.07.01
Structured products
This template applies to structured
products, taking into account their specific
characteristics.
A
A
A
S.08.01
Open derivatives
This template provides detailed information on
A3
A3
A
S.06.03
S
G

GQ
S
G
GQ


2
Class 10 covers Motor Vehicle Liability as specified in the Solvency II Directive.
3
Annual reporting of this template is only required were the insurer/ group is exempt from its quarterly submission.
7 Hot Topic Insurance Risk and Regulation
Financial
Stability
Elements?
A
Ring Fenced
Funds/MA
(Annual)?1
A
Annual Public
Disclosure?
A
Completion
Thresholds?
Branch
Off-balance sheet
items – List of
unlimited
guarantees
provided by the
undertaking
Group
S.03.03
Data covered
Solo
Template code and name
Q
Q
Derivatives
Transactions
This template provides detailed information on
all derivatives contracts that existed during the
reporting period but were closed prior to the
reporting reference date.
A3
A3
A
Q
Q
Q
S.09.01
Income/gains and
losses in the period
This template provides information about
investment return by income category.
A
A
A
S.10.01
Securities lending
and repos
This template integrates detailed
information regarding exposures to
repurchase agreements (repos) and
securities lending operations.
A
A
A
S.11.01
Assets held as
collateral
This template integrates detailed
information regarding assets held as
collateral.
A
A
A
S.12.01
Life and Health SLT
Technical
Provisions
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). The annual template provides
more detailed sub-analyses.
A
A
Q
Q
S.12.02
Life and Health
SLT Technical
Provisions –
by country
Provides further analysis of the best
estimate and TPs as a whole by country for
life and health SLT technical provisions.
A
A

S.13.01
Projection of future
gross cash flows
Provides analysis of cash flows by line of
business by year over the next 30 years, by
decade up to 50 years and in total thereafter.
A
A

S.14.01
Life obligations
analysis
This template aims at giving an
understanding of life business
characteristics at a product level and
homogeneous risk groups.
A
A
S.15.01
Description of the
guarantees of
variable annuities
This template aims at giving an overview of
Variable Annuities (VA) with a description
of guarantees by product.
A
A
A
S.15.02
Hedging of
guarantees of
variable annuities
This template aims at giving an overview of
hedging techniques used for VA products.
A
A
A
S.08.02
8 Hot Topic Insurance Risk and Regulation
S
S
B
Financial
Stability
Elements?
Q
Ring Fenced
Funds/MA
(Annual)?1
all derivatives contracts that existed during the
reporting period and were not closed prior to
the reporting reference date.
Annual Public
Disclosure?
Branch
Completion
Thresholds?
Group
Data covered
Solo
Template code and name

SA
GA
A
A

S.17.01
Non-life Technical
Provisions
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). The annual template contains
more detailed sub-analyses.
A
A
Q
Q
S.17.02
Non-Life Technical
Provisions – By
country
Provides further analysis of the best
estimate and TPs as a whole by country for
non-life technical provisions.
A
A

S.18.01
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.
A
A

S.19.01
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; reinsurance recoveries
and net amounts.
A
A

Undertakings are required to report run-off
triangles with a default length of 15 years.
S.20.01
Development of the
distribution of the
claims incurred
This template provides for each line of
business, an analysis of the year on year
movement in the value and number of RBNS
claims.
A
A
S.21.01
Loss distribution
risk profile
This template analyses the number and
value of claims incurred at the end of the
current and previous 14 accident or
underwriting years in predefined brackets.
A
A
S.21.02
Underwriting risks
non-life
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 if not covered through this
methodology.
A
A
9 Hot Topic Insurance Risk and Regulation
S
S
B
S
Financial
Stability
Elements?
This template provides an overview of nonlife annuities stemming from non-life claims
at a line of business level.
Ring Fenced
Funds/MA
(Annual)?1
Completion
Thresholds?
Information on
annuities stemming
from Non-Life
Insurance
obligations (old F4)
Annual Public
Disclosure?
Branch
S.16.01
Group
Data covered
Solo
Template code and name
Impact of long term
guarantees and
transitional
measures
Analyses the impact of the long term guaranty
and transitional measures on Technical
provisions, basic own funds, own funds eligible
to meet the SCR by tier, and the SCR.
A
S.22.02
Projection of future
cash flows (Best
Estimate –
Matching portfolios)
Provides a projection of cash flows and
analysis of mismatch during the reporting
period for each matching adjustment
portfolio.
S
B
S.22.03
Information on the
matching
adjustment
calculation
Provides information on the calculations
supporting the matching adjustment, by
matching adjustment portfolio.
S
B
S.22.04
Information on the
transitional on
interest rates
calculation
Provides information on the calculation of
the transitional adjustment on interest rates,
by currency for which the adjustment is
calculated.
A
A
S.22.05
Overall calculation
of the transitional
on technical
provisions
Provides information on the calculation of
the transitional adjustment on technical
provisions.
A
A
S.22.06
Best estimate subject
to volatility
adjustment by
country and currency
Provides information on the best estimate
subject to volatility adjustments by country
and currency.
A
S.23.01
Own funds
This template provides an analysis of the
structure of own funds by type of own funds
item and by tier.
O
O
O
A
A
A
Q
Q
Q
This template provides further detail on own
funds items by tier.
A
A
S.23.02
Detailed
information by tiers
on own funds
10 Hot Topic Insurance Risk and Regulation
Financial
Stability
Elements?
S.22.01
Ring Fenced
Funds/MA
(Annual)?1
A
Annual Public
Disclosure?
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). Reporting is required for four
lines of business specified for the template,
and may be required by Member State
regulators for a further eight specified lines
of business.
Completion
Thresholds?
Non-life
distribution of
underwriting risks
– by sum insured
Branch
S.21.03
Group
Data covered
Solo
Template code and name
A
A
A
S
G

S
G
GQ
Branch
This template provides details of the yearon-year movement in each item of basic own
funds (BOF) and the sources of those
movements.
A
A
A
S.23.04
List of items on
own funds
This template provides further details on
different own funds items, including mutual
member accounts, preference shares,
subordinated liabilities, ancillary own funds,
capital items in the financial statements that
do not satisfy the Solvency II criteria, and
ring-fenced funds/Matching Adjustment
portfolios
A
A
S.24.01
Participations held
This template provides a comprehensive list
of participations held and an overview of the
calculation for the deduction from own
funds related to participations in financial
and credit institutions.
A
S.25.01
Solvency Capital
Requirement – for
undertakings on
Standard Formula
This template summarises the output of the
solvency capital requirement (SCR)
calculation by module for entities on the
standard formula. The reporting is required
at module level of the standard formula on
both a gross and net basis.
O
O
O
A
A
A
Solvency Capital
Requirement – for
undertakings using
the standard
formula and partial
internal model
This template summarises the output of the
solvency capital requirement (SCR)
calculation for entities using a partial
internal model. Undertakings should agree
with their supervisors the identifiable
component categories from their model to
be reported on this template.
O
O
O
A
A
A
Solvency Capital
Requirement – for
undertakings 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 be reported on
this template.
O
O
O
A
A
A
S.25.04
Solvency Capital
Requirement
This template reports the net SCR.
S.26.01
Solvency Capital
Requirement –
Market risk
These templates provide more detailed
information on the calculation of the various
modules of the standard formula SCR,
including the use of simplifications.
S.26.02
Solvency Capital
Requirement –
S.25.02
S.25.03
11 Hot Topic Insurance Risk and Regulation
S
G
S
G
B
S
G
S
G
B
S
G
S
G
B
Financial
Stability
Elements?
Group
Annual movements
on own funds
Ring Fenced
Funds/MA
(Annual)?1
Solo
S.23.03
Annual Public
Disclosure?
Data covered
Completion
Thresholds?
Template code and name
A
SQ
GQ
A
A
A
S
G
B
A
A
A
S
G
Counterparty
default risk
B
S.26.03
Solvency Capital
Requirement – Life
underwriting risk
A
A
A
S
G
B
S.26.04
Solvency Capital
Requirement –
Health
underwriting risk
A
A
A
S
G
B
S.26.05
Solvency Capital
Requirement –
Non-life
underwriting risk
A
A
A
S
G
B
S.26.06
Solvency Capital
Requirement –
Operational risk
A
A
A
S
G
B
S.26.07
Solvency Capital
Requirement –
Simplifications
A
A
A
S
G
B
S.27.01
Solvency Capital
Requirement –
Non-life and health
NSLT catastrophe
risk
A
A
A
S
G
B
S.28.01
Minimum Capital
Requirement – Only
life or only non-life
insurance or
reinsurance activity
S.28.02
S.29.01
These templates provide an analysis of the
Minimum Capital Requirement (MCR)
calculation (both inputs and outputs).
Minimum capital
Requirement – Both
life and non-life
insurance activity
Variation Analysis
– Analysis of
Variation of Excess
of Assets over
Liabilities
This template summarises the year-on-year
movement in each item of basic own funds
(BOF) and summarises the sources of those
movements.
12 Hot Topic Insurance Risk and Regulation
O
O
A
A
Q
Q
O
O
A
A
Q
Q
A
A
S
S
Financial
Stability
Elements?
Ring Fenced
Funds/MA
(Annual)?1
Annual Public
Disclosure?
Completion
Thresholds?
Branch
Group
Data covered
Solo
Template code and name
S.29.03
Analysis of changes
due to technical
provisions
This template analyses the changes in own
funds relating to technical provisions. A
detailed breakdown into different sources is
required in respect of the gross best
estimate, and analysis is required of
technical flows affecting technical provisions
(premiums, claims, etc.)
A
A
S.29.04
Detailed analysis
per period –
Technical flows
versus Technical
provisions
This template provides further analysis of
technical flows versus technical provisions,
differentiating between risks
accepted/covered during, prior and after
(accident year only) the reporting period.
A
A
S.30.01
Facultative covers –
Basic
These templates provide details of the
insurer’s ten biggest facultative non-life and
life risks for each line of business.
A
A
S.30.02
Facultative covers –
Shares
A
A
S.30.03
Outgoing
Reinsurance
Program in the next
reporting year –
Basic
A
A
S.30.04
Outgoing
Reinsurance
Program in the next
reporting year –
Shares
A
A
S.31.01
Share of reinsurers
(including Finite
Reinsurance
and SPV’s)
This template provides detailed information
on individual reinsurers, including type,
domicile, rating and rating agency, and an
analysis of recoveries recognised and
guarantees received.
A
A
A
S.31.02
Special Purpose
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.
A
A
A
This template provides detailed information
on the insurer’s outgoing reinsurance
program for the coming year.
13 Hot Topic Insurance Risk and Regulation
Financial
Stability
Elements?
A
Ring Fenced
Funds/MA
(Annual)?1
A
Annual Public
Disclosure?
This template analyses the changes in own
funds relating to investments and financial
liabilities, with a breakdown into different
sources.
Completion
Thresholds?
Analysis of changes
due to investments
and financial
liabilities
Branch
S.29.02
Group
Data covered
Solo
Template code and name
O
A
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 for group solvency
assessment.
S.33.01
S.34.01
S.35.01
Insurance and
Reinsurance
individual
requirements
This template provides an overview of
solvency assessment at solo level for
insurance entities. For insurers subject to
Solvency II’s requirements the 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 major
change), solo capital add-ons. For non-EEA
entities information gathered covers local
capital requirements and eligible own funds.
O
Other regulated and
non-regulated
financial
undertakings
including insurance
holding companies
and mixed financial
holding company
individual
requirements
This template provides an overview of the
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 notional SCR (or sectoral
capital requirement), notional MCR (or
sectoral equivalent) and eligible own funds.
O
Contribution to
group Technical
Provisions
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. The
template also reports TPs subject to
transitional provisions, Volatility
Adjustment and Matching Adjustment gross
and net of IGT.
A
14 Hot Topic Insurance Risk and Regulation
A
A
G
Financial
Stability
Elements?
Ring Fenced
Funds/MA
(Annual)?1
Annual Public
Disclosure?
Completion
Thresholds?
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.
Undertakings in the
scope of the group
Branch
S.32.01
Group
Data covered
Solo
Template code and name
A4
A
S.36.02
IGT Derivatives
This template reports significant intra-group
transactions in derivatives, and provides details
on the counterparty and derivative transaction
details.
A4
A
S.36.03
IGT Internal
reinsurance
This template reports significant intra-group
transactions on internal reinsurance between
(re)insurance undertakings of a group, and
provides details on the counterparty and
reinsurance transaction details.
A4
A
S.36.04
IGT Internal Cost
Sharing, Contingent
Liabilities (other than
derivatives) & 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. The
template provides details on the counterparty
and transaction details.
A4
A
S.37.01
Risk concentration
This template provides information on the most
important exposures by counterparty outside
the scope of the group, including identifying
information and details of the exposures.
S.38.01
Duration of technical
provisions
This template provides information about the
overall duration of life and non-life liabilities.
SA
GA
S.39.01
Profit and Loss
This template provides information on overall
profit and loss on a GAAP basis.
SH
GH
S.40.01
Profit or Loss sharing
This template provides information on the
average profit (or loss) sharing (i.e. own fund
share of gain/loss) by entities in the group
or solo entity.
SA
GA
S.41.01
Lapses
This template provides information about the
overall evolution in lapse/surrender rates and
volumes for life business.
SQ
GQ
Financial
Stability
Elements?
The template reports significant intra-group
transactions relating to equity-type transactions,
debt and asset transfers, and provides details on
the counterparty and transaction details.
Ring Fenced
Funds/MA
(Annual)?1
Group
IGT involving equitytype transactions,
debt and asset
transfer
Annual Public
Disclosure?
Solo
S.36.01
Completion
Thresholds?
Data covered
Branch
Template code and name
A
Submission of this template is only required on a solo basis where the insurer is not subject to full group supervision and the parent is a
mixed-activity holding company.
4
15 Hot Topic Insurance Risk and Regulation
Stand out for the right reasons
Insurance risk and
regulation is an opportunity.
At PwC we work with you to embrace
change in a way that delivers value to your
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as technical difficulties, operational
failure or cyber attacks. By working
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stand out for the right reasons.
For more information on how we can help
you to stand out visit www.pwc.ie