Number Date Reference

Transcript

Number
Date
Reference
1
06/11/2015
EIOPA13_415,FinalreportonpublicconsultationNo13/10
2
06/11/2015
s.23.01ownfunds
3
06/11/2015
S.12.01
4
06/11/2015
S.02.02
heproposalfordraftImplementingTechnicalStandardsonthetemplatesforthesubmissionofinformationtothesupervisoryauthor
5
06/11/2015
6
11/11/2015
0
7
06/11/2015
0
8
06/11/2015
s.08.02(AssetsD2Treport)
052Consultationpaperontheproposalfordraftimplementingtechnicalstandardsonthetemplatesforthesubmissionofinformation
9
06/11/2015
10
28/07/2016
QuestionsoninstructionsforS2reportS10.01
11
24/11/2015
CP-14-052-ITS-LOG-File-Wordning-S.36.03.-IGT-InternalReinsurance(oldIGT3)
11
11/07/2016
QRTsS.30.01,S.30.02,S.30.03,S.31.01
12
06/11/2015
Unknow
13
06/11/2015
CP14/52-ITSonregularsupervisoryreporting(AnnexII)-S.07.01–Structuredproducts
14
06/11/2015
CP14/52-ITSonregularsupervisoryreporting(AnnexII)-S.10.01–Securitieslendingandrepos(D5)
CP14-052Annex2IndividuallogsS.16.01.-InformationonannuitiesstemmingfromNon-LifeInsuranceobligations(Ol
15
06/11/2015
16
19/01/2016
Guideline13–Individualquantitativeannualinformation
17
06/11/2015
S.07.01C0080CapitalProtection
18
11/11/2015
General
19
11/11/2015
S.14,E.02.01.b
20
11/11/2015
ReportingofnegativetechnicalprovisionsinS.26.03andS.26.04.
21
11/11/2015
CP-14EIOPA_ITSReportingAnnexII_Articles12and14_S_06_02_LOG
22
10/02/2016
SolvencyIIQRTreporting
23
06/11/2015
DelegatedActs,article217(9)
24
25
S.04.02.01-Informationonclass10inPartAofAnnexIofSolvencyIIDirective,excludingcarrier'sliability
06/11/2015
06/11/2015
ImplementingTechnicalStandardandLOGS-Currency
26
10/12/2015
S.28.01,S.28.02
27
06/11/2015
EIOPA-Bos-15/115
28
24/11/2015
ImplementingTechnicalStandards(ITS)AnnexII_S_04_02_LOG
29
24/11/2015
ITSReportingAnnexII_S_05_01_LOG
30
24/11/2015
ITSReportingAnnexII_S_21_01_LOG
31
10/12/2015
EIOPA-BoS-14/169EN(Appendix)S.25.01IndividualLog(AnnexII)-GeneralComments
S.06.02–ListofAssetsC0320–ExternalratingC0350–InternalratingS.08.01–OpenDerivativesC0290–ExternalratingC0320
32
17/12/2015
33
10/12/2015
S.10.01–Securitieslendingandrepos(D5)C0170–SolvencyIIValue
34
17/12/2015
CICtableforderivatives
35
17/12/2015
EIOPA-CP-14-047-Annex
36
24/11/2015
ArticlespertainingtothereportingofRFFs/MAPs
37
10/12/2015
ITSArticlesrelatedtothesubmissionofinformation5thru35
38
17/12/2015
QRTsS.30.01,S.30.02,S.30.03,S.30.04
39
17/12/2015
QRTs-S.12.01.01,S.13.01.01,S.14.01.01
ngAnnexIII_S_37_01_LOG_clean.docx",ColumnsC0120andC0130,esp.theuseofthe"specificcode".Insection"Document"inthis
40
19/01/2016
41
10/12/2015
AppendixI:SCR-B3A-S.26.01.b,Spreadrisk
42 CP14-052(ITSonRegularSupervisoryReport)AnnexIIITSReportingAnnexII_Article7and9_S_06_03_LOG.docx
17/12/2015
43
17/12/2015
S.25.01IndividualLogsCP-14-052ITSAnnex8CommentNumber66
44
13/01/2016
S.06.02-TotalSIIAmount(A26)
45
19/01/2016
S.06.02-Quantity(A22)
46
19/01/2016
S.06.02-Quantity(A22)
47
19/01/2016
S.06.02andS.09.01
48
07/12/2015
LOGFileforthetemplateS.14.01
49
07/12/2015
S.09.01
50
05/01/2016
Annotatedtemplatesvstemplatesintheannexes
51
19/01/2016
CP-14-047-GL-Reporting-publicdisclosure
52
05/01/2016
EIOPA_SolvencyII_Validations_2.0.1.xlsx
53
05/01/2016
S.06.02
54
08/01/2016
S.06.02
55
10/02/2016
S.06.02
56
11/07/2016
S.06.03
57
10/02/2016 AnnexIItoCP-14-052,file"ITSReportingAnnexII_S_06_02_LOG_clean.docx"
58
10/02/2016
AnnexIV-VCICtableDPMandTaxonomy2.0.1-ListofvalidationsITSReportingAnnexII_S_06_02
59
10/02/2016
S.06.02
60
02/02/2016
S.31.01C0180
61
05/02/2016
S.23.01.04-BV90of"EIOPA_SolvencyII_Validations_2.0.1"document
62
05/02/2016
ITSReportingAnnexII_S_16_01_LOG_clean
de(S.06.02-C0220/S.11.01-C0180)/(S.06.02-C0210/S.11.01-C0170);IssuerGroupcodetype/Issuergroupcode(S.06.02-C0260/S.
63
05/02/2016
64
05/02/2016S.02.02.01,ITSReportingAnnexII_S_02_02_LOG_clean,cellsR0110andR0120
65
05/02/2016
S.14.01.01
66
05/02/2016
S.06.03-Collectiveinvestmentundertakings-look-throughapproach
eportingforringfencedfundsandremainingpartandArticle34(2)groupbalancesheetreportingforringfencedfundsandremaining
67
02/02/2016
68
23/02/2016
XBRLValidations
69
18/03/2016
EIOPALogontemplateS.06.02
70
18/03/2016
S.06.02
71
18/03/2016
S.06.02
72
14/04/2016
Annex1ofITS-Templates(S.26.01.01)
73
09/03/2016
Lookthroughreporting,reportS.06.03
74
14/04/2016
ITSReportingAnnexII_S_15_01_LOG_clean.docx
REGULATION(EU)2015/2450of2December2015"->S.23.04(Listofitemsonownfunds);logfilepartforindividualentitiesandgro
75
04/03/2016
76
01/04/2016
QRTS.21.01andEIOPA'sresponsetoQuestion27
77
01/04/2016
QRTS.21.03
78
26/04/2016
QRTS.19.01
79
01/04/2016
S.06.02QRTandDisclosurelog
80
08/04/2016
s.23.01.04-R0570/C0040-Calculationlogic
81
14/03/2016
S.23.01.04-R0630/C0010
82
14/04/2016
83
14/04/2016
DPMandTaxonomy2.0.1-ListofvalidationsBusinessValidationfor2.0.1BV437
84
14/04/2016
AnnexIIoftheITSS.02.01-BalancesheetC0010/R0510-Technicalprovisions–non-life
85
26/04/2016
86
26/04/2016 ITSReportingAnnexIII_S_03_01_LOG_clean,Guidelinesongroupsolvency
S.03.01;R0310/C0010andR0320/C0010
ationbetweenArticle2ofCOMMISSIONIMPLEMENTINGREGULATION(EU)2015/2450(CP-14-052)andvalidationrulesinEIOPA-15-2
87
27/05/2016
88
26/04/2016
S.01.01-Lossdistribution
89
06/07/2016
TemplateS.08.01ColumnC0310
90
26/04/2016
TemplateS.08.02DerivativesTransactions
91
26/04/2016
ANNEXEII-ITSReportingAnnexII_S_36_03_LOG_clean.docx
92
26/04/2016
QRTsS.30.02andS.30.04
93
26/04/2016
S.29
94
27/05/2016
CICcode
95
27/05/2016
QRTsS.06.02andS.31.01(amongstothers)
96
27/05/2016
S.21.01InterpretationofLogFile
97
18/04/2016
AnnexIIS.05.02–Premiums,claimsandexpensesbycountry
98
27/05/2016
S.08.02SolvencyIIValue
99
27/05/2016
S.08.02LOGfile
100
12/05/2016
S.15.01.04,S.15.02.04
101
06/07/2016
SIIFinalPhase:ITS_SupervisoryReporting_Annexes_clean_printableA4versiondefinitions
102
06/07/2016
QuestionregardingtemplateS.21.01
103
27/05/2016
S.37.01-RiskconcentrationCellC0080(Externalrating)
104
27/05/2016
S.06.02/S.02.01CICcategoryofpartiallyownusedbuildings
105
06/07/2016
106
06/07/2016
BusinessValidationfor2.0.1BV475(andothers)
107
10/05/2016
S.25.01.04
108
06/07/2016
S.23.01.04GroupSCR(R0680,C0010)
109
06/07/2016
S.14.01.-Lifeobligationsanalysis(OldTP-F3)
110
20/05/2016
S.36.01
111
20/05/2016
LOGS.03.01,S.36.04
112
17/05/2016
GroupSCRS.25.01.04-SolvencyCapitalRequirement,StandardFormula
113
06/07/2016
S.06.02
114
24/05/2016
S.25.01.04OtherFinancialSector'sSCR
115
06/07/2016
S.01.02Basicinformation(C0010/R0020)-typeofundertakings
116
02/06/2016
QRTS.36.01,S.36.02,S.36.03,S.36.04
117
06/07/2016
S.19.01
118
14/07/2016
S.22.01–Impactoflongtermguaranteesmeasuresandtransitionals
119
06/07/2016
S.23.02–Detailedinformationbytiersonownfunds
120
14/07/2016
R0600/C0020inS.26.01.01(Currencyriskassets)
121
14/07/2016
S.06.02
122
14/07/2016
S.23.01
123
14/07/2016
S.10.01-Securitieslendingandrepos
124
14/07/2016
S.37.01
EMENTINGREGULATION(EU)2015/2450thatfollwedCP-14-052.S.02.01-R0220"Assetsheldforindex-linkedandunit-linkedcontrac
125
14/07/2016
126
26/07/2016
XBRLtaggingforS.25.01.01
127
25/07/2016
S.06.02
128
25/07/2016
S.06.02
129
05/08/2016
S.05.02andS.12.02-S.01.01
130
05/08/2016
S.12.01.01
131
05/08/2016
S.06.02/S.02.01CICcategoryofpartiallyownusedbuilding
132
05/08/2016
S.08.02-14/052Derivatestransactions
133
05/08/2016
S.36.03
134
05/08/2016
S.12.01.01Validations
135
05/08/2016
QRTS.14.01LifeObligationAnalysis
136
05/08/2016
S.12.01.01R0330R0340
137
05/08/2016
S.05.01
138
05/08/2016
QRTS.05.02Premiums,claimsandexpensesbycountry
139
05/08/2016AnnexIandII(S.26.03-SolvencyCapitalRequirements–Lifeunderwritingrisk)
140
05/08/2016
S.30.02FieldC350CreditQualityStep
Question
TemplateG01-S.32.01.g
Field:TypeofUndertaking(D1)
Whichcategoryistobeappliedtorealestateholdingundertakings?
Doesitmatterifthepropertyisinownuse?
Whichcategoryistobeusedforinsurancebrokersandotherinsuranceintermediaries?
Theownfundsreports.23.01requiresvaluesfortotaleligibleownfundstomeettheSCRincellB50,and
totaleligibleownfundstomeettheMCRincellB51.ThetechnicalannexIIstatesthatthesevaluesshouldbe
equal.
ThiswillnotbetruewhereanonEUinsurancesubsidiaryisbroughtintoownfunds.Inthatcaseboththe
eligibleownfundstomeettheMCRandtheMCRitselfarebroughtinonalocalregulatorybasisratherthan
asolvencyIIbasis.Assuchthecellscannotmatch.
S.12.01requiresthesegregationofcontracts"withoptionsandguarantees",andthosewithout.
ShouldthissegregationbebasedonthedefinitionofoptionsandguaranteesgivenintheTechnical
SpecificationsfortheSolvencyIIPreparatoryPhase?
Ifnot,whatdefinitionshouldbeused?
Ifyes,howwouldthefollowingexamplesbeclassifiedunderthisdefinition:
(a)5yearterminsurancecontractwithguaranteeddeathbenefit.Doestheguaranteeddeathbenefit
constituteanon-financialguarantee?
(b)Unit-Linkedcontractwithasurrendervalueoptionwherethesurrendervalueisdefinedasthevalueof
theunits.Inthiscasethebasisforsettingthesurrendervalueispre-determinedbuttheamountitselfisnot
knownattheoutset.
Sheet“BS-C1D-S.02.02.b”:howshouldbethevalueof“material”currenciesdefined?
WhytherearenocodepositionsprovidedforTotalvalueofallcurrenciesandValueofremainingother
currencies?
LOGfileJuly2012Re-J1Basic_SharesLOGitisstatedthatthetemplateshouldbefilledbynon/life
InsuranceUndertakings.
UnderstandingtemplateisnotapplicabletoRe-Insurancecompanies.
InthenewEIOPALOGfilesitisstatedthatthetemplatesS.30.01.–Facultativecovers–Basic(oldRe-J1–
Basic),andS.30.02.–Facultativecovers(intermsofreinsuredexposure)–Shares(oldRe-J1–Shares)are
applicableforinsuranceandreinsuranceundertakings.
wearenotquitesure,whattoreportinS.08.02.forprofitandloss.
CreditDefaultSwaps
Ourcontractsays,thatwedonothavetopayanyaquisitioncostsforourCDS-weareobligedtopay
quarterlypremiumstoourcontractpartner.Additionally,thepremiumswepaidarebookedasunrealized
lossesattheendofeveryyear(duetoanegativemarketprice).ThereforeourbookvalueoftheCDSatthe
endofeveryyeariszero,thesolvencyIIvaluewouldbee.g.-400.000EUR.Asthedefinitionforprofitand
losstodatesays,it'sthedifferencebetweenvaluepriceatsale/maturitydateandthevaluepriceat
acquisitiondate-->itwouldbezero.Orshalltheunrealizedlosses(premiumspaid)bereportedaslossto
date?
FX-Swaps
AsimilarproblemaswiththeCDS:wearenotobligedtopayanyaquisitioncosts,butonlythe
premiums/coupons.Therefore-iftheSwapwassold-wewouldhavethedifferencebetweensalepriceand
zero.Isthatcorrect?
IamwritingonbehalfofSkandiainStockholmregardingthecalculationofthethresholdvalueforthe
reportingofSecuritiesLendingandReposinreports.10.01(AssetsD5).
Accordingtotheguidelineswehaveavailableitshouldbereportedonlyifthefollowingcriteriaismet:
Itshallbereportedonlywhenthevalueoftheunderlyingsecuritiesonandoffbalancesheetinvolvedin
lendingorrepurchaseagreements,withmaturitydatefallingafterthereportingreferencedaterepresent
morethan5%ofthetotalinvestmentsasreportedinC0010/R0070andC0010/RC0220ofS.02.01.
PleasecanyouassistusinidentifyingwhichvalueC0010/RC0220referstoaswecannotfindanyreferenceto
cellRC0220inthereportingtemplateforS.02.01.Also,isitacorrectinterpretationthatthecalculation
shouldbeperformedbydividingthevalueoftheunderlyingsecuritiesinvolvedinlendingandrepurchase
agreementswiththesumofC0010/R0070andC0010/RC0220ofS.02.01?
Wehaveaquestionregardingthereportingtemplatefors.08.02(AssetsD2T).Weareunsurehowto
interpretSolvencyIIvalue(C0230(A28))forthisreport.Inthetemplatethisvalueisdefinedasthevalueof
thederivativeasofthetrade(closingorsale)ormaturitydate.Usingthisdefinition,weneedtounderstand
asperwhichpointintimethevalueshouldbederived.Whenapositionisclosed,shouldweusethe
gain/lossarisingfromthecloseastheSolvencyIIvalueasthiswillbetheactualvalueofthederivativeatthat
pointintime?Inthatcase,theSolvencyIIvaluewillbeidenticaltotheProfitandlosstodate(C0160(A18))
unlesstherehavebeencashflowsduringthetermofthederivativecontract.Isthishowweshouldinterpret
thisreportingitem?
1.thereissomethingwrongwiththelinkonthewebsite.EverytimeItrytoaccessthisinformationthe
screengoesblack.
2.Day1templates-ThebalancesheetS.02.01.shascolumnsforSolvencyII(C0010)andSolvencyI(C0030).
PleaseconfirmthatSolvencyIbasisisthesameasStatutoryAccountsbasis(C0020).TheCPreferstoAnnexII
fortheday1templatereferencesbutthereisnoday1sectionofAnnexII.Isitmissing?Pleasesendacopy.
TheguidelinesforreportS10.01-Securitieslendingandrepos–stipulatesthefollowing:
Itshallbereportedonlywhenthevalueoftheunderlyingsecuritiesonandoffbalancesheetinvolvedin
lendingorrepurchaseagreements,withmaturitydatefallingafterthereportingreferencedaterepresent
morethan5%ofthetotalinvestmentsasreportedinC0010/R0070andC0010/RC0220ofS.02.01.
Allcontractsthatareonthebalancesheetoroffbalancesheetshallbereported.Theinformationshall
includeallcontractsinthereportingperiodregardlessofwhethertheywereopenorclosedatthereporting
date.Forcontractswhicharepartofaroll-overstrategy,wheretheysubstantiallyarethesametransaction,
onlyopenpositionsshallbereported.
Arepurchaseagreement(repo)isdefinedasthesaleofsecuritiestogetherwithanagreementfortheseller
tobuybackthesecuritiesatalaterdate.Securitieslendingisdefinedasthelendingofsecuritiesbyone
partytoanother,whichrequiresthattheborrowerprovidesthelenderwithcollateral.
Wewouldliketoaskhowtointerprettheseguidelinesinthefollowingexamples.
IfacompanywithinthegrouphasReposwhichrepresent5,5%oftotalinvestmentsandSecuritiesLending
thatrepresent0,5%oftotalinvestments,howshouldthe5%thresholdbeapplied.ShouldonlyReposbe
AccordingtotheLOGFileWording(CP-14-052-ITS),itistoassumethatthetemplateS.36.03.isnot
applicabletofacultativereinsuranceandco-insurancecontracts.Pleaseconfirmourunderstanding.
Incasethistemplatehasyettobesubmittedforthefacultativereinsuranceaswellasco-insurance
contracts,
PleaseprovideuswithadetailedguidancehowthefieldC0130(K6-NetReceivables)istobecalculatedfor
those
contracts.Furthermore,wearenotquitesurewheretoplaceco-insurancecontractsintheclassification
providedby
"Typeofreinsurancecontract/treaty"(C0110-I6)inthiscase.
1.S.30.02FieldC0050,Codereinsurer.IfthecounterparthasnotaLEIcode,theundertakinghastoprovidea
specificcode.Anyruleaboutthis?Thespecificcodehastobemaintainedunchangeduntilthecounterpart
adoptaLEIcode?
Ifthecounterpartisapool,itcanbereportedassingleentityonlyifitisa“legalentity”.Whichisthe
definitionoflegalentity?
Pleaseconsiderthatifthesingleparticipantsofapoolhavetobereported,thereportedactivityisquite
difficultastheparticipantschangeyearbyyearandofcourseintheS.31.01veryoldcessionshavetobe
reported.
2.S.30.02FieldC0303,externalrating.Atwhichobservationdatehastheratingtobereported?Whichisthe
procedureifthecounterparthasnotassignedaratingbyanominatedcreditassessmentinstitution(ECAI)?
3.S.30.01:oneriskcanbeprotectedbymorethanonefacultativecession.Arerequiredthe10largestrisks
orthe10largestfacultativecessions?Havetheinfra-groupfacultativecessionstobeconsideredinthefirst
10tobereported?
4.S.30.01:oneriskcanaffectmorethanonelineofbusiness.Thismeansthatitispossibletohavethesame
riskIDinmorethanonelineofbusiness.Correct?
5.S.30.01:theriskIDhastobeuniqueandshallremainunchangedforsubsequentannualreports.If,after
someyears,theriskisnotanymoreexisting,canthesameriskIDbereused?
6.S.30.03,fieldC0010,reinsuranceprogramcode:ifthereisjustonetreatybelongingtoonereinsurance
program,hasthefieldtobefilled?Ifnot,howcanweconnectthetreatyprotectionwiththeriskinS.30.01?
7.Lineofbusiness:whytherearenotpresentsomelobsforNonProportionalreinsurance?Forexample
“NonProportionalassistancereinsurance”.Inwhichlobthistypeofcessionhastobereported?Thesame
LatransparisationestelledemandéepourletemplateS.08.01pourl'exercicedu3juin?
Wherecanifindinformationaboutthe"Lookthrough"fortheS.08.01?Isitrequested?
S.07.01–Structuredproducts
General–Thresholdcalculation
WebelievethereisaflawinthetemplatethresholdcalculationformulaspecifiedintheLOGfile.TheLOGfile
statesthefollowing:
“Thistemplateshallonlybereportedwhentheamountofstructuredproducts,measuredastheratio
betweenassetsclassifiedasassetcategories5(Structurednotes)and6(Collateralisedsecurities)asdefined
inAnnexIII-AssetCategoriesofthisRegulationandthesumofitemC0010/R0070andC0010/R0220of
S.02.01,ishigherthan5%.”
AsperthisformuladenominatorincludesthetotalofSIIbalancesheetlineitem‘Investments(otherthan
assetsheldforindex-linkedandunit-linkedcontracts)’andSIIbalancesheetlineitem‘Assetsheldforindexlinkedandunit-linkedcontracts’.Thismeansdenominatoronlyincludesnetassetvalueofentitiesincluded
undertheD&Amethod.
ItcouldbeinterpretedthatthenumeratorshouldincludethetotalvalueofCICassetcategories5(Structured
notes)and6(Collateralisedsecurities),namelythetotalofstructuredproductsandcollateralisedsecurities
S.10.01–Securitieslendingandrepos(D5)-General
WeunderstandthatduringEIOPA’srecentStakeholdermeeting(heldon22ndofJanuary2015),aquestion
onthescopeofS.10.01(Securitieslendingandrepos)templatewasraised.CanEIOPAconfirmthefollowing:
•Therequirementinthistemplateistoreportonlysecuritieslendingandrepocontractsopenattheendof
thereportingperiod.
•Ifthetemplatecapturesbothopenandclosedcontracts,forquarterlyreporting(financialstabilitypurpose
reporting)ofclosedcontract,therequirementistoreportonlycontractsclosedduringthequarterrather
thancumulativeposition(e.g.inQ2weshouldreportthecontractclosedinQ2onlyandcontractsclosed
duringQ1willnotbeincludedinQ2report).
IunderstandthatreservesonpaidannuitiesforMotorTPLbusinessshouldbeallocatedtotheLifeQRTs.
WhatisthesituationforIBNRonMotorTPLannuities?
Ourreinsurancecompanyhasacoupleoflifereinsurancetreatiesinportfolio,buttehnicalprovisionson
grossandnetbasisforlifebusinessarelessthen0,1%oftotaltechnicalprovisions.Isinthiscasepossibleto
useproportionalityprincipleandonlyreportQRTfornonlifebusiness?
CanyouclarifywhatCapitalProtectionis.Wearelookingforawaytoidentifythischaracteristinconour
clients'securitiesandarehavingadifficulttime.Ifyouhaveexamplesthatwouldbegreataswell.
WhenaclarificationisprovidedbyEIOPAthatcertainfieldsarenotapplicableforagivenscenariodoesit
meanthatprovidingdataundersuchcircumstanceswillfailtheXBRLvalidation?
QuestionontheS.14reportcolumnC0100whichisconnectedwiththeECBreportE.02.01.b
TheS.14C0100‘productclassification’definestheoption‘4’shouldbeusedforproductsthatare‘pension
entitlements’
Wewouldliketoaskformoredetaileddefinitionasweareunsureifpartofourproductsshouldbereported
asapensionentitlementorasasinglelife.
Theexamplesofproductinquestion:
•Generalunit-linkedproductthatmaturesbydesignclosetoretirementage.
•Unit-linkedproductthataccumulatesmoneyforretirementusingtaxadvantage
•A‘withprofit’productthatmaturesbydesignclosetoretirementage.
•Annuity
TheclassificationindicatestheapplicabilityoftheECBE.02.01.breport,sotheprecisedefinitionisneeded.
Isourunderstandingcorrect,thatifthebestestimateisnegative,thenitshouldbereportedasanassetin
thereportsS.26.03andS.26.04?
Itisstatedingeneralcomments,thattheS.06.03annexrelatestoquarterlyandannualsubmissionof
informationforgroupsanditshouldcontainallcollectiveinvestmentundertakingsintheundertaking's
portfolioatthereportingdate,andforeachcollectiveinvestmentundertakingsitsassetsshouldbegrouped
intounderlyingassetcategories,takingalsointoconsiderationcountryofissueandcurrencyandalook
throughapproach.
Wewouldliketoaskwhetheritispossibletoexcludefromthereportthesecollectiveinvestment
undertakings,forwhichthehighestriskmargins(typeIIequities)havebeenappliedinMCR/SCRcalculation.
Canyoukindlyclarifytherequirementforlookthrough?IftheclientholdsaEURhedgedclassofaUSD
mutualfunds.HowdoyoureportthefundinstrumentsweightswithregardstothehedgingoftheEUR
classes?
AssumingthatSCRundertakingisthesumofSCRring-fencedfundsandeachmatchingadjustmentportfolio
andtheremainingpart,thistriggersirrelevanceintypesofQRT"S.26.xx.b".Indeedinthe"SCR-B2AS.25.01.b"QRT,thelogisclearonhowtoreconcileaSCR"asifnoRFFexists"andaSCRwithout
diversificationeffectacrossring-fencedfundsandeachmatchingadjustmentportfolioandtheremaining
part.Butitseemsthatthisreconciliationisexplainedandpossibleonlyathighlevelwithintheaggregation
tree,butdoesnotmakesenseanymoreinanupstreamsub-modulelevel.SodotheQRT"S.26.xx.bserie"
stillhavetobepublished,ornot?accordingto[EIOPA-BoS-14/169,p.22],"Incaseofexistenceofring-
IsitcorrectthatR0010(Country)isclosedperFPS(C0030),otherwisenocountrycouldbereportedperFPS
withinS.04.02.01-Informationonclass10inPartAofAnnexIofSolvencyIIDirective,excludingcarrier's
liability.
IntheImplementingTechnicalStandard,article3,datapointswiththedatatype"monetary"arerequiredto
beinthereportingcurrency.However,intheLOGsforformS.19.01,ithasbeenindicatedthatthe
informationinthisformshouldbereportedintheoriginalcurrency.
Doesthismeanthatthemonetaryitemsshouldbereportedinreportingcurrency,unlessotherwisestatedin
thespecificLOGsoristherequirementtoreportinoriginalcurrenciesonlyappliestothisformwithallother
monetaryitemsrequiredtobereportedbasedonreportingcurrency?
MCRNLcalculation(DAart.250(1)(c),templatesS.28.01andS.28.02)isbasedonnetwrittenpremiumsasa
volumemeasure.Howeverdefinitionofwrittenpremiums(DAart.1point11)forreinsurancecontracts–
bothwhenreinsuranceundertakingscalculatepremiumstobereceivedfromcedents(inwardreinsurance)
andwheninsuranceundertakingscalculatedreinsurers’shareinordertocalculatenetwrittenpremiums
(outwardreinsurance)maybeunderstoodin2differentways:
Option1.“premiumsdue”arerecognizedaccordingtolastdatewhencedentshouldpaypremiumsto
reinsurer,
Option2.“premiumsdue”arerecognizedaccordingtolastdateofpremiumspaymentforunderlying
TheEIOPAGuidelines(EIOPA-Bos-15/115)setoutthereportingtemplatesfortheinformationreferredtoin
Article314(1)(a)and(b)ofCommissionDelegatedRegulation(EU)2015/35.However,wearewonderingwhy
thereisnospecificmentionofthequalitativeinformationrequiredforArticle314(c)regardingMCR,SCR
Definitionprovidedinthisform'sLOGforcommissionsissimilartotheacquisitionexpensesdefinition
providedinS.05.01.01-premiums,claims&expensesbylineofbusinessLOG.
Shouldthisbereportedasacquisitionexpensesandincludeothercostslikesalariesfortheunderwriters?
Couldyoupleaseconfirmthattheacquisitionexpensesshouldincludesalariesofunderwriters.
IntheDecember2014LogfortheS.21.01-Lossdistributionriskprofileform,ithadbeenindicatedthat
informationonhistoricaldataisnotrequiredbutmaybefilledinabesteffortbasis.Howeverthishasbeen
droppedinthelatestLOGS.Couldyoupleaseconfirmwhetherthehistoricalinformationisrequiredornot
1)Werequireclarificationonthe3methodsofaggregationwhicharedetailedintheS.25.01logandfurther
inthe“GuidelinestoRingFencedFunds”paperreleasedbyEIOPA(alsoincludedintheappendixbelow).
Couldyoupleaseprovidemoredetailsastothedifferencesbetweenthethreemethods?Specificallywe
wouldliketoclarifyhowtheriskmodulesoftheringfencedfundsareconsolidateduptothesoloentitylevel
S.25.01formundereachofthethreemethods.Aworkedexamplewouldhelpclearupanyconfusion.
2)Withregardstothe“q-factor”intheS.25.01log:
a)Couldyoupleaseclarifywhethertheformulaiscorrect?Theomissionof‘diversification’(C0030/R0060)
fromthedenominatormeansthattheadjustmentwillbescaledup/downwhenapportionedacrosstherisk
modulesandwillnotbeequaltothetotaladjustmentapplied(C0100/R0120).
b)Furtherthisadjustmentiscalculatedusingthe‘Net’figuresincolumnC0030butthenappliedtothegross
figures(C0040)toarriveatthefinalSCR.Couldyoupleaseconfirmwhetherthisiscorrect,orshouldthe
adjustmentbecalculatedusingthegrossfigures?
C0320–Externalrating:TheLOGstatesthefollowing;
“Thisitemisnotapplicabletoassetsforwhichundertakingsusinginternalmodelsuseinternalratings.If
undertakingsusinginternalmodelsdonotuseinternalrating,thisitemshallbereported.”
Asperourinterpretationoftheabove,ifourinternalmodelusesanalgorithmwhichincorporatesboth
externalandinternalratingforSCRcalculation,weassumeallratingsareclassedasinternalratingsand
reportedincellC0350(Listofassets)/C0320(Openderivatives).
CanEIOPAconfirmiftheyagreewithourinterpretation?
TheLOGprovidesthefollowingguidanceforthiscell:
“Valueoftherepoorsecuritieslendingcontract,followingarticle75ofDirective2009/138/ECrulesfor
valuationofcontracts.”
Weareunclearastohowtoapplythistoasecuritieslending/repocontract.Apurefairvalueapproachisnot
somethingcapturedbycompaniestodayandcannotbedeterminedwithoutsignificantcomplexity.Weare
alsounclearhowsuchanamountwouldbedefinedinpractice.Hence,wehaveinterpretedthisrequirement
asthefairvalueoftheunderlyingassetsofsecuritylending/repocontracts.Webelievethisvaluewould
provideacomparableandmorepracticalmeasureofthecontract.
AsperEIOPA’samendedCICtable(AnnexV)publishedon07August2015,assetcategory‘Totalreturn
swap’appearsunderbothSwaps(CICD4)andCreditderivatives(CICF4).
WealsonotedthatAnnexVI:DefinitionsoftheCICTable,providesthesamedefinitionforbothD4andF4.
CanEIOPAconfirmifthisisintentionaloranerror?
IfthischangeisintentionalcanEIOPAprovidefurtherguidanceastohowweshoulddistinguishbetween
TotalreturnswapunderSwapsandTotalreturnswapunderCreditderivatives.
InthedraftEIOPA-CP-14-047-Annexthereisavalidation387.Thisvalidationrequiresallfundsthatareon
S.06.03tobereportedonS.06.02aswell.However,fromourunderstanding,forgroupreportS.06.03the
eliminationofIGTsdoesnotapply.Wecanimaginethecasewheremutualfundissuedbyentitywithingroup
willbeeliminatedonS.06.02butwillbereportedonS.06.03.Couldyoupleaseverifyourunderstandingand
assessthecorrectnessofthevalidation387?
validation387:FOREACHCOMBINATIONS.06.03.b.C0040/S.06.03.b.C0050MUSTEXISTACOMBINATION
S.06.02.b.Table2.C0040/S.06.02.b.Table2.C0050WHERE(S.06.02.b.Table2.C0040=S.06.03.b.C0040AND
S.06.02.b.Table2.C0050=S.06.03.b.C0050))
1.Itisimpliedfromthelogfilesfor(s.01.03.01/04)thatBIentriesaremadeforthe'RemainingPart'ofthe
business.WhatshouldC0040,C0050besettoasthereisnotafundnumberordescription?Whatshould
C0070besetto(neitheroption1or2seemsapplicable;howeveritisaclosedlist)?WhatshouldC0070and
C0080besetto..blank/nullwouldseemappropriatebutitisnotexplicitlystatedsoandagaintheseareto
bepopulatedfromclosedlists.
2.Motherfunds.Thelogsimplythatthereisonlyonelevelofmotherfund...i.e.afundmighthavesubfunds,butagivensub-fundcannotfurtherbedefinedintermsofafurtherlevelofsub-funds(i.e.nested
levels).Isthatinterpretationcorrect?ifafundismarkedinC0070issetto1(Fundwithotherfunds
embedded)thenC0080issettoeither1(material)or2(notmaterial)...butthechildfundsofthatfunddo
notneedtohavesetwhethertheythemselvesarematerialornot(i.e.C0070isleftblank/null).
3.Thelogsays:Incasearing-fencedfundhasamatchingportfolionotcoveringthefullRFFthreefundshave
tobeidentified,onefortheRFF,otherfortheMAPinsidetheRFFandotherfortheremainingpartofthe
fund(vice-versaforthesituationswhereaMAPhasaRFF).
Soifwehadafund(forexamplelet’scallitFund00001)thatdoesnotstrictlyhavesub-fundsbutwhichhasa
MAPwithinit;thenyousuggesttherearethreeentriesinS.01.03.namely
Fund00001.Full
Fund00001.MAP
Fund00001.RFF_RP
DoestheFund0001.FullrowhaveC0060setto1,isC0070setto2?C0080setto1or2(giventhatC0080
shouldonlybereportedforMotherfunds)
DoestheFund00001.RFF_RPhaveC0060setto3(remainingpart)or2RFF?
WhenwillthetemplatesandtaxonomybeavailableinthetranslatedEUlanguages?
BothintermsofannotatedtemplatesandXBRLtaxonomy(assertionsetc).
1.InrespectoftheQRTsisitpossibletoknowthetypeandthelengthofeachfield(alphabetic,
alphanumeric,numeric,numberofchars)?
2.InrespectofQRTS.30.03andS.30.04:afterthefirstpicturesentinApril,hastheCompanytosend
possiblevariationsduringtheyear?Forexampleisitrequiredtosendanewpicturerelevanttopossible
changesinthefirstsixmonths?Whichkindofchangesaresignificant?Ifchangeshavetobereported,
whichinformationhavetobeissued?Inrespectoffacultativecessions(QRTS.30.01andS.30.02)onlythe
firstpicturehastobesent?
3.HowdoestheCompanymanagepossiblecorrectioninrespectofwrongdatasentinprevious
transmissions?Oralsointhecurrentone?
4.Afacultativecession,inthe“topten”,hasinceptiondateonthe1stofJune2016andexpirydateonthe
30thofNovember2016.Hasittobereportedinthe2017transmission(April2017)?
Afacultativecessionhasinceptiondateonthe15thofMarch2017andexpirydateonthe14thofMarch
2018.Hasittobereportedinthe2017transmission(April2017)orcoulditbereportedinthetransmission
2018(April2018)?
5.IntheQRTS.30.01field170,2premiumsarementioned:grossannualpremiumewrittenreinsurance
premium?Whicharethedefinitionsforthem?Ifthereportedfacultativecessioncovers2years,the
premiumhastobeannualized?
6.Apolicycovers2locationsofthesameinsurer.Thelocationsareindifferentcountries.Thepolicyisceded
infacultative.Isthisconsidered1or2risks?
7.Howhasthecodedexcessofloss(codedXLor“per-policy”XL)tobereported?Isitpossibletohavean
example?
2.SomeoftheQRTs(suchasS.12.01.01,S.13.01.01)arepopulatedwiththecashin-flowsandout-flows
reflectedinthebestestimatewhileS.14.01.01ispopulatedwithalistingofpremiumandclaimcash-flows.
Whichsignconventionshouldbeused?
a.Bothin-flowsandout-flowsareshownwithpositivesigns.
b.In-flowsareshownwithpositivesignsandout-flowsareshownwithnegativesigns.
c.In-flowsareshownwithnegativesignsandout-flowsareshownwithpositivesigns(forconsistencywith
thesignoftheBestEstimateonS.12.01.01).
Withupdateas07.08.2015EIOPAhasremovedtherequirementtoreportthesocalled"specificcode"from
columnsC0020/C0030withrationale"asitwasnotapplicable"(cf.document"Mistakesamendedin
reportinganddisclosurepackage_07082015.docx").Therequirementhasnotbeenremovedfromcolumns
C0120/C0130forgroupinternalentitieswhichraisesthefollowingquestions:
1)WilltherequirementtoreportaspecificcodepersistincolumnsC0120/C0130?
Ifyes,wehavethefollowingfollow-upquestionsregardingtheconstruct"identificationcodeoftheparent
undertaking+ISO3166-1alpha-2codeofthecountryoftheundertaking+5digits"-apparentlyreferringto
groupentitiesthatholdtheexposurestobereportedonS.37.10-asweseetheneedofamoredetailed
specification:
2)Whichformatisrequestedfor“identificationcodeoftheparentundertaking”?
3)“Parentundertaking”ofwhom?
4)“Ultimateparentundertaking”orjust“parentundertaking”requested?
5)“Codeofthecountry”oftheinternalentityrequestedoroftheultimateparentofthatgroupthatreports
IwouldliketoaskyouthefollowingregardingQRTspreadriskinputs:
ShouldcellA14(i.e.Initialabsolutevaluesbeforeshock-Assets)includesalsothevalueofassetsthatare
subjettospreadriskbytheirnature(e.g.andmosttypicallycentralgovernmentbondsdenominatedand
fundedinthecurrencyofthatmemberstate)buttheriskchargeisinfact0%(i.e.nocapitalrequirementfor
thesekindofbonds).
Withotherwords,ifmyportfolioincludes100EURcentralgovernmentbondsdenominatedandfundedin
thecurrencyofthatmemberstate,amIobligedtoincludethisvalueintotheA14cellornot?
Thankyouverymuchforthereaction.Itwouldbeveryhelpful.
Weareafinancialdataprovider.
AmongotherthingswecollectandsupplytoourclientsallthedataconcerningSolvencyII,inparticularthe
datarequiredforthefillingofQRTs.
MyquestionconcernsQRTS.06.03(CollectiveInvestmentUndertakings–look-throughapproach).
Arederivatives(CICcategoriesfromAtoF)includedinassetcategory“OtherInvestments”(code11-field
C0060)?
Inthelogfors.25.01itstatesforcellR0420/C0100:-
AmountofthesumofnotionalSCRsofallring-fencedfundswhenundertakinghasRFF(otherthanthose
relatedtobusinessoperatedinaccordancewithArt.4ofDirective2003/41/EC(transitional)).
ThisthereforeincludesbothimmaterialandmaterialRFFsandsowouldalsorecordthecapitalrequirements
ofRFFsthatdidnotrequiregranularreporting.
Question1-DoesthisincludeallofaRFFthathasaMAPorjusttheremainderoftheRFFexcludingthe
MAP?
ItalsostatesforcellR0430/C0100:-
AmountofthesumofnotionalSCRsofallmatchingadjustmentportfolios.
ThisthereforeincludesbothimmaterialandmaterialMAPsandsowouldalsorecordthecapital
requirementsofMAPsthatdidnotrequiregranularreporting.
PleaseclarifycantheTotalSIIamountaspartofS.06.02beingreportedbeinnegative?
Pleaseclarifycananundertaking/groupignorereportingthoseassetswheretheQuantity(A22)valueiszero?
SomeoftheQRIsarespecifiedtobehavingDecimaldatatypee.g.S.06.02.-Quantity(A22).Canyouplease
clarifyforitemswhichareclassifiedashavingdecimaldatatypebereportedinanynumberofdecimalplace
WehavegotacoupleofquestionsregardingthetemplatesS.06.02andS.09.01.
RegardingS.09.01(Income/gainsandlossesintheperiod),ourquestioniswhetherthepurposeofthe
templatereallyistocollectinformationongainsandlossesforassetsheldinunit-linkedandindex-linked
contractsaswellasforassetsnotheldinunit-linkedandindex-linkedcontracts?Ifso,whatisthe
informationregardingtheassetsheldinunit-linkedandindex-linkedcontractssupposedtobeusedfor?
RegardingS.06.02(Listofassets)wehavegotacloselyrelatedquestion.Wewonderwhethertheintentionis
forthereportingundertakingstoreportacquisitionprice(C0160)forassetsheldinunit-linkedandindexlinkedcontracts?
TheclassificatoroftemplateS.14.01showsthefollowing5elementswiththeinstructionabove.
C0100ProductclassificationThefollowingcloselistshallbeused:
1-singlelife
2-jointlife
3-collective
4-pensionentitlements
5-other
Ifmorethanonecharacteristicisapplicableuse“5–other”.
Forannuitiesstemmingfromnon-lifeuse“5–other”.
TheAustrianInsuranceAssociation(VVO)hadaskedEIOPAonthisissuewhether“pensionentitlement”is
meanttobetheactualstatusofthecontractortheoriginaloneatsignature.TheEIOPAanswersaidthe
actualoneshouldbeused.
Currently2differentinterpretationsoftheinstructionsforthefieldsC0100andC0110inthes09.01QRT
exist.
Differenceininterpretationlaysinthatutilizationofcleanordirtyacquisitionvaluesinthecalculationsof
NetGainsandLossesandUnrealizedGainsandLosses.
Interpretation1utilizingcleanvalues
Interpretation2utilizingdirtyvalues
Implicationofthisinterpretationisthatthes,09.01C0100andC0110definitionsbecomesconflictive.
Thankyouverymuchforthepublishedannotatedtemplatesversion2.0.1.Theyareveryhelpfullinthe
drawingupofrequirementsforourinformationsystems.Wearewonderinghoweverwhytheydifferfrom
thetemplatespublishesasannexestotheImplementingTechnicalStandards.
Isthisintentional,andifyes,canyoupleasesharethepurposeofthedifference.
Ifthedifferenceisnotintentional,canyoupleaseindicatewhichtemplatewillbeadjustedandinwhat
timeframe.
IntheprepphasedocumentationtheinstructionlogalsocontainedtheunderlyingcalculationlogicforaQRI,
whereverrequired,inalloftheQRTswhereasintheITSthishasbeenseparatedoutaspartofCP-14-047as
Annex.FromtheEIOPAsiteIonlygettodownloadthedocumenttitled"EIOPA-CP-14-047-Annex.pdf"which
stilldoesnotseemtobecompleteasquiteafewofthecalculationslogicaremissinge.g.S.25.02.04related
calculationsarenotthere.CanyoupleasesharemethelinkfromwhereIcangetthelatestdocumenton
this?IncaseEIOPAisstillworkingonthiswhenthisworkisexpectedtobecompleted?
TherearesomevalidationsspecifiedasCT(CrossTemplate)betweenS.06.02/S.08.01andS.02.01.Canyou
pleaseclarifywhatistheerrortolerancethresholdinthesevalidationsastheinvestmentstemplaterequired
tobereportedwithatleast2decimalplacewhereasthebalancesheettobereportedwithatleast0decimal
place?
ThefieldC0060(Portfolio)isdefinedasaclosedlistofthefollowingoptions:Life/Non-Life/Ring-fenced
funds/Otherinternalfunds/Shareholders'funds/General.
Howshouldweclassifyassetsheldforhealthinsurance?
WhatisthecorrectclassificationforC0230(IssuerSector)incaseofmutualfunds?
WebelievethatitshouldbeK.66.30Fundmanagementactivities(notK.64.30Trusts,fundsandsimilar
financialentities),isthiscorrect?
Similartothis,wealsobelievethatwehavetoreporttheLEIcodeofthefundmanagementcompany(and
nottheparticularmutualfund)inthefieldC0210(IssuerCode).
IncaseofthefieldC0180(Accruedinterest),itisstatedinthelogfilethatthisfieldrefersto"interestbearing
securities".Doesitmeanthatthisfieldshouldbeleftemptyincaseofloans?Ifyes,doesitmeanthatthe
fieldC0380(UnitpercentageofparamountSIIprice)shouldrefertoa"dirtyprice"inthesecases?
Isitnecessarytoprovidetheinformationonlookthroughoffunds(S.06.03),iftheexposureisnotmaterial
andwedonotapplythelookthroughforSCRcalculation?
Thetemplate"S.06.02"requirestoreportindatafiels"C0280Currency"thequotationcurrencyofanasset
withISOcode4217.Inpracticetherearestillinvestmentsthatarequotedin"DeutschMark"(orotherpreEUROcurrencies),whichhavenotbeenconvertedbytheissuer.TheaccordantXBRLmetric„Original
currencyofexposure/transaction/instrument“resp.ISOstandarddoesnolongerconsidertheseancient
DoesCICcategory09correspondstotheBalancesheetitem'Anyotherassets,notelsewhereshown',the
item'Otherinvestments'orallitemsnotbelongingtootherCICcategories?
Webelievethefirstcasewouldnotmakesense,sincetherewouldhencebenoCICcodefortheitem'Other
investments'.Thesecondcasewouldimplythat'Anyotherassets,notelsewhereshown'wouldnotbe
includedinS.06.02(togetherwithitemssuchasdeferredtax,pensionbenefitsurplusandrecovarables).
WithcertainfieldsthereisnounambiguousspecificationforwhichCICcategoriesthesearetobedelivered
ornotbuttherearepartlyexampleslisted,whichcanbeinterpreteddifferentlywithrespecttotheexclusion
ofnotlistedoptions.Forexample,inthefieldC0360(Duration)inthetemplateS.06.02onlythefollowing
vaguespecificationexistsfortheCICcategory4:"whenapplicable,e.g.forcollectiveinvestment
undertakingsmainlyinvestedinbonds".Alsoforacollectiveinvestmentundertaking,whichdoesnotinvest
primarilyinbonds,adurationcanbedeterminedundercertainconditions.Canthisbedeliveredthenalsoin
suchcases(e.g.forCIC42-Equityfunds)inthetemplateoraresuchrecordsrejectedthen?Ormore
generally:CanfieldsalsobedeliveredforassetsforwhichnoexplicitrequirementexistsonthepartofEIOPA
aslongasitisnotexpresslyforbiddeninthedefinition?
TemplateS.36.01,fieldC0180(Balanceofcontractualamountoftransactionatreportingdate):
Inourunderstandingthecontractualamountforthetransactions,whicharenotyetsettledatthereporting
date,mustbestatedinthisfield(otherwisezero).
Wecanthinkoftwoexamples:
1)Normaltradeswhentraded(tradedate)beforethereportingdatebutthesettlement(settlementdate)
takesplacefirstafterthereportingdate.
2)Newissues:Whentradingnewlyissuedbonds,whichtakesplaceoftentwoorthreeweeksbeforethe
dateofissue(tradingbeforeissuedate),wheresettlementdateisafterreportingdate.
Isthisassumptioncorrect?
Inthe"EIOPA_SolvencyII_Validations_2.0.1"documentpublishedon16Dec15againstBV90thevalidationis
givenas"{r0290/c0020}={r0010}+{r0030}+{r0040}+{r0070}+{r0130}+{r0180}+{r0200}-{r0280}"andforBV89it
isgivenas"{r0290/C0010}={r0010}+sum({(r00300050)})+{r0070}+{r0090}+{r0110}+{r0130}+{r0140}+{r0160}+{r0180}+{r0200}-{r0220}-{r0280}".Itseemsthat
deductionofr0220/C0020partismissinginBV90whichisthereintheBV89.Alsointhepreparatoryphase
thisvalidationincludeddeductionofthispartwiththeQRIref"B502".PLeaseclarifywhatisthecorrect
validationforBV90?
ThedescriptionsofcellsC0010/R0030etC0070/R0040-R0190ofthetemplateS.16.01.01refertoaBest
Estimate.IsittheBestEstimategrossofreinsurance?Ortheonethatisnetofreinsurance?
Asperinstructions,itisgiventhat"ThisitemisnotapplicableforCIC71,CIC75andCICcategory9–
Property."butatthesametime"None"isoneoftheallowedvaluesfor"Typeofcode".Thismeansthatfor
CIC71,75&95thisitemshouldbeleftblank(inXBRLthereshouldnotbenocorrespondingtaggedline)and
forotherCICcodeswherethedataisnotavailableitshouldtake"None"asthevalue(inXBRLtherebealine
ThetemplateS.02.02.01asksfortheSIIbalancesheetpercurrency.Isthereanyindicationonhowtosplit
theRiskMarginpercurrency?ShallwecalculatetheSCRRUbyisolatingeachcurrency,asitisadvisedforthe
TechnicalchapterS.14.01.01.04hasacolumncalled"Link"(C0250)whichisnotdocumentedneitheronthe
officialQRTs(Octrelease)norontheaccompanyinglog.Pleaseclarify.
Twoquestions:
1)Applyingthecountryreportingthresholdbringsmorecomplexityandeffortthanotherwise(additional
sortingandaggregationprocessafterthefirstaggregationprocessbyAssetCategory/Currency/Countryof
Issuer.Indeed,whenrecievinglook-thoughdatafromanassetmanager,thewholeportfolioisprovided.
Whatisthebenefit/logicofintroducinganadditionalprocessforreducingthegranularityofdatathatis
alreadyinourpossession.Easierforundertakingstosendeverything.Alsoguidanceismissingastohowto
treatliabilitiesinthiswhole"sorting"processtogettothe90%threshold.2)Lastly,thistemplateassumes
thatthedatarecievedfromtheassetmanagersis100%clean.Foreg.noclosedlistvalueisforeseenfor
missingcountriesvalues.Undertakingscannotaffordtocompletemissinginformationbyfetchingitfrom
dataproviders.Itwouldbegoodtoforeseea"Missing"codeattheveryleastforthecountry.Alternatively,
couldundertakingsusetheAAvalueortheXAvalueincaseswherethecountryismissingandcannotbe
1)Article18(1)andArticle34(1)forGroupsrequiressubmissionofQRTsrecontentofsubmissionandSCR
foreachmaterialmatchingadjustmentportfolios(MAP),eachmaterialringfencedfund(RFF)andthe
remainingpart.HoweverArticle18(2)andArticle34(2)onlyrequiresabalancesheettobesubmittedfor
materialRFFsandtheremainingpart.Thereforepleaseconfirmnoseparatebalancesheetisrequiredtobe
submittedformatchingadjustmentportfolios?
2)isthedefinitionofremainingpartconsistentthroughoutallPillar3reporting,iebalancesheetandSCR
QRTsdonothavedifferentinterpretations
3)PleasecanyoualsoclarifywhattheremainingpartmeansforbothSoloandGroupBALANCESHEET
reporting.Wethinkthereanumberofinterpretationsbelow:
a)ItisthenonmaterialRFFandMAPsonly;
b)ItisthenonMAPnonprofitfundsandshareholderfundsonly;
c)ItisallotherfundswithintheSolo/GroupbalancesheetsoincludesthenonmaterialRFF,MAPs,non
matchingadjustmentnonprofitfunds,shareholderfundsoftheinsuranceundertakingsandthegroupwould
alsoincludeanydataforallotherentitieswithinthescopeofthegroup.Thistotalwouldn’tagreetothe
balancesheetQRTthoughasitdoesn’tincludeforsoloanyinterfundeliminationsandforgroupany
consolidationadjustments.
d)Forgroupitis(c)butalsoincludesanyconsolidationadjustmentsandthereforethetotaloftheRFFand
RemainingPartbalancesheetsagreetothetotalgroupbalancesheet;
e)Forsoloentitiesitis(c)butincludesanyinterfundadjustmentsandthereforethetotaloftheRFFand
RemainingPartbalancesheetSagreetothetotalsolobalancesheet,
TheLogforformS.17.02.01statethatonlyinformationondirectbusinessshouldbereportedonthisform.
However,thevalidationforXBRLcomparinginformationreportedinthisformandthatreportedon
S.17.01.01includesthetotalgrossbestestimateamountreportedonS.17.01.01.
Couldyoupleaseclarifywhichoftheseiscorrect.
Question1:
FurtherclarificationsarerequiredinrelationwithbusinessvalidationBV432:“Thereisatleastonesecurity
reportedinTable1ofS.06.02thatisnotreportedinTable2ofS.06.02-->Template1:S.06.02;Expression:
FOREVERY{S.06.02.xx.01,c0040;c0050}THEREMUSTBEONELINEIN{S.06.02.xx.02WITHEQUAL
c0040;c0050}”.
Itisnotfullyclearwhetherthecheckperformedonlyrequirestheexistenceofatleastonerowintable2
(informationonassets)foreachgivencombinationofc0040andc0050existingintable1(Informationon
positionheld)orifthecheckimpliesthattheremustbeonlyonerowintable2foreachcombinationof
c0040andc0050existingintable1.
Question2:
Subjecttotheclarificationprovidedonquestion1above,incaseaduplicationofinformationintable2is
required,whicharetheattributestriggeringtheduplication?
Question3:
ForGroupsusingpartialinternalmodelsonlyoncertainentities,incasethesamesecurityispresentbothon
theinternalmodelperimeterandstandardformulaone,howtoreportfortheratinginformation?Whichof
thefollowingpossibilitiesshallbeapplied?
a)Onlyinternalrating,b)onlyexternalrating,c)bothonthesameroword)duplicationoftherow
Pleaseadvise.
Shouldthecallablebondsbeclassifiedasastructuredproduct?
Shouldcontingentconvertible(CoCo)bondsbeclassifiedasCIC22or25?
IamstrugglingwiththeissueofAssetsheldinULfundsandtheirtreatementinthemarketriskand
subsequentreporting.
Imagineassets(contracts)wheretheinvestmentriskisfullybornebypolicyholders.Thereforeitisnot
necessarytoincludethoseassetstothemarketrisk.Thiswouldmeanthatdatain(e.g.)R0110/C0020(Initial
absolutevalueofassetsbeforeIRshock)donotincludethevalueofthoseassets(eveniftheseassetmayin
factbesensitivetoIR).Inaddition,thisshouldbealsoreflectedontheliabilityside(i.e.technicalprovisions
oncontractswhereinv.riskisfullybornebypolicyholderswouldbeexcludedfromR0110/C0030).
Ismyunderstandingcorrectoritappliesthateventheseassets/liabilitiesareincludedinthemarketrisk
reporting?
Question1
Aboutthebasicprincipalonlookthroughreporting:Accordingtoourknowledgelookthroughreporting
concernsbothnon-unitlinkedandunitlinkedinvestments.Isthemainprincipleinlookthroughreporting
thatnon-unitlinkedandunitlinkedinstrumentsareonthereportwithoutanyspecialsigntelling,which
instrumentisunitlinkedandwhichonenon-unitlinked?
Aboutcaseswherenonunitlinkedandunitlinkedportfoliohasthesameinstrument:
Howtoreportlookthroughassetsifsameinstrumentisin“UnitLinked”portfolioand“Non-unitlinked
portfolio”(sameinstrumentinassetslisttwice,differenceisfieldUnitLinked“Y/N”)?Shouldthesebe
groupedbyinstrument(unitlinkedandnon-unitlinkedtogether)asinthelook-throughreportthereisno
portfolioidentificationfield(“UL”/“non-UL”)?
Question2
Inthequidelinesitisstated:
Quarterlyinformationshallonlybereportedwhentheratioofcollectiveinvestmentsundertakingsheldby
theundertakingtototalinvestments,measuredastheratiobetweenitemC0010/R0180oftemplateS.02.01
pluscollectiveinvestmentsundertakingsincludedinitemC0010/R0220oftemplateS.02.01pluscollective
investmentsundertakingsincludedinitemC0010/R0090andthesumofitemC0010/R0070and
C0010/RC0220oftemplateS.02.01,ishigherthan30%.
InthedocumentITSReportingAnnexII_S_15_01_LOG_clean.docx(Descriptionofguaranteesbyproduct),it
ismentionnedthatforthereportingtemplate,"onlyonelineperproductshallbereported",assumingthus
implicitythatVariableAnnuitiesproductscouldhaveatmostonetypeofguarantee.
Incasethereareseveraltypeofguaranteesforthesameproduct,howcouldwehandleitintheconcerned
reportingtempate?
Forexample,incaseofVariableAnnuitiesproductshavingbothanaccumulationbenefitguaranteeanda
CanyoupleaseclarifywhichamountisexpectedinC0280("Subordinatedliabilities–Amount")inthe
individualandgroupversionoftheQRTS.23.04?
Inbothcasesthelog-filerequests:"Thisistheamountofindividualsubordinatedliabilities."
Doesthisrefertothenotionalamount,theSIIvalueoranyotheramountrelatedtosubordinatedliabilities?
WenoteEIOPA'sresponsetoquestion27,inthattheamountstobeenteredrelateonlytothereporting
year.
Inaparticularyear,aninsuranceundertakingmaymakedownwardrevisionstoitsbestestimateinrespect
ofparticularclaimsarisinginpreviousyears.Doesthatmeannegativeamountsaretobeenteredtoshow
thesedownwardmovements?Itwouldappearthatthisisnotallowed,becauseallbracketsrelatetopositive
valuesandtheLOGstatesonlyabsolutevaluesaretobereported.
Ifnegativevaluesareindeednottobereported,howaresuchdownwardrevisionstopreviousclaimstobe
reported?Isitthecasethatonlynewclaimsaretobereportedintheform(itdoesnotseemrightthat
downwardrevisionsarenotreportedbutupwardrevisionsare)?
Whereunlimitedexposuresexist,howarethesetobereportedintheQRT?
WenotefromS.36.03that"-1"istobeenteredforunlimitedexposures;howevernosimilarguidancehas
beenprovidedforthisQRT.
TheLOGstatesthatalldataare"inabsoluteamount,non-cumulativeandundiscounted".Wherethereare
negativeamountsthatwouldnormallybeentered,duetodownwardrevisionsinestimates,howarethese
TheDisclosurelogforS.06.02statesthatexternalratingsareonlyreportedwhenprovidedbythenominated
ECAIs.AndInternalratingsareonlytobereportedtotheextentusedforinternalmodellingbyaninternal
modelfirm.
However,canEIOPAdefinewhatafirmshoulddoifanassetdoesnothaveanyratingfromthenominated
ECAIs?CanaStandardformulafirm,thatratesthisassetinternally,usetheinternalratingcolumntoreport
itsinternalcreditassessmentoftheasset(despitebeingastandardformulafirm)?Furthertheseassetsare
ThecalculationlogicforR0570/C0040(D51Aintheprepartoryphase)is
intheprepartoryphaseD51A=MAX(0,MIN(0.2*A53A,(C48-C51A+D48)))whichintermsofrevisedQRI
referencesshouldbe
R0570/C0040=MAX(0,(MIN(0.2*R0610/C0010,((R0520/C0030)-R0570/C0030)+(R0520/C0040)))).
ThisQRIisabout"TotaleligibleownfundstomeettheminimumconsolidatedgroupSCRforTier2"butthe
calculationlogicseemstohavebeenbasedon"Totalavailableownfundstomeettheconsolidatedgroup
SCR(excludingownfundsfromotherfinancialsectorandfromtheundertakingsincludedviaD&A)"rather
than"TotalavailableownfundstomeettheminimumconsolidatedgroupSCR".Canyoupleaseclarifythe
correctcalculationlogicfortheQRIR0570/C0040?
AsperBV344ofEIOPA_SolvencyII_Validataions_2.0.1documentitisstatedthat"if{S.01.01,
r0470,c0010}=[s2c_CN:x1]then{S.23.01,r0590,c0010}={S.25.02,r0220,c0100}."
Asperinstructionslog(S.23.01)forR0590/C0010itisgiventhat"ConsolidatedGroupSCRcalculatedforthe
consolidateddatainaccordancewithArticle336(lettera-b-c-d)ofDelegatedRegulation(EU)2015/35"
1.CanthisinbriefbetakenasSCRforgroup(allundertakings)underConsolidationmethod1exceptSCR
calculatedforundertakingsonD&Amethod
2.DoesthismeanthatS.25.02.04-R0570/C0100=R0220/C0100+R0560/C0100?
3.IstheformulaforS.23.01.04-R0630/C0010=(R0520/R0590)/C0010ORintermsofSCRtemplateshould
thisbeS.23.01.04-R0630/c0100=S.23.01.04-R0520/C0010/(S.25.02.04-(R0220-R0500)/C0100)?
IntemplateS.08.02.01,shallwecreate2linesforacurrencyforwardcontract(onewithC0310=the
purchasedcurrencyandC0130="Buyer",andasecondonewithC0310=thesoldcurrencyandC0130=
"Seller")?Ifonlyonelinehastobecreated,wherecanweindicatethepurchasedcurrencyandthesold
currency?
Ihavetwoquestionsregardingthebusinessvalidationinthereference.
Itstatesthat:
{S.28.01,r0210,c0050}+{S.28.01,r0220,c0050}>={S.12.01,r0010,c0020}-{S.12.01,r0020,c0020}+{S.12.01,
r0090,c0020}+{S.12.01,r0110,c0020}+{S.12.01,r0120,c0020}+{S.12.01,r0010,c0110}-{S.12.01,
r0020,c0110}+{S.12.01,r0030,c0110}-{S.12.01,r0080,c0110}
1)ItseemstomethatthevalidationdoesnotinlcudetheAmountofthetransitionalonTechnicalProvisions
regadingtheAcceptedreinsuranceonInsurancewithprofitparticipation.Canyoucommentonthisplease?
2)Isthereasonfor">="typeofinequality(otherwiseIwouldsaythatitshouldbethe"="):
a)theproblemIhavementionedunderpoint1)
b)Level2Article251(2)
c)somethingelseoralltheabove?
CouldyoupleaseprovidemoredetailsonthispartofthewordingoftheLOG:
"ThisamountshouldincludetheapportionmentfromtheTechnicalprovisionstransitionalinaccordance
withthecontributorymethodologyusedforthepurposesofMCRcalculation."
Whatismeantby"apportionmentfromtheTechnicalprovisionstransitional"?
Whatismeantby"contributorymethodologyusedforthepurposesofMCRcalculation"?
Wherethereportingentity,inrespecttoaprioracquisitionofasubsidiaryundertaking,hasanobligationto
payadditionalproceedstothevendorwherecertainstipulatedthresholdsareexceeded,howisthe
maximumvaluetobedetermined?Intheory,thereisnolimittotheamountthatcouldbepaid,giventhat
suchadditionalamountsarecomputedasapercentageoftheexcess.Pleaseadvise.
InGuidelinesongroupsolvency,itisindicatedthat"whencalculatingthegroupsolvencycapital
requirementsfortheremainingconsolidateddata,intra-grouptransactionsshouldbeeliminated,whileintragrouptransactionsbetweentheremainingconsolidateddataandthematerialring-fencedfundsshouldnot
beeliminated."
WhenreportingC0020,C0030andC0040intemplateS.03.01.04(forgroup),dowehavetoapplythisrule?
Distinctionbetweenreportingaccuracyandvalidationacuracy.
Canyoupleaseconfirmthatthetableonpage11ofdocumentEIOPA-15-253paragraphS.2.18.(c)definesa
distinctionbetweenreportingaccuracyandvalidationaccuracy.AndamIcorrectinreadinginlineb.thatthe
reportingaccuracyforthetemplateswherethedatatypeismonetaryisinunitswith0decimals,the
validationaccuracydependsontheamountandcangoashighas9999foramountsin100mln.
AlsoamIcorrectinassumingthatwherethetotalofaninvestmenttypeinaninvestmentportfolioishigher
than100mln,thevalidationbetweenthedetailedlistofassetsandthebalancesheetwillnotproducea
validationerroruntilthedifferenceishigherthan9999.
TheLOGforthisinformationindicatethatthisformshowsthedistribution,inpredefinedbrackets,ofclaims
incurredduringthereportingyear.Claimsincurredisalsodefinedinthelogsassumofclaimspaidandgross
RBNS.
Myunderstandingasstipulatedinthelogsisthattheinformationtobereportedinthisformshouldbethe
sumofclaimspaidduringthereportingyearplusRBNSattheendofthereportingyearandthisisallocated
totherespectiveunderwriting/accidentyearandtherespectivepredefinedbrackets.
Couldyoupleaseconfirmwhethertheaboveinterpretationiscorrectorwhichofthebelowinterpretationis
correct:
-SumofpaidclaimsduringthereportingyearplusRBNSattheendofthereportingperiod.
-SumofcumulativepaidclaimsplusRBNSattheendofthereportingperiod.
-SumofpaidclaimsduringthereportingyearplusmovementinRBNSduringtheyear(SimilartoGAAP)
-SumofcumulativeclaimspaidplusmovementinRBNSduringtheyear
TheLOGforcolumnC0310oftemplateS.08.01CreditQualityStepofderivativesdoesnotstateexplicitlythat
itonlyrelatestoover-the-counterderivativesasdoestheLOGforC0290.Itwouldbelogicalforthesecellsto
berelatedandthereforeforC0310alsoonlytobeapplicabletoover-the-counterderivatives.Afterall,ifno
ratingisreported,thecreditqualitystepcannotbederived.
TemplateS.08.02DerivativesTransactionscontainsacellSolvencyIIvalueforderivativesthatareclosedand
thereforearenolongerownedbytheundertaking.Thiscellcannotbefilledasaderivativethatisnolonger
ownedbytheundertakinghasnovaluefortheindertaking.
WhyisthelistoflineofbusinessreportedinC0160donotfollowthelistoflineofbusinessdefinedinthe
delegatedact?
Forinstancecode"32"inthedelegatedact="31"intheITS="Otherlifeinsurance"
Isthereanyparticiularreason?
Ifnot,isthereawaytoaligntheITSexpectationonthedelegatedact?
Havingthecodealignedwillhelptotodefineacommonframework
Thanksalotforyourfeedback
BothS.30.02andS.30.04askforinformationaboutbrokers.Whatistobeprovidedinthesituationwherean
insurerhasenteredintoareinsurancearrangementwithouttheuseofanintermediary?Sinceblankentries
wouldnotappeartobeallowed,weareassumingthattheinsureristoberegardedasitsownbrokerandfor
therelevantfieldstobecompletedaccordingly.Pleaseconfirmyouagree;elseprovideguidanceastothe
Iwouldbemostgratefulforyourviewontheyear1completionoftheS.29templates(S.29.01,S.29.02,
S.29.03,S.29.04),themovementincapital/reservesetc–asthiscontainscomparativeyearfigures.
FILLifeInsurancehasa30thJuneyearendandisthereforenotrequiredtosubmitaday1position.My
questionthereforeconcernswhetherwearesupposedtocompleteS.29for30thJune2016asthereisno
comparativeorareyourexpectingthecomparativetobeourtheoreticalpositionasat1stJanuary2016.
WhichCICcodeisthemostappropriateforovernightdeposits.ShallitbeXT72orXT73
FieldsC0320toC0350inclusiveofS.06.02(andC0210toC0240inclusiveofS.31.01)considerthecredit
ratingofaparticularexposure.TheLOGforS.06.02isclearthat,whereaninternalratingisusedforan
internalmodelfirm,fieldsC0320toC0340arenottobereported.Wethereforehavethefollowing
questions:
1)WhereaninternalratingisusedintheSCRcalculationofastandardformulafirm(asrequiredbythe
DelegatedRegulationforlarge/complexexposures,forinstance),becauseC0350isnottobereported(the
LOGstatesthisisonlyapplicabletointernalmodelfirms),isanythingtobereportedatallinfieldsC0320to
C0340?Yes,itwouldbepossibletoprocureanexternalrating,butsuchanexternalratingwouldnotbeused
intheSCRcalculation.
2)TheLOGforS.31.01isnotsoclearregardingtheinteractionbetweentheexternalandinternalratingfields
Difficultyinterpretingthecorrectinputsforthistemplatebasedonthelatestversionofthelogfile.Two
possibleinterpretations;
Generallythesheetrelatestoclaimsincurredamounts,andtheissueisclaimsincurredduringaccounting
year(profitandlosstypefigures)vscumulativeclaimsincurredamounts(actuarialincurredtriangle,latest
diagonalfigure).Thefirstinterpretationappearsdifficulttoworkwithasthereisnoadviceinthelogfileon
howonewouldaccountfornegativemovementsontheexceltemplate.Italsoseemslessinformativein
termsofprovidingvaluableoverallclaimsexperienceinformation.
Wewouldappreciatefeedbackontheabove,andanyfurthercommentaryonthisparticularlogfilethat
wouldmakethecorrectinterpretationcleartous.
Thankyou.
ForwhatconcernsGroupreportingonS.05.02–Premiums,claimsandexpensesbycountry,howthehome
countryshallbedefined:
a)homecountryoftheparentcompany
b)aggregatedsumofallpremiums(and/orotheritems)underwritteninhomecountryofeachundertaking
beingpartoftheGroup.
TheLOGfileforcellC0230SolvencyIIvalueandtheanswertoquestion8intheQ&Aareveryambivalent.
Wewouldlikeyoutoclearupthefollowing.
ThevalueinthereportisnotasstatedintheLOGfile"asofthetrade...date",butatthetradedate.Asofthe
tradedatewouldmeaneversincethetradedate.Inthatperiod,thevaluefortheundertakinginnil,asitis
nolongerownedbytheundertaking.
Also,thevalueinthereportisnotasstadedintheQ&A"atthematuritydateofsellingdate",butatthe
TheLOGfileforcellC0230doesnotstatethat"Whenacontractisstillopenbuthasbeenreducedinsizethe
closedportionshallbereported."
CanyoupleaseconfirmthatthisisalsothecaseforcellC0230.
Canyoualsogivesomeguidanceastothesupervisorypurposeofthisparticularfieldordirectusto
documentationspecifyingthesupervisorypurpose.Wecouldnotfindanyinthedocumentation.
HowtodealwithundertakingswhereD&Amethodisusedforgroupsolvencycalculation,e.g.undertakings
intheUSwheretheequivalenceisgranted?
ShouldS.15.01.04andS.15.02.04(GroupQRTs)coveralsoundertakingsincludedviaD&A?
AtthemomentweareworkinghardtoimplementsolvencyIIQRTreports.Weareimplementingreports
withdatawhichcanbereadintotheimportexcelsheetofT4U.
Indoingsoweencounterthefollowingproblem:
ForinstanceintheEIOPAdefinitioninthe‘S.06.02–Listofassets’Reportthedefinitionofportfoliois
definedasthefollowingclosedlist:
-Life
-Non-life
HoweverthisisimplementedinT4Uaslife(splitsapplicable).Theresultisweareconfrontedwithalotof
validationerrorwhenfillingthereport.
Anotherexampleisthevalueofthecountryofcustody:definitionisISO3166-1alpha-2codeofthecountry
f.i.‘UK’andT4Uasksfor‘UNITEDKINGDOM’.SomeofthesevaluesevenchangeperversionofT4U!
Itwouldbehelpfulifweknowupfronthowacolumnisfilled.
WhyaretheXBRTvalidationrulesnotcompliantwiththeseEIOPAdefinitions?
Fromthelog-fileto2105/2450itisstated:
Theinformationshallbefilledinrelationtonon-lifebusiness(includingNon-SLTHealth)onlyforthedirect
business.Thereshallbeaseparatetemplateforeachlineofbusiness(LOB).
Thelossdistributionprofilenon-lifeshowsthedistribution,in(predefined)brackets,oftheclaimsincurred
duringthereportingyear.
Claimsincurredmeansthesumofgrossclaimspaidandgrossreportedbutnotsettledclaims(RBNS)ona
casebycasebasisforeachandeverysingleclaim,openorclosed,whichbelongstoaspecificaccident
year/underwritingyear(AY/UWY).
-OnlyclaimsincurredduringthereportingyearN!
QA,EIOPA(nov2015)
https://eiopa.europa.eu/Publications/Guidelines/CP-14-052_11-02-2016.xlsb
Row30:
Q:IntheDecember2014LogfortheS.21.01-Lossdistributionriskprofileform,ithadbeenindicatedthat
informationonhistoricaldataisnotrequiredbutmaybefilledinabesteffortbasis.Howeverthishasbeen
droppedinthelatestLOGS.Couldyoupleaseconfirmwhetherthehistoricalinformationisrequiredornot?
A:
Thereferencetohistoricaldatawasremovedfromtheinstructionsofthetemplateasthetemplatedonot
coverhistoricaldata.Inthetemplate“numberofclaims”and“totalclaimsincurred”shouldbereportedin
relationtothe“claimsincurredduringthereportingyear”.Forthisclaimstheaccident/underwritingyearsN
TheLOGguidanceforcellC0080(Externalrating)statesthefollowing:
“Ratingoftheexposureatthereportingreferencedateissuedbythenominatedcreditassessment
institution(ECAI).”
WehaveinterpretedtheaboveLOGguidancetomeanthatweshouldreporttheexternalratingofthe
instrument/assetsratherthantheexternalratingofthecounterparty.Asderivativesdonothaveratingswe
plantoleavethiscellblankforexposuresarisingfromderivatives.
CanEIOPAconfirmthis?
PropertyheldforownusereportedinthetemplateS.02.01BalancesheetshouldbeequaltotheProperty,
heldforownusethatreportedinthereportingtemplateS.06.02.
Unfortunately,wehavemanybuildings,whicharepartiallyown-usedandpartiallyrented.Asweuseonly
oneAssetIDcodeperbuilding,wecanassignonlyoneCICcodeintheS.06.02.01.02template(whichisXT93
ifmorethan50%isown-usedorXT91/XT92viceversa).
ShouldwesplitthebuildingsintodifferentAssetIDcodes(foruptothreeCICcategories)orshouldweassign
Inacurrencyforwardcontract,ifthetwocurrenciesinvolvedareforeigncurrencies,shallwecreate2lines
foracurrencyforwardcontract(onewithC0310=thepurchasedcurrencyandC0130="Buyer",anda
secondonewithC0310=thesoldcurrencyandC0130="Seller")?
Iamstrugglingwiththebusinessvalidationnb.475(andsomeothersvalidatingthesameexceptforthe
differentLoBs).
ThevalidationsaysthatnetTPforIncomeprotection(intheS.17.01)shouldbelowerthanthenetTPas
presentedintheS.28.02non-lifeactivities.Itdoesnotmakesensetome.HowcomethatTPforLoBshould
belowerthanTPforLobrelatingtoNLactivitiesonly?
Erromessagesays:
PleaseconfirmwhatvalueshouldbeinsertedinR0220.AccordingtothevalidationcheckBV136
R0220/C0100shouldbethesumofR0210/C0100(add-ons)andR0200/C0100.
R0200representsdiversifiedpartoftheconsolidatedgroupSCR(Article336pointa)oftheCommission
DelegatedRegulation.ShouldthevalueinR0220includealsootherelementsoftheconsolidatedgroupSCR?
IsthereabetterformulafortheGroupSCR?
Shoulditbe
R0680=R0590+R0670;
whichis
GroupSCR=ConsolidatedGroupSCR+SCRforentitiesincludedwithD&Amethod?
ThelogforS.14.01templatespecifiesthat“Annualisedguaranteerate”fieldshouldbepopulatedonlywhere
aguaranteerateisprovidedinthecontract.Whilebeingcommoninsomemarkets,thisisnotusuallyfound
inothers.ForexampleUKconventionalwithprofitscontractsdoprovideguaranteedbenefits(cash
surrendervalues,maturityanddeathbenefits),however,thereisnoexplicitreferenceofanyguaranteed
rateprovidedinthesecontracts.Forsimilarproductswithoutexplicitreferencetoaguaranteerateinthe
ForthepurposeofreportingsignificantIGT,shoulddepositsofinsuranceundertakingsmadeatabank
belongingtothesamegroupbereportedinS.36.01?Shouldthegroupreportalsothemovementsonits
regularbankaccount,iftheaccountisheldinthebankbelongingtothesamegroup,orshouldonlydeposits
bereportedasIGTbetweentheinsuranceundertakingandthebank?
Weaskaconfirmationaboutthefinancialguaranteethatshallbereportedeitherin:
•S.03.01relatedtoOff-balancesheetitems;or
•S.36.04relatedtoIGT.
S.03.01isaskingnottoreport‘internalguaranteeswithinthescopeofthegroup’.
Inourinterpretation,internalguaranteesarethosewherebothguaranteedandguarantorarecompanies
withinthesameGroupregardlessthebeneficiary.
Withthesamelogicasabove,wewouldpopulateS.36.04.
Canyouconfirmtheabovementionedinterpretation?
Inaddition,withinS.03.01,howtheguaranteeswherethereportingentityisthebeneficiaryaretobe
reported?
a.asfinancialguaranteereceived
b.ascollateral
c.other
WeareapplyingMethod1:AccountingConsolidationMethodtocalculategroupsolvency.Includedinour
groupisaregulatedBankandunderMethod1,weincludeitssectoralcapitalrequirementsinthe
consolidateddata.
OntheQRTS.25.01.04,weneedtoincludethisSectoralcapitalbeforeR0220:SCRforundertakingsunder
ConsolidatedMethod.
HowevercouldyouadviseinwhichlineaboveR0220weshouldbeaddingtheSectoralcapitalrequirements?
WenotethatthereisspecificlineonR0160wheretheCapitalrequirementforbusinessoperatedin
accordancewithArt.4ofDirective2003/41/EC,shouldbedisclosed.Canthisbeusedusedforotherfinancial
andcreditinstitutionssectoralcapitalrequirements?
wedohaveaquestionregardingQRTS.06.02(ListofAssets)andarelookingforwardtoreceiveyour
assessment.
Followingsituation:Aninsuranceundertakingpurchasedpositionsofthesamesecurity(e.g.bond)attwo
differentdates.Thatmeanseverythingisequal:ISIN(AssetCode),CountryofCustody,Portfolio,….Theonly
differencesbetweenthetwopositionsaffecttheabsolutevalues,e.g.
•Acquisitionvalue
•TotalSolvencyIIamount
•Accruedinterest
IntheLog-FilesofQRTS.06.02isdescribed:
“OnthetableInformationonpositionsheld,eachassetshallbereportedseparatelyinasmanylinesas
neededinordertoproperlyfillinallvariablesrequestedinthattable.Ifforthesameassettwovaluescanbe
attributedtoonevariable,thenthisassetneedstobereportedinmorethanoneline.
OnthetableInformationonassets,eachassetshallbereportedseparately,withonelineforeachasset,
fillinginallapplicablevariablesrequestedinthattable.”
Howshouldtheotherfinancialsector’sSCRbeincludedwithinQRTS.25.01.04forGroups?
TemplateS.01.02-typeofundertaking
Couldyoupleaseadviceifthefirstoption"1-Undertakingspursuingbothlifeandnon-lifeinsuranceactivity"
isappopriateforreinsurancecompanypursuingbothlifeandnon-lifebusinessorisitreservedforcomposite
InS.36.01toS.36.04informationonallIGTsshouldbecollected.TheLogfilemaynotresolveallourdoubts
regardingthecorrectinterpretationoftheterm"intragroupTRANSACTIONS".Whatistheexpected
interpretationoftheterm"transaction"inthiscontext?
Does"transaction"correspondtobusinessactivitieslikee.g.
-agroupentitysellsasecurityissuedbyagroupexternalcounterpartytoanothergroupentity
-agroupentityinvestsinabondwhichisissuedbyanothergroupentity
-twogroupentitiescloseareinsurancecontractwhichtransfersinsuranceriskfromonegroupentityto
anothergroupentity?
Ordoestheterm"transaction"refertogroupinternalassetsandliabilitiesrecognizedinthesoloSolvencyII
balancesheetswhichareeliminatedduringconsolidation?
IntheQRTS.19.01theinflationratesarereportedinRowsR0700-R0750.
IfthereportisruninReportingCurrency(LC)whatarethecorrectvaluestobeshownhere?
InouropinionitisnotreasonabletocalculateanaveragevalueofalldifferentinflationratesperOriginal
Currency(TC)foronespecificLineofBusiness.
ForcellR0020,C0070thelogguidancestatesthefollowing:
“Itshallbethedifferencebetweenthebasicownfundsconsideringtechnicalprovisionswithoutvolatility
adjustmentandwithoutothertransitionalmeasuresandthemaximumbetweenthebasicownfunds
consideringtechnicalprovisionsreportedunderC0010,C0020andC0040.”
WebelievetheobjectiveofthecellR0020,C0070istoidentifytheimpactofvolatilityadjustmentonbasic
ownfunds.Inourview,thatnumbercanbearrivedatbyusingthefollowingsimpleformula.
C0070=C0060–C0010–C0030–C0050
WearealsooftheviewthattheaboveformulacanbeappliedforallcellsincolumnC0070.
SimilarlywebelievenumbersforallcellsincolumnC0090canbearrivedatbyapplyingthefollowing
formula.
C0090=C0080–C0010–C0030–C0050–C0070
CanEIOPAconfirmiftheyagreewithus?
AsperEIOPAvalidationfile,validationBV505isasfollows:
{S.23.02,r0660,c0110}Excessofassetsoverliabilitiesattributabletobasicownfunditems(excludingthe
reconciliationreserve)={S.23.01,r0730,c0060}Otherbasicownfunditems
CellR0730ofS.23.01includes,amongotherthings,surplusfundsandnetdeferredtaxassets.Hence,
includingthesetwoitemsincellR0660ofS.23.02willcausedoublecountingastheseitemsarealreadytaken
accountofinassetvaluationdifferences(R0600),technicalprovisionvaluationdifferences(R0610)orother
liabilitiesvaluationdifferences(cellR0620).Therefore,webelievevalidationBV505isincorrect.
ThereconciliationincellsR0600toR0700ofS.23.02toworkthevalidationBV505shouldbeadjustedas
follows:
{S.23.02,r0660,c0110}={S.23.01,r0730,c0060}-{S.23.01,r0070,c0010}-{S.23.01,r0160,c0010}
CanEIOPAconfirmiftheyagreewithus?IfEIOPAagreeswithus,canweaskEIOPAtocorrectthevalidation
WhatshouldbereportedinR0600/C0020inS.26.01.01?NoITSisavilableforthis.Weseethreepossibilities:
1)Itshouldnotbereported
2)Itshouldbethevalueofonlytheassetsunderthechosencurrencyscenario,asthelabelsindicate
3)Itshouldbethenetvalueofassetsminusliabilitiesunderthechosencurrencyscenario
WehavebeentoldthatsomeauthoritiesrequestthefieldsQuantityandTotalparamounttobeemptyin
caseofCIC=9(Property)butwehavefoundnoreferenceinthetechnicalspecifications.Couldyouplease
commentonthis?
ConsideringthatR0220isonlyopenregardingC0010,couldIpleaseaskforclarificationregardinghowthis
amoutistobeconseredinotherrows,suchasR0290,R0500,etc?
InyourQ&ALOGtitled“AnswerstoquestionsontheFinalreportontheITSonthetemplatesforthe
submissionofinformationtothesupervisoryauthorities(CP-14-052)”youhaveprovidedthefollowing
answertoquestion10on06/11/2015.
“Ifthecontractsareclosedtheunderlyingsecuritiesarenolongerinvolvedinlendingorrepurchase
agreementsandthereforethiscontractsshouldnotbeincludedinthetemplate.”
TheaboveclarificationcontradictsthefollowingsentenceincludedintheLOGfileforS.10.01
“Theinformationshallincludeallcontractsinthereportingperiodregardlessofwhethertheywereopenor
closedatthereportingdate.”
CanEIOPAreconfirmthatwearenotrequiredtoreportsecuritylending/repo/reverserepocontractswhich
wereclosedbeforereportingdateinS.10.01?
IsS.37.01(Riskconcentration)toreportalltheriskswithasinglecounterpartyortoreporttheriskswith
multiplecounterparties?
WekindlyaskyoutoclarifiytheexpectationwithregardtothescopeofissuestobepresentedunderR0220
"Assetsheldforindex-linkedandunit-linkedcontracts"ofS.02.01.
Asofourinterpretationthisbalancesheetitemmustmatchwiththesumof...
a)theSIIValueasofC0170inS.06.02forthoseassetsmarkedas"1—Unit–linkedorindex–linked"inC0090
plus
b)theSIIValueasofC0240inS.08.01forthoseassetsmarkedas"1—Unit–linkedorindex–linked"inC0080.
InapreviousversionoftheQRTs(asofconsultationstarted12/2014)therewasanaccordantvalidationin
place:
DB37,S.02.01.b.C0010/R0220=(sum(S.06.02.b.Table1.C0170/R....)IFS.06.02.b.Table1.C0090/R....=1)+
(S.08.01.b.Table1.C0240/R....)IFS.08.01.b.Table1.C0080/R....=1)
SuchavalidationthatclearlydefinesthescopeofS.02.01-R0220isnolongerdefinedintheXBRLtaxonomy
2.0.1.
Somestakeholders(esp.localauthorities)interpretesthisasevidencethatalsootherliabilitiesandother
ShouldalltheQRIsincludingtheonesnotapplicableforourbusinessshouldalsobereportedintheXBRL
taggedfilewithfactvaluebeing"0"e.g.R0040/C0010(HealthU/wrisk)isnotapplicabletoourbusiness-
shouldthisbereportedwithfactbeing"0"orshouldwecompleteomitthetaghavingnotraceinthexbrlfile
forthis?
IsthisresponseapplicabletothisQRTaloneorallofthenon-investmentQRTs?
WhichvaluationmethoddoyouexpectincaseofCIC=71(coins&notes).
Whichvaluationmethoddoyouexpectincaseofbonds,whichareonly/mainlyOTC-tradedbutstillhighly
liquidwithhightradingvolumesandlowbid/askspreads?
InS.01.01wehaveoption"Notdueinaccordancewithinstructionsofthetemplate"forS.05.02andS.12.02.
Couldyoupleaseclarifywhenthistemplateisnotdue?Instructionsarenotclear.
IhaveaquestionontheSurrenderValuedisclosureinR0300oftemplateS.12.01.01,specificallyfor“Indexlinkedandunit-linkedinsurance”businessincolumnC0030.Wehaveassumedthatthiscolumncaptures
bothpureunit-linkedbusinessandtheunit-linkedportionofUWPbusiness.Weareassumingthatthe
surrendervaluedisclosureinthiscellcapturesthesurrendervalueforallbusinesswithinthislineofbusiness
(thesurrendervalueiseffectivelyequaltotheunitisedfundvalueforallbusinessinthiscolumn).However,I
noticethatrecentEIOPAQ&AresponsesfortheS.41.01.11SurrenderRateFinancialStabilityQRTclarifies
thatthisS.41.01.11surrenderratedisclosureshouldspecificallyexcludepureunit-linkedproducts.
CanyoupleaseclarifywhethertheS.12.01.01SurrenderValuedisclosureinR0300/C0030shouldcaptureall
businessinthe“Index-linkedandunit-linkedinsurance”column(pureunit-linkedbusinessandtheunit-
IaskedthisquestionalreadybutIthink,itwasmaybemisunderstood.
PropertyheldforownusereportedinthetemplateS.02.01BalancesheetshouldbeequaltotheProperty,
heldforownusethatreportedinthereportingtemplateS.06.02.
Unfortunately,wehavemanybuildings,whicharepartiallyown-usedandpartiallyrented.Asweuseonly
oneAssetIDcodeperbuilding,wecanassignonlyoneCICcodeintheS.06.02.01.02template(whichisXT93
ifmorethan50%isown-usedorXT91/XT92viceversa)foreachsinglebuilding.
ShouldwesplitonebuildingintodifferentAssetIDcodes(foruptothreeCICcategories)anddifferentCIC
categories,evenifitisstillthesamebuilding?
OrshouldweassigntoeachbuildingonlyoneCICcode?ThiswouldcauseinEBSthatthewholemarketvalue
ofthemixed-usebuildingswouldbeassignedtoeitherown-usedorrentedpropertyaccordingtothemajor
usageofthatparticularbuilding.
Asinglederivative(withasinglederivativeIDcode)istraded/sold(e.g.options)partiallyatdifferentpointsin
time.Inouropinionthisleadstodifferentmaturitydatesforasinglederivativeidcode.
Butthecombinationofasingleidcodewithvaryingmaturitydatesisnotallowedbythefilingrules.
WehaveaquestioninrelationtoS.36.03QRT(IGT-InternalReinsurance)-C0090-"ValidityPeriod(expiry
date".
TheLOGstatesthattheitemisnottoreportedifacontractiscontinuousandendsbyoneoftheparties
givingnotice.Forthispurpose,ifatreatystartsat01.01.20XXandendsat31.12.20XXbutisautomatically
renewedeveryyear(thereinsurerremainsresponsibleuntilthenaturalexpirationorcommutationofthe
treaty),woulditbeconsideredtobecontinuous?Thestructureimpliesthatthereisanexpirydatainthe
IamwonderingwhythevalidationR0040=R0050+R0060+R0070(forselectedcolumns)isnotdefinedby
theEIOPA(itismissinginthelistofvalidations)?ThistypeofvalidationisintroducedfortheS.17.01.01
(technicalprovisionsnon-life).
Doyouommitedthisvalidationwillinglyorisitmissingandwillbeadded?
Couldyoupleasespecifyinmoredetailwhatkindofdataisexpectedw.r.t.acceptedreinsurance.
Shallthedatareflectthecontractsandproductsintheportfolioofthedirectinsurerorthecontracts
betweenreinsureranddirectinsurer?
Doese.g.thecontractinnumberofcontractsrefertothecontractbetweenreinsureranddirectinsurer?Or
tothenumberofcontractsintheportfolioofthedirectinsurerthataresubjecttothereinsurancecontract?
Ihaveaquestionregardingfollowingrows:
R0330=Bestestimatesubjecttovolatilityadjustment
R0340=Technicalprovisionswithoutvolatilityadjustmentandwithoutotherstransitionalmeasures
Iwouldlitetoaskforafurtherexplananationoftheserows;IamnotsureifIunderstanditproperly.
1.R0330
Ithinkthisvalueiscleartome,soIjustwanttocheckmyunderstandingiscorrect.R0300includesthevalue
ofgrossbestestimatewhichissubjecttothevolatilityadjustment.ValueinR0300iscalculatedwithvolatility
adjustment.R0300isthereforeapartofaR0030.AmIcorrect?
2.R0340
LOGstates:"Amountoftechnicalprovisionswherethevolatilityadjustmenthasbeenappliedcalculated
withoutvolatilityadjustment,foreachLoB."
R0340isthesumof:
i)amountofbestestimate(exactlythevalueinR0330)wheretheVAhasbeenapplied,butforthepurposes
ofthisrow,thevolatilityadjustmentisdisregarded.
Whichsignconventionshouldbeused?Shouldbeanincomealwaysshownwithpositivesignandan
expensealwayswithanegativesign?
WearewonderingwhetherS.05.02isastaticordynamicQRT.Moreprecisely,isthenumberofcolumns
(Top5countries)predefined?Orisitpossibletohavemorethan5countries(inadditionofthehome
country)inthistemplateforbothLifeandNon-Lifeactivities.
IhaveatwoquestionsregardingcellsR0100/C0020andR0100/C0030.
1)WhatistherationalebehindtheinclusionofreinsurancerecoverablesinthecellR0100/C0030insteadof
R0100/C0020.Thisisnewinthelegislation.InthepreviousversionsofQRTthereisnomentionofreporting
netTPinR0100/C0030andwesupposedthatreinsurancerecoverablesarepartoftheR0100/C0020.
2)Takingintoaccountthefactthatreinsurancerecov.arepartoftheR0100/C0030,Iwonderwhatpossibly
canbeincludedintheR0100/C0020?Whatkindofassets(exceptreinsurancerec.)aresensitivetolifeudw
IsthetablerelevanttotheInsurersFinancialStrenghtRatingalreadyavailable?IsitcorrecttosaythatEIOPA
willprovidethetable?
Answer
Thefactthatthepropertyisinownuseisnotdeterminative.Whatmattersisthattheancillaryservices
undertakingisintendedtoassisttheinsuranceorreinsuranceundertakings.Owningand/ormanaging
propertymeansinmostofthecountries,tomanageforthepurposeoftheinsuranceorreinsurance
undertakingsonly(excludingforthebenefitsofthirdparties).InS.32.01(G01)arealestateholdingcompany
oraninsuranceintermediarycanbeclassifiedas“anancillaryservicesundertaking”ifthedefinitioninArticle
1(53)oftheDelegatedRegulationismet(#10)orotherwiseas“other”(#16forpreparatoryphaseand#99in
thefinalinstructions).Incaseofdoubt,anyspecificclassificationhastobediscussedbetweeneachgroup
andthegroupsupervisor.
TheoldcellsB50andB51existedintheindividualtemplateonly.Thecorrespondentcellsinthegroup
templatewereB50AandB51A.Thiscellsweretobereportedreflectingtheconsolidatedpartonly.Assuch,
thevaluesfromanynonEUinsurancesubsidiarybroughtinwithdeductionandaggregationmethod,using
localregulatoryvalues,shouldnotbereflectedinthosecells.Thosevalueswouldonlybereflectedinthe
calculationofthe“RatioofEligibleownfundstoSCRincludingotherfinancialsectors'ownfundsandcapital
requirements”(cellA55Bfromthepreparatoryphasetemplate).
Pleasenotethatcellshavebeenaddedandthesituationmadeclearerinthelastversionofthetemplate.
PleasenotethatthissituationhavebeenfurtherclarifiedintheFinalReportrelatedtotheReportingITS.
Linesofbusiness“Index-linkedandunit-linkedinsurance”,“Otherlifeinsurance”and“Healthinsurance”are
splitbetween“Contractswithoutoptionsandguarantees”and“Contractswithoptionsorguarantees”.For
thissplitthefollowingshouldbeconsidered:
-“Contractswithoutoptionsandguarantees”shouldincludetheamountsrelatedtocontractswithoutany
financialguaranteesorcontractualoptions,meaningthatthetechnicalprovisioncalculationdoesnotreflect
theamountofanyfinancialguaranteesorcontractualoptions.Contractswithnon-materialcontractual
optionsorfinancialguaranteesthatarenotreflectedinthetechnicalprovisionscalculationshouldalsobe
reportedinthiscolumn;
-“Contractswithoptionsorguarantees”shouldincludecontractsthathaveeitherfinancialguarantees,
contractualoptions,orbothasfarasthetechnicalprovisioncalculationreflecttheexistenceofthose
financialguaranteesorcontractualoptions.
Referringtotheexamplesgiven(consideringtheinformationavailableasclassificationoftheproductsneeds
toconsiderthedetailsofeachsingleproduct):
(a)5yearterminsurancecontractwithguaranteeddeathbenefit.Doestheguaranteeddeathbenefit
constituteanon-financialguarantee?Thecolumn“Contractswithoptionsorguarantees”shouldinclude
contractsthathaveeitherfinancialguarantees,contractualoptions,orbothasfarasthetechnicalprovision
calculationreflecttheexistenceofthosefinancialguaranteesorcontractualoptions”.Financialguarantees
areconnectedwithinvestmentresults(forexampleminimumreturnrateoninvestment)andnotwith
reimbursementforinsuredevent.Asdeathbenefitisreimbursementforinsuredeventandisnotconnected
AsstatedintheAnnexIoftheGuidelinesonSubmissionofInformationforthepreparatoryphaseandinthe
FinalReportonpublicconsultationNo.14/052ontheimplementingtechnicalstandardsonthetemplatesfor
thesubmissionofinformationtothesupervisoryauthoritiesinformationbycurrencyshallbereporteduntil
atleast90%ofthetotalassetsandtotalliabilitiesarecovered.
Ifaspecificcurrencyhastobereportedforeitherassetsorliabilitiestocomplywiththe90%rulethenthat
currencyshallbereportedforbothassetsandliabilities.
Thetemplatehasinfactbeenup-gradedandpleasenotethatthetemplateincludedintheFinalReporton
publicconsultationNo.14/052ontheimplementingtechnicalstandardsonthetemplatesforthesubmission
ofinformationtothesupervisoryauthoritiesalreadyincludethecolumnsforthetotalsthatweremissingin
thepreparatoryphaseversion.
EIOPAconfirmsthattemplateS.30.01.isapplicabletoinsuranceandreinsuranceundertakingswhich
reinsureand/orretrocedebusinessonafacultativebasis.
CreditDefaultSwaps:ThepremiumspaidarenotpartoftheProfitandlosstodate(C0160),theyareonly
reportedinPremiumspaidtodate(C0140).TheSIIvalueofthecontractisthemarket-consistentvalue,and
ifIFRSsareused,fairvalueasperIFRS,whichshouldcorrespondtothefutureexpectedcashflows,
discountedusingamarketdiscountrateforthatinstrument,ateachvaluationdate.
FX-Swaps:Basedontheexamplegivenitiscorrectbutpleasehaveinmindtheexplanationgiveninthe
answerabove.
TemplateS.10.01shallbereportedonlywhenthevalueoftheunderlyingsecuritiesonandoffbalancesheet
involvedinlendingorrepurchaseagreements,withmaturitydatefallingafterthereportingreferencedate
representmorethan5%ofthetotalinvestmentsasreportedinC0010/R0070andC0010/R0220oftemplate
S.02.01.(RC0220isamistake,itshouldreadR0220)
R0070correspondsto“Investments(otherthanassetsheldforindex-linkedandunit-linkedcontracts)”and
R0220correspondsto“Assetsheldforindex-linkedandunit-linkedcontracts”.
EIOPAconfirmsthatthevalueoftheunderlyingsecuritiesonandoffbalancesheetinvolvedinlendingor
repurchaseagreementsshouldbedividedbythesumofthevaluesreportedinC0010/R0070and
C0010/R0220oftemplateS.02.01.
IncellC0230thevalueofthederivativecalculatedasdefinedbyarticle75oftheDirective2009/138/ECasof
thetrade(closingorsale)ormaturitytradedateshouldbereported.Itcanbepositive,negativeorzero.This
shouldbetheSolvencyIIvalueatthematuritydateofsellingdateofthederivative.
IncellC0160theamountofprofitandlossarisingfromthederivativesinceinception,realisedatthe
closing/maturingdateshouldbereported.Itcorrespondstothedifferencebetweenthevalue(price)atsale
dateandthevalue(price)atacquisitiondate.
Thisamountcouldbepositive(profit)ornegative(loss).ThisshouldbethedifferencebetweenSolvencyII
valueatthematuritydateofsellingdateofthederivativeandacquisitionprice.
Thenatureoftheamountsandhowtheyarecalculatedvaryaccordingtothederivativecontractinquestion.
PleasefindbellowthelinktotheConsultationPaperaswellastotheFinalReport.
https://eiopa.europa.eu/Pages/Consultations/Public-consultation-on-the-Set-2-of-the-Solvency-IIImplementing-Technical-Standards-(ITS)-and-Guidelines.aspx
Regardingday1balance-sheet,EIOPAhasdeletedthe“Solvency1”columnfromtheday1reportinginthe
balancesheettemplate.Thisinformationwillbereceivedthroughanotherformat,i.e.:asquantitative
informationinthenarrativereportdueinrelationtothefirstdayofapplicationofSolvencyII.Aguidelinein
thenarrativereportingwasaddedtoclarifythatthestructureofthemainclassesofassetsandliabilities,as
definedfortheSolvencyIIbalance-sheet,shouldbefollowedwhendescribingthequalitativeexplanationof
themaindifferencesbetweenthefiguresreportedintheopeningvaluation.InsomeMembersthisvalues
couldbesimilartofinancialstatementsfiguresbutthatisnotnecessarilythecaseinallMembers.
TheinstructionsoftemplateS.02.01arevalidtoallentrypointsofthistemplate(quarterly,annualandday
Pleasenotethatthisanswerhasbeenrevised:
Thecalculationofthethresholdneedtoconsiderboththevaluesinvolvedinsecuritieslendingand
repurchaseagreements.Thismeansthatinbothsituationsdescribedtheundertakingwouldneedtoreport
thetemplate.Thetemplatewouldalwaysneedtoincludebothtypesofcontracts.
Thecontractsclosedduringthereportingperiodshouldalsobereportedifthetemplateisdue.Pleasenote
thattheclosedcontractsdonotcountforthepurposesofthethresholdcalculation.
Providingacollateralisusuallypartofthesecuritieslendingcontract,butifthatisnotthecasethecontract
stillneedtobereportedintemplateS.10.01.
Thetemplateshouldincludeallinternalreinsurancewithinthegroup,includingfacultativereinsurance.
Regardingco-insurance:
-Co-insurance,inthemeaningofseveralundertakingswithinthesamegroupperformingco-insurance
(directbusiness)isnotconsideredasinternalreinsurance;
-Co-reinsurance,inthemeaningofseveralundertakingswithinthesamegroupassumingrisksfromand
entityoutsidethegroup,isnotconsideredasinternalreinsurance
-Co-reinsurance,inthemeaningofseveralundertakingswithinthesamegroupassumingrisksfromanother
groupentity,isconsideredasinternalreinsuranceandshouldbereportedinS.36.03
Inthecaseofinternalco-reinsurance(inthemeaningofseveralundertakingswithinthesamegroup
assumingrisksfromanothergroupentity),itshouldbereportedseparatelyforeach(re)insurance
undertakingbelongingtothesamegroupsinceinaco-reinsurancecontracttheinsuredsumissplitinclear
separatequotapereachco-reinsuranceundertaking,onlyifcumulativelythesuminsured“internally”
exceedsthethresholdsdefinedforsignificantIGT,verysignificantIGTandIGTrequiredtobereportedinall
circumstances.
ThecalculationoftheNetreceivables(C0130)shouldreflecttheamountdescribedintheInstructions:claims
paidbytheinsurerbutnotyetreimbursedbythereinsurer+commissionstobepaidbythereinsurer+other
receivablesminusdebtstothereinsurer.Thetypeofreinsurancecontract/treaty(C0110)shouldindicate
1.S.30.02FieldC0050,Codereinsurer.IfthecounterparthasnotaLEIcode,theundertakinghastoprovidea
specificcode.Anyruleaboutthis?Thespecificcodehastobemaintainedunchangeduntilthecounterpart
adoptaLEIcode?
Ifthecounterpartisapool,itcanbereportedassingleentityonlyifitisa“legalentity”.Whichisthe
definitionoflegalentity?
Pleaseconsiderthatifthesingleparticipantsofapoolhavetobereported,thereportedactivityisquite
difficultastheparticipantschangeyearbyyearandofcourseintheS.31.01veryoldcessionshavetobe
reported.
IfaLEIcodedoesnotexistundertakingshavetoattributeaspecificcode.Althoughthereisnospecification
intheLog,inthecaseswhereacodealreadyexists(eg.nationalidentifier),itisexpectedthatthesamecode
isusedasthisidentifiershouldbekeptconsistentlyovertimeuntilaLEIcodeexist.Legalentityisanentity
thathasalegalstandingintheliesofthelaw.Ifthepoolisnotalegalentitythereinsurershavetobe
identified.
2.S.30.02FieldC0303,externalrating.Atwhichobservationdatehastheratingtobereported?Whichisthe
procedureifthecounterparthasnotassignedaratingbyanominatedcreditassessmentinstitution(ECAI)?
Thedateisthereportingreferencedate(seeinstructionsofC0330).Ifaratingisnotassignedtheitem
shouldbeleftblank.
3.S.30.01:oneriskcanbeprotectedbymorethanonefacultativecession.Arerequiredthe10largestrisks
orthe10largestfacultativecessions?Havetheinfra-groupfacultativecessionstobeconsideredinthefirst
Thelook-throughapproachisonlyapplicableforthecollectiveinvestmentsundertakings.Thecollective
investmentundertakingsreportedinTemplateS.06.02willhavetobelooked-throughItemplateS.06.03,
withsomeexemptions.
HowevertemplateS.06.03isnotapplicableinthepreparatoryphase.
Look-throughisnotapplicableintemplateS.08.01butonthetableInformationonpositionsheld,each
derivativeshallbereportedseparatelyinasmanylinesasneededinordertoproperlyfillinallitems
requestedinthattable.Ifforthesamederivativetwovaluescanbeattributedtoonevariable,thenthis
derivativeneedstobereportedinmorethanoneline.
Youhaveidentifiedinfactaflawinthedefinitionsofthereportingrequirementsandtheformulaisnot
adequateforgroupsthatuseacombinationofmethodsormethod2exclusively.
ThishasbeenidentifiedasamistakeandthefollowingamendmentswillbeintroducedinthetextoftheITS
andintheInstructions(AnnexIII)oftemplateS.06.03,S.07.01andS.10.01.
Amendments:
-Article23,paragraphf):templateS.06.03.04ofAnnexI,providinginformationonthelook-throughofall
collectiveinvestmentsundertakingsheld,regardlessofthemethodusedforthecalculationofthegroup
solvency,followingtheinstructionssetoutinS.06.03ofAnnexIII,onlywhentheratioofcollective
investmentsundertakingsheldbytheundertakingtototalinvestmentsishigherthan30%.Thisratiois
measuredasitemC0010/R0180oftemplateS.02.01.02pluscollectiveinvestmentsundertakingsincludedin
itemC0010/R0220oftemplateS.02.01.02pluscollectiveinvestmentsundertakingsincludedinitem
C0010/R0090oftemplateS.02.01.02dividedbythesumofitemC0010/R0070andC0010/R0220oftemplate
S.02.01.02whenmethod1asdefinedinArticle230ofDirective2009/138/ECisusedexclusively.When
method1isusedincombinationwithmethod2asdefinedinArticle233ofDirective2009/138/ECor
method2isusedexclusivelytherationeedstobeadjustedinordertocapturetheitemsofallentities
includedinthescopeoftemplateS.06.02;
-Article27,paragraphd):templateS.07.01.04ofAnnexI,providinganitembyitemlistofstructured
products,regardlessofthemethodusedforthecalculationofthegroupsolvency,onlywhentheamountof
structuredproductsishigherthan5%,measuredastheassetsclassifiedasassetcategories5(Structured
notes)and6(Collateralisedsecurities)asdefinedinAnnexIIIIdividedbythesumofitemsC0010/R0070and
C0010/R0220oftemplateS.02.01.01,followingtheinstructionssetoutinS.07.01ofAnnexIIIwhenmethod
1asdefinedinArticle230ofDirective2009/138/ECisusedexclusively.Whenmethod1isusedin
combinationwithmethod2asdefinedinArticle233ofDirective2009/138/ECormethod2isused
No,actuallythetemplateshouldincludeallcontractsthatwereopenduringthereportingperiod.The
Instructionsclarifiedthissituation:“Allcontractsthatareonthebalancesheetoroffbalancesheetshallbe
reported.Theinformationshallincludeallcontractsinthereportingperiodregardlessofwhethertheywere
openorclosedatthereportingdate.Forcontractswhicharepartofaroll-overstrategy,wherethey
substantiallyarethesametransaction,onlyopenpositionsshallbereported.”
TheFinalReportonpublicconsultationNo.14/045onGuidelinesonreportingforfinancialstabilitypurposes
doesnotincludetherequirementofquarterlyreportingofthistemplate.
Thistemplateshouldbereportedonlyforannuitiesformallysettledstemmingfromnon-lifecontractsand
relatingtohealthinsuranceobligationsandrelatingtoinsuranceobligationsotherthanhealthinsurance
obligations.ThereforetheIBNRonMotorannuitiesshouldnotbeconsideredinthistemplate.
AlltemplatesforeseenintheTechnicalstandardshouldbereportedifapplicable.Inthiscase,regardlessof
thematerialityofthebusinessthelifebusinesswillneedtobereportedintherelevanttemplates.Itis
consideredthatinthiscasethe“embedded”proportionalitywillapplyasinprinciplethelifetemplates
Thecellaimstoidentifyifthestructuredproductbeingreportedasaguaranteefortheinvestedamount
(totalorpartial)ornot.
InfactthereisnotasingleanswerasitdependsontheITimplementation.Twodifferentsituationsoccur:
1.Therecanbeablockingformulatoverifythatforgivenscenarioacolumnmustbeempty.Ifthisisnot
fulfilledtheninstancefilemustberejectedautomatically.
2.Somecasesarereflectedinfilingrules.
Thisistobeseenonacase-by-casesituation.Fortheexamplegiven,forCIC71pleaseseevalidationBV4,BV5
andBV6”
Relevantdocumentationin:https://eiopa.europa.eu/regulation-supervision/insurance/reporting-format
ThereisinfactaneedtoclarifywhichproductsshouldbeclassifiedunderS.14aspensionentitlements
(option4)andtheuseofcategory5(other)incellC0100.
WhenassessingifaproductshouldbeclassifiedaspensionentitlementundertemplateS.14thefollowing
shouldbeconsidered:
-Ifproductisapensionproductbasedonnationalregulation/law.Forthisthe“Databaseofpensionplans
andproductsintheEEA”publishedatEIOPAwebsitemightbeconsidered(withthecaveatsreferredtoin
thewebsite);
https://eiopa.europa.eu/publications/database-of-pension-plans-and-products-in-the-european-economicarea-(eea)
-Ifaproduct(e.g.aunit-linkedproduct)accumulatesmoneyforretirementusingataxadvantagerelatedto
pensions;
-Ifthefuturepaymentsareexplicitlylinkedtotheretirementitself;
-Iftheproductcomplieswithallfeaturesidentifiedbutalsoincludessomeveryexceptionalsituationswhere
themoneycouldbesurrenderlikelongunemploymentorseriousillness,itshouldcontinuetobeconsidered
asapensionentitlement.
Thefollowingshouldnotinfluencethedecision:
-Iftheproductsubstitutesorisadditionaltothesocialsecuritysysteminplace;
Negativebestestimatesremainaliabilityandshouldnotbereportedasanasset.IntemplateS.26.03,asan
example,thecolumnoftheAssetsshouldonlyincludethevaluesoftheassetssubjecttomortalityrisk,e.g.
ItshouldbenotedthattemplateS.06.03doesnotonlyserveSCRsupervision,butservesalsothesupervision
oftheprudentpersonprincipleforwhichariskbasedapproachisneeded.
Bydefaultallcollectiveinvestmentundertakingsorinvestmentspackagedasfundshavetobesubjecttolookthroughasdescribedintheinstructionsdocument.SpecificsituationsmightbediscussedwiththeNational
SupervisoryAuthority.
Theissuemightaddressthefollowingtwosituations:
1)UndertakingholdstheCollectiveInvestmentUndertakingvaluedandquotedinUSD,andtheundertaking
holds(outsidetheCIU)derivativestohedgethecurrencyrisk;
2)UndertakingholdstheCollectiveInvestmentUndertakingvaluedandquotedinUSD,andtheCIUitself
holdsderivativestohedgethecurrencyrisk.
Thelook-throughisperformedinrelationtotheCIUsplittingthedifferentclassesofassetsandbycurrency
(accordingtotheInstructions).Inthefirstcasethederivativesarenotpartofthelook-throughandshouldbe
InfactthetemplatesS.26arenotrequiredatentitylevelincaseofexistenceofring-fencedfundsor
matchingadjustmentportfolios.TheinformationisreflectedinthearticlesofthedraftITS.Thereporting
requirementsaredefinedbytheITSanddon’tneedtoberepeatedintheInstructionsofthetemplates.
Pleaseseepointsl.,m.andnofarticle14oftheFinalreportonpublicconsultationNo.14/052onthe
implementingtechnicalstandardsonthetemplatesforthesubmissionofinformationtothesupervisory
authorities.
TheinformationregardingFPSistobereportedbybranchandnotbycountry.Asanexample,ifin
R0010/C0020countryAisidentified,thefollowingitemsneedstobereported:
-FrequencyofclaimsforMotorVehicleLiability(exceptcarrier'sliability)inrelationtothebusiness
performedinthecountryAinR0020/C0020
-FrequencyofclaimsforMotorVehicleLiability(exceptcarrier'sliability)inrelationtothebusiness
performedthroughfreedomtoprovideservices(inallcountries)bythebranchestablishedincountryAin
R0020/C0030
Asstatedinparagraph1ofArticle3,“Datapointswiththedatatype‘monetary’shallbereportedinthe
reportingcurrency,whichrequirestheconversionofanyothercurrencyintothereportingcurrencyunless
otherwisestatedinthisRegulation.”Inarticle11g.andk.theexceptionsaredefinedfortemplatesS.16.01
andS19.01.Inaddition,thiswasalsomadeclearintheInstructionsofthosetemplates.
Thus,asstatedintheInstructions,thecurrencysplitofthesetwotemplateshavetobereportedinthe
originalcurrency,unlessotherwisespecified(i.e.:iftheNSAdecidesthatitshouldbereportedinthe
reportingcurrency,thusgettingbacktothegeneralruleofArticle3oftheITS).
Thedefinitionofwrittenpremiumsforreinsurancecontracts–bothwhenreinsuranceundertakingscalculate
premiumstobereceivedfromcedents(inwardreinsurance)andwheninsuranceundertakingscalculated
reinsurers’shareinordertocalculatenetwrittenpremiums(outwardreinsurance)shouldfollowthe
definitionofArticle1,point11,and“premiumsdue”shouldbearerecognisedaccordingtolastdatewhen
cedentshouldpaypremiumstoreinsurer.
Yes,thequalitativeinformationisstillrequired.TheITSempowermentwasontemplatesforthesubmission
ofinformationtothesupervisoryauthoritiesandnospecifictemplateisenvisagedforthequalitative
information.PleasenotethattheGuidelinesonreportingandpublicdisclosure(FinalReportonpublic
InS.04.01“Commissions”aredefinedas:“Acquisitionexpensesincurred,includingrenewalexpenses,which
canbeidentifiedatthelevelofindividualinsurancecontractandhavebeenincurredbecausethe
undertakinghasissuedthatparticularcontract.Thesearecommissioncosts,costsofselling,underwriting
andinitiatinganinsurancecontractthathasbeenissued.Itincludesmovementsindeferredacquisition
costs“
InS.05.01“Acquisitionexpenses”aredefinedas:“Acquisitionexpensesincludeexpenses,includingrenewal
expenses,whichcanbeidentifiedatthelevelofindividualinsurancecontractandhavebeenincurred
becausetheundertakinghasissuedthatparticularcontract.Thesearecommissioncosts,costsofselling,
underwritingandinitiatinganinsurancecontractthathasbeenissued.Itincludesmovementsindeferred
acquisitioncosts.”
Bothtemplatesaretobereportedfromanaccountingperspective,i.e.:LocalGAAPorIFRSifacceptedas
localGAAP.
Yes,acquisitioncostsshouldincludesalariesofunderwritersastheyrepresentcosts“…ofselling,
underwritingandinitiatinganinsurancecontractthathasbeenissued”.
Thereferencetohistoricaldatawasremovedfromtheinstructionsofthetemplateasthetemplatedonot
coverhistoricaldata.
Inthetemplate“numberofclaims”and“totalclaimsincurred”shouldbereportedinrelationtothe“claims
incurredduringthereportingyear”.Forthisclaimstheaccident/underwritingyearsNtoN-14havetobe
identifiedbutthisisnotconsideredhistoricaldata.
ThefullmethodimpliesafullrecalculationoftheSCRwithoutconsideringanylossofdiversification,i.e.
withoutcalculatinganyRFF’snSCRbutcalculatingtheSCRfortheundertakingasawhole.Thesevalues
wouldbethestartingpointfortheadjustment(calculationoftheq-factor),whichisthesameinallthree
cases.
Ifthesimplificationatriskmodulelevelisapplied,insteadofrecalculatingtheSCRfortheundertakingasa
whole,nSCRatriskmodulelevelshallbesummedup.Thismeansthateachcapitalrequirementforeachrisk
moduleforthewholeundertakingistobeapproximatedsummingupthecapitalrequirementofsuchrisk
moduleforeachRFFandtheremainingpart.Thereforethesevalueswouldreflectonlythediversification
effectsatriskmodulelevel,butnotthediversificationeffectsatlowerlevels.Again,thisvalueswouldbethe
startingpointfortheadjustment(q-factor),whichisalwaysthesame.
Ifthesimplificationatrisksub-modulelevelisapplied,thesameprocedurethanfortheothersimplification
applies,butinthiscasetheaggregationmustbedoneatrisksub-modulelevelinsteadofatriskmodule
level.Therefore,thesevalueswouldreflectonlythediversificationeffectsatriskmoduleandrisksubmodulelevel,butnotthediversificationeffectsatlowerlevels.Asintheothertwocases,thesevalueswould
bethestartingpointfortheadjustment(q-factor),whichisalwaysthesame.
Correct,thesumoftheapportionedadjustment(C0050)isnotequaltothetotaladjustment(C0100/R0120).
Weneedtorememberthattherationaleforthisadjustmentisthattheresultoftheapplicationofthe
correlationmatrixtotheadjustedcapitalrequirementsofeachriskmoduleresultsintherealSCRofthe
undertaking.
Yes,theinterpretationiscorrect,itshouldbereportedasinternalrating.Pleasenotethatthealgorithmto
beusedneedstobepartofthedocumentationoftheinternalmodelasapprovedbythenational
supervisoryauthority.
Actuallytheideaistocapturethemarketvalueofthecontract.Thevaluetobereceived/paidifatthe
referencedatetheundertakingwouldpassthecontracttoanotherparty.
IfIFRSsareused,fairvalueasperIFRS,whichshouldcorrespondtothefutureexpectedcashflows,
discountedusingamarketdiscountrateforthatinstrument,ateachvaluationdate.Inthiscasethiswould
havetoconsiderthevalueoftheassetlent/providedaspartofasecuritieslendingtransactionsor
repurchaseagreements,thevalueoftheborrowed/receivedaspartofasecuritieslendingtransactionsor
repurchaseagreementsandconsideranyfees/commissionsinvolved.
Thisamountcouldbepositive,negativeorzero.
Theamendmentwasintentionalasbeforeweonlyhad“TotalReturnSwaps”inthecategoryofcredit
derivatives.
Theideaisthat“TotalReturnSwaps”areclassifiedas“F4”bydefault.Thereisacreditriskforthepartythat
hastopaythefixedamount,oncethepaymentsarecalculatedconsideringthetotallifeoftheasset,which
maygobeyondtheswapmaturitydate.Whopaysthefixedamountanticipatesthefuturereceivables.Only
inthecaseswherethisriskisirrelevant/mitigatedthecontractshouldbeclassifiedasD4.
WewouldoncemorehighlightthattheCICclassificationofassetsandderivativesisnotanexactscienceand
insomecasesrequiresanalysisfromtheundertakingintheclassification.
TemplateS.06.03shallincludethelook-throughofallcollectiveinvestmentundertakings,orinvestments
packagedasfundsandsimilarundertakings,includingwhentheyareparticipationsbyunderlyingasset
category,reporteditem-by-iteminS.06.02.
ThetemplateS.06.03iscomplementarytotemplateS.06.02.IfatgrouplevelaCIUisnotreportedatS.06.02
duetoeliminationofIGTsthenitshouldalsonotbereportedintemplateS.06.03.Thepurposeoftemplate
S.06.03istoprovideinformationontherisksoftheCIUintheBalance-sheetoftheundertaking/group.
PleasenotethatinadditiontherelevantIGTshouldbereported,whensignificant,intherelevantIGT
template.
1.InS.01.03the“remainingpart”asgenerallyusedshouldnotbereported.InspecificcaseswherearingfencedfundhasamatchingportfolionotcoveringthefullRFFthreefundshavetobeidentified,oneforthe
RFF,otherfortheMAPinsidetheRFFandotherfortheremainingpartofthefund(vice-versaforthe
situationswhereaMAPhasaRFF).The“remainingpartofthefund”isstillaRFF.Forthe“remainingpartof
thefund”,C0040/C0050shouldbefilledwiththecodeofeachpart.Astheyhavetobereportedseparately
(duetoRFFandMAPrequirements)allpartsofthefundneedtohavespecificcodes.Stillforthe“Remaining
partofafund”C0060shouldbe“3”,C0070shouldbe“2”andC0080istobeleftblank.
2.InfacttheEIOPAconsidersthatonlyonefundisthe“mother”andallothersub-fundshavetobereported
as“sons”ofthatfund.Thematerialityisonlyassessedtothemotherfundandshouldnotbereportedfor
theothers(assaidintheLOG)
3.FortheFund0001.FullrowC0060shouldbe“1”,C0070shouldbe“1”(NOT“2”)andC0080setto1or2
(giventhatC0080shouldonlybereportedforMotherfunds)
FortheFund00001.RFF_RProwC0060shouldbe“3”–Remainingpartofafund(butstillRFF,itisnotthe
“remainingpartofthecompany”)
EntryofMAP:C0060shouldbe“2”;C0070shouldbe“2”,andC0080shouldnotreported
Forthesecondtable(ListofRFF/MAPwithsubRFF/MAP)thereshouldbeentriesforFund00001.MAPand
Fund00001.RFF_RProws:
C0100codeofRFF
Thetemplates(AnnexIoftheTechnicalStandard)willbetranslatedbytheCOMandwillbepublished
togetherwiththeTechnicalStandardandotherannexesintheCOMwebsiteandlaterintheOfficialJournal.
PublicationinCOMwebsiteisexpectedbybeginningofDecemberandpublicationintheOfficialJournalend
ofDecember2015.
Theannotatedtemplatesandtaxonomyarenotforeseentobetranslatedastheyarenotannexesofthe
TechnicalStandardbutimplementationdocuments.
1.ThetypeofeachfieldmaybeidentifiedintheAnnotatedtemplates.ForexampleseeS.30.01
https://eiopa.europa.eu/regulation-supervision/insurance/reporting-format
2.Thetemplatesonlyhavetobeup-datedifmaterialchangeshaveoccurredsincelastsubmission.Inthis
caseifreinsurancestrategychangesmateriallyoriftherenovationofthereinsurancecontractsisimportant.
Ifforexample,afterthebeginningoftheyearthecedingexposurechangessignificantlydueto
treaties/contractsnotbeingrenewed,theinformationwouldhavetobeup-dated.Incaseofanup-datethe
fulltemplatehavetobesubmittedandthereferencedateshouldbethedateforwhichtheinformation
relatesto.
3.Wrongdatashouldalwaysbeamendedandtemplatere-submitted.Specificproceduralaspectshavetobe
seenwiththeNationalSupervisoryAuthority.
4.No,thetemplateisprospectivefortheselectedlargest10facultativecoversthathavenotyetexpiredat
thestartofthenextreportingyearwhoseperiodofvalidityincludesoroverlapsthenextreportingyearand
areknownwhenfillingthetemplate.
Seepreviousanswer.IthastobereportedinApril2017.
Allvaluesinthequantitativereportingtemplatesaretobereportedaspositivevaluesunlessspecificallysaid
otherwise(examples:“Thisvalueshallbereportedasanegativevalue”inS.12.01/R0110;“andnegativeif
theydecreasetheamountoftheitem”inS.22.01.).
ThespecificcodesweredeletedfromC0020/C0030asthatcolumnaddressesthecounterpartyofthegroup
whichcannotbeanentitywithinthegroup.Thetemplatecoversallsignificantriskconcentrationsbetween
entitiesinscopeofgroupsupervisionandthirdparties.Asthespecificcodeonlyaddressesundertakings
withinthegroup,itwasdeleted.
1)InC0120/C0130theundertakingwithinthegroupneedstobeidentifiedandthereforethespecificcode
applies.
2),3)and4)ShouldbethecodeoftheparentundertakingasreportedinS.01.02(shouldbethesameforall
undertakingsreportedinC0110).UndertakingsprovidingthedatatotheirNCAwithXBRLformatalsohaveto
respecttheformatdefinedinthe“EIOPAXBRLFilingRulesforSolvencyIIReporting”(S.2.8.(c))forthe
identificationcodes.
5)“Codeofthecountry”isthecodeofthecountryoftheentityreferredtoinC0110.
IthasbeenclarifiedintheinstructionsofS.26sthatonlytheamounts“sensitivetotherisk”shouldbefilled
ininbothassetsandliabilities.
Ifsensitivetorisk,evenifcapitalchargeiszerotheamountshouldbereported.
AccordingtotheInstructions(copiedbelow)derivativesshouldbereportedaccordingtotheclassesAtoFin
C0030.
Identifytheassetscategories,receivablesandderivativeswithinthecollectiveinvestmentundertaking.One
oftheoptionsinthefollowingclosedlistshallbeused:
1–Governmentbonds
2–Corporatebonds
3L–Listedequity
3X–Unlistedequity
4–CollectiveInvestmentUndertakings
5–Structurednotes
6–Collateralisedsecurities
7–Cashanddeposits
8–Mortgagesandloans
9–Properties
0–Otherinvestments(includingreceivables)
A–Futures
Q1:Cell“TotalamountofnotionalSolvencyCapitalRequirementsforring-fencedfunds”(R0420/C0100)
referstothenotionalSCRofallmaterialRFF.TheRFFforwhichthecalculationofSCRisnotrequiredshould
notbereflectedhere.
Cell“TotalamountofNotionalSolvencyCapitalRequirementsformatchingadjustmentportfolios”
(R0430/C0100)referstothenotionalSCRofallMAP.WhenaRFFasaMAP,theMAPpartshouldbereported
inR0430whiletheremainingpartoftheRFFshouldbereportedinR0420.
Q2:No,MAPisnotreferredtoastheyshouldnotbeconsideredintheremainingpart(nomaterialityapplies
toMAP).
Q3:No,thecalculationoftheSCRisreflectedinthetableabove.Thiscellsareadditionalinformationonthe
SCR.
Q4:Remainingpartisusedconsistentlyacrossthetemplatesanditincludesnon-RFFbusinesstogetherwith
immaterialRFF.
Foryourinformationrelevantlegislationis:Article81ofCommissionDelegatedRegulation2015/35and
Guideline5ofEIOPA“Guidelinesonring-fencedfunds”.RegardingMAPpleasenotethatthederogationin
Article81(2)doesnotapply.ThisisthenreflectedintheRFFGLsasGL5onmaterialitydoesnotapplyto
MAPaswell.
No,iftheSolvencyIIamountisnegativeitisnotanassetbutaliability.Listofassetsneedtoreflectthe
assetsreportedinthebalancesheetwerenonettingshouldbeconsidered.Theonlyexceptionisbank
overdrafts.Asdepositsarereportedbycurrency/bankitmighthappenthatthisamountisnegativeifboth
legalrightofoffsetanddemonstrableintentiontosettlenetexist.
PleaseseealsoinstructionsforCashandcashequivalentsinthebalance-sheet:“Bankaccountsshallnotbe
nettedoff,thusonlypositiveaccountsshallberecognisedinthisitemandbankoverdraftsshownwithin
liabilitiesunlesswherebothlegalrightofoffsetanddemonstrableintentiontosettlenetexist”
InS.06.02onlyassetswhicharestillintheportfolioshouldbereported.Forthoseassetsrelevantitems
shouldbefilledin.Pleasenotethatinparticulartheitem"Quantity"(C0130)shallnotbereportedifitem
“Paramount”(C0140)isreported.Theitem“Quantity”isanumberofassets,whichmeansthat,forexample,
numberofequitiesheldbyundertakingisreported.Ontheotherhand,incaseof,forexample,government
AccordingtothedraftImplementingTechnicalStandardpublishedinthe“FinalReportonthepublic
consultationCP-14-052ITSonregularsupervisoryreporting”,article2,“datapointswiththedatatype
InS.09.01allassetsshouldbeconsidered,includingtheonesfromunit-linkedandindex-linkedcontracts.The
templateincludesacolumnwherethedistinctionbetweenunit-linkedandindex-linkedcontractsandneither
unit-linkedandindex-linkedcontractsisrequested(C0060).Thismeansthattheassetcategoriesneedtobe
reportedforallassetsincludedinunit-linkedandindex-linkedcontracts(however,notbyfund)andforall
remainingassets.
InS.06.02allassetsaretobereported,includingtheoneswithinunit-linkedandindex-linkedcontracts.Any
itemisexemptedfromreportingduetothefactthatitisassociatedtounit-linkedandindex-linkedcontracts.
Ingeneralallinformationoftheassettemplatesincludetheonesfromunit-linkedandindex-linked
contracts.Excludingunitlinkedassetsunderminesacomprehensiveviewoftheundertakingriskprofile,in
particularcontagiousrisk.Theasset-by-assetreportingalongwiththeotherassetinformationwillalso
concernunit-linkedproducts,sinceweconsiderthatthesealsopresentspecificrisks(forinstance,
EIOPAconfirmsthatregarding“pensionentitlement”classificationtheactualstatusofthecontractshouldbe
used(nottheoriginalone).
Ontheuseofoption“5”pleaseseeanswertoquestion17ofthedocument“Answerstoquestionsonthe
FinalreportontheITSonthetemplatesforthesubmissionofinformationtothesupervisoryauthorities(CP14-052)”,aspublishedonthe12November2015.
https://eiopa.europa.eu/regulation-supervision/q-a-on-regulation
IntemplateS.09.01wearerequestingthereturnsoninvestments.Forthiswedifferentiatebetween
dividends/interestsandrentsandgainsandlosses.
Fortheproperuseofinformationitisimportanttoguaranteethatamountsarenotduplicated.
IntheInstructionsisnowclearthatinthecolumnofintereststheinterestsreceivedandaccruedshouldbe
reported(interestreceivedlessaccruedinterestatthestartoftheperiodplusaccruedinterestattheendof
thereportingperiod).
IntheInstructionsofthegainsandlosses,infactitwasnotmadesoclearthetreatmentofaccruedinterests,
mainlybytheuseofthesolvencyIIvalue.Infactweconsider“SolvencyIIvalue”asincludingaccrued
interests.Howeverforthepurposesofthistemplatethisvalueshavetobedeductedfromtheaccrued
intereststoavoidthesameamountsbeingreportedtwice.
ThismeansthatwhenwereferinC0100andC0110toacquisitionvalue,selling/maturityvalueorvalue
accordingtoarticle75ofDirective2009/138/ECattheendofthe(prior)reportingyear,thosevaluesneedto
EIOPAconfirmsthatlineofidentificationwasaddedtotheannotatedtemplatesexclusivelyfortechnical
reasonsanditwillnotbeintroducedintothebusinesstemplates.
ItistruethatlineidentificationintheS.06.02.01hasadifferentcode(C0010)thenintheS.06.02.04(C0400)
andreasonforthatwasbecauseinthevariantS.06.02.04wealreadyusecodeC0010forthe“Legalnameof
theundertaking”.Atthismomentwebelievethatitisbettertokeepitasitthantochangecodes.
Thesedifferencesyouarereferringtoareexplainedintaxonomydocumentationandmainlyareabout
artificialID,joinedcellsfortypeofcodeandcode,etc.
ThereportingtemplatesreflecttheimplementationofSolvencyIIframework.Thereportingof,forexample,
SCRcalculationsorOwnfunds,includingapplicationoftierlimitsshouldfollowtheSolvencyIIDirectiveand
theDelegatedRegulation2015/35/EC.ThevalidationsdefinedbyEIOPAaimtoguaranteethequalityofthe
informationsubmitted.Thelistofvalidationswillbereviewedregularlyandthereleasedtaxonomies
adaptedeachtime.Incaseofanyabsentareatherelevantlegislation(SolvencyIIDirectiveandthe
DelegatedRegulation2015/35/EC)havetobefollowed.
Youmayfindthefulllistofvalidationsinexcelfileandthe“filingrules”inthewebsiteunder:SolvencyII
Validations
ThetoleranceofthevalidationsispartoftheITimplementationandisaddressedintheEIOPA’sXBRLFiling
RulesandintheIntervalArithmeticimplementationforXBRL(Precision,DecimalsandUnits1.0
specification).Inyourvalidationexamplethetolerancewillbedeterminedbythelessprecisesizeofthe
calculation(normallythebalancesheetitem)andwillvaryasdescribedinthebelowtable:
Forreportedfigure(absoluteamounts)>100000000,valueof@decimalsattributeis@decimals>=-4and
ValidationToleranceof+/-5000Units.
Forreportedfigure(absoluteamounts)≥1000000and<100000000,valueof@decimalsattributeis
@decimals>=-3andValidationToleranceof+/-500Units.
Forreportedfigure(absoluteamounts)≥1000and<1000000,valueof@decimalsattributeis@decimals>=
-2andValidationToleranceof+/-50Units.
Forreportedfigure(absoluteamounts)≥0and<1000,valueof@decimalsattributeis@decimals>=-1and
ValidationToleranceof+/-5Units.
IfitisrelatedtoHealthSLTcouldbeclassifiedasLife,ifitisrelatedtoHealthNSLTcouldbeclassifiedasNonlife.Iftheundertakingdistinguishesinternallyandwishtokeepthatdistinctionitcanalsobeclassifiedas
“Otherinternalfunds”.
AccordingtotheNACERev.2-StatisticalclassificationofeconomicactivitiesintheEuropeanCommunity,
“66.30Fundmanagementactivities”includesportfolioandfundmanagementactivitiesonafeeorcontract
basis,forindividuals,businessesandothers,suchasmanagementofmutualfunds.Theclassificationofthe
issuersectorC0230forfundsistobeconductedonacase-by-casebasis.TobeclassifiedasaK.64.30itneeds
tocorrespondto“legalentitiesorganisedtopoolsecuritiesorotherfinancialassets,withoutmanaging,on
behalfofshareholdersorbeneficiaries”.
Correct,regardingCICcategory4–CollectiveInvestmentsUndertakings,theissuercodeisthecodeofthe
fundmanager(asdescribedintheInstructions).
Incaseofloansthereadingshouldbeconsistent,meaningthatalsoincaseofloansC0180shouldbefilledin
andC0380shouldreflectacleanprice.
Bydefault:
-Iftheexposureisnotmaterialthethresholdforthequarterlyreportingapplies(Quarterlyinformationshall
onlybereportedwhenratioofcollectiveinvestmentsundertakingsheldbytheundertakingtototal
investments,measuredastheratiobetweenitemC0010/R0180oftemplateS.02.01pluscollective
investmentsundertakingsincludedinitemC0010/R0220oftemplateS.02.01pluscollectiveinvestments
undertakingsincludedinitemC0010/R0090andthesumofitemC0010/R0070andC0010/RC0220of
templateS.02.01,ishigherthan30%).
-FortheannualreportingofS.06.03thethresholdisnotapplicable.
However,accordingtoarticle35(6)to(8)oftheSolvencyIIDirectivethistemplatemightbeexemptedforall
quartersandaswellforannualreportingupto20%ofthemarket.
InthiscasestheoriginalcurrencyshouldbereportedasEUR.
TheInstructionsofS.06.02says“ThistemplateshallreflectthelistofallassetsincludedintheBalance–sheet
classifiableasassetcategories0to9ofAnnexIV–AssetsCategoriesofthisRegulation”.Thismeansthatthe
assetsthatarenotclassifiableunderanycategoryshouldnotbeincluded,e.g.deferredtax,pensionbenefit
surplusandrecoverables.
InfactthereisamistakeinAnnexIVinthedescriptionofclass“0”.Itshouldbeamendedto:“Otherassets
reportedin"Otherinvestments"”,inlinewiththedescriptioninAnnexVI.
Wedohavesomevalidations,e.g.forS.06.02.C0110,C0270,C0280orC0390forwhichnoinformation
shouldbereporteddependingontheCICcode(seeBV4to6orBV237).Howeveringeneral,whenitsays
“whenapplicable”theinformationshouldbereportedifavailable.Inthecasereferredtointhequestionthe
informationontheDurationshouldbereported.
Theanswerwillbealsoup-loadedinourwebsiteaccordingtotheprocedure.
ItisconfirmedthatthecellC0180shouldbeusedtoreportinteraliaacontractualamountforthe
transactionsthatarenotyet(fully)settledatthereportingdate.Incaseoffullearlysettlement(beforethe
reportingdate)thebalanceofthecontractualamountwillbezero.Basically,outstandingamountsmeanthat
ifitisrecognisedinthebalance-sheet,thenitneedstobereported.
ValidationBV89andBV90arecorrect.
InBV90therowR0220isnotdeductedbecauseitcannotbefilledinforC0020.
InthefinalSolvencyIIpackagethe“Ownfundsfromthefinancialstatementsthatshouldnotberepresented
bythereconciliationreserveanddonotmeetthecriteriatobeclassifiedasSolvencyIIownfunds”arenot
reportedbytiers,onlythetotalamount(C0010)shouldbereported.ThisiswhyfortheBV89(whichapplies
Thetemplateshouldbereportedonlyforannuitiesformallysettledstemmingfromnon-lifecontractsand
relatingtohealthinsuranceobligationsandrelatingtoinsuranceobligationsotherthanhealthinsurance
obligations,consideringtheamountsgrossofreinsurance,meaningwithoutconsiderationofannuities
Thatisthecorrectunderstanding.TheitemshouldbeleftblankforCIC71,CIC75andCICcategory9–
Property.Theoption“None”istobeusedwhentheitemisapplicablebutforwhichaLEIcodedoesnot
exists.
EIOPAdoesnotintendtoestablishanyindicationonhowtosplittheriskmarginintocurrencies.Itshouldbe
theresponsibilityoftheundertakingtodecideonthemethodandapplyitconsistentlyovertime.
Thiscolumnisnotdocumentedintheofficialtemplatesbecauseitonlyexistsfortechnicalreasonstobeable
toimplementthisspecifictablewiththeXBRLstandard.IntheXBRLimplementationthisC0250artificialfact
mustbeadded,alwayswithtruevalue,toovercometheissuethattherestofthecolumnsofthistableare
primarykeydimensioncolumns.Withoutthis“spurious”fact,thistablewouldnotbetechnicallyreportable
EIOPAdoesn’tdisagreebutthistemplatewassubjecttopublicconsultationandcommentsfromindustry
suggestedotherwise.ThiswaswhythefinaloutcomewastokeeptheinformationonAssetcategoriesand
Currencyaggregated.
ThethresholdshavetobecalculatedusingtheSolvencyIIvalueoftheCollectiveInvestmentUndertakingas
reportedintemplateS.06.02,i.e.consideringtheliabilitiesifany.
Weassumethatatleastfor90%ofthefundthereistheidentificationofthecountry.Intheexceptional
circumstancewherethethresholdbycountryisnotcompliedwithduetolackofinformationtheissuehasto
beconsideredfromariskmanagementperspectivebytheundertakingandundertakingshouldcontactthe
1)Weconfirmthatsubmissionofaseparatebalancesheetformatchingadjustmentportfoliosisnot
required.
2)The“remainingpart”isusedconsistentlyinallQRTs,inaccordancewithArticle217oftheCommission
DelegatedRegulation2015/35.
3)Asregardsthebalancesheet,theremainingpartcoversallelementsexceptallmaterialring-fencedfunds
andallmatchingadjustmentportfolios.Fromagroupperspective,theremainingpartshouldbeadjustedand
shouldbenetofintra-grouptransactions,asprovidedinGL15ofEIOPAGuidelineongroupsolvency.Inall
casesthebalance-sheetforthesolo/groupfromanentitylevelshouldmatchthetotaloftheBSforall
materialRFFandremainingpart,inthecaseswheretherearenoMAP.IfthereareMAP,asitisnotrequired
toreporttheBSforthem,thebalance-sheetforthesolo/groupfromanentitylevelwouldnotmatchthe
totaloftheBSreportedfortheRFFandremainingpart.
4)Asregardsthematerialityofring-fencedfunds,pleaseseeGuideline5fromEIOPA“Guidelinesonringfencedfunds”
BV446-BV457arethevalidationsreferredtointhequestion.
ThevalidationiscorrectasitstatesthattheamountsreportedinS.17.02(onlydirectbusiness)hastobe<=
totheamountsreportedinS.17.01(directbusinessandacceptedreinsurance).
Howevertheerrormessagecouldbeimprovedasitimpliesanequalitybetweenbothamounts.Thiswillbe
includedinthelistofknownissuesandamendedinthenextreleaseofthetaxonomy.
Question1:
FurtherclarificationsarerequiredinrelationwithbusinessvalidationBV432:“Thereisatleastonesecurity
reportedinTable1ofS.06.02thatisnotreportedinTable2ofS.06.02-->Template1:S.06.02;Expression:
FOREVERY{S.06.02.xx.01,c0040;c0050}THEREMUSTBEONELINEIN{S.06.02.xx.02WITHEQUAL
c0040;c0050}”.
Itisnotfullyclearwhetherthecheckperformedonlyrequirestheexistenceofatleastonerowintable2
(informationonassets)foreachgivencombinationofc0040andc0050existingintable1(Informationon
positionheld)orifthecheckimpliesthattheremustbeonlyonerowintable2foreachcombinationof
c0040andc0050existingintable1.
Inthetable“Informationonpositionsheld”,eachassetshallbereportedseparatelyinasmanylinesas
neededinordertoproperlyfillinallvariablesrequestedinthattable.Ifforthesameassettwovaluescanbe
attributedtoonevariable,thenthisassetneedstobereportedinmorethanoneline.
Inthetable“Informationonassets”,eachassetshallbereportedseparately,withonelineforeachasset,
fillinginallapplicablevariablesrequestedinthattable.
EssentiallyvalidationBV432ischeckingwhethertheassetthatappearsinthetable“Informationonpositions
held”inone/moreline(s)appearsalsointhetable“Informationonassets”.
Question2:
Subjecttotheclarificationprovidedonquestion1above,incaseaduplicationofinformationintable2is
required,whicharetheattributestriggeringtheduplication?
Infactcallablebondswithoutanystructuredfeaturebesidestheearlyredemptionoptionshouldbe
ContingentConvertiblebonds(CoCo’s,orbail-inbonds)shouldbeclassifiedwithCIC22astheyare
convertible.
Amountsbeforeandaftershockshallbefilledinwiththeamountofassetsandliabilitiessensitivetothat
shock.Fortheliabilitiestheassessmentshallbedoneatthemostgranularlevelavailablebetweencontract
andhomogeneousriskgroup.Thismeansthatifacontract/HRGissensitivetoashocktheamountof
liabilitiesassociatedtothatcontract/HRGshallbereportedasamountsensitivetothatshock.
Ifassetsorliabilitiesarenotsensitivetotheshockthecellsshouldbereportedwithzero.
Fromtheoptiondescribeditisoptiona).Ifsensitivetorisk,evenifcapitalchargeiszerotheamountshould
bereported(asitiswrittenintheLogofS.26templates“Amountsbeforeandaftershockshallbefilledin
withtheamountofassetsandliabilitiessensitivetothatshock”).
Itisimportantthattheamountsreportedundercolumnsbeforeandaftershockareconsistent.
Question1:
Correct,intemplateS.06.03thereisnodistinctionfortheunitlinked.Thelook-throughisdoneby
instrument.IfaCIUisholdbothinunitlinkedportfolioandnon-unitlinkedportfolio,itshouldappearin
S.06.03onlyonce(withthelook-throughrequired)coveringthetotalamountinvestedinthatCIU.
Question2:
Ifthethresholdisdifferentfromquartertoquarterthetemplateshouldonlybesubmittedinrelationtothe
quarterswherethethresholdismet.
Infact,templateS.06.03hastobesubmittedannuallybyallundertakingswithoutapplicationofany
threshold,unlessexemptedunderarticle35(6)to(8)oralreadyreportedunderquarter4.
InCellS.15.01.C0090onlyoneguaranteemightbereported.Inthatcasepleasereportthemostmaterial
guarantee.
SolvencyIIvalueshouldbereportedinthiscase,aswellasineachcasewhentheexpectationtoreportan
amountinothervalueisnotclearlyspecified.
Thistemplateistobefilledinonthebasisoftheclaimsincurred,meaning“thesumofgrossclaimspaidand
grossreportedbutnotsettledclaims(RBNS)onacasebycasebasisforeachandeverysingleclaim,openor
closed,whichbelongstoaspecificaccidentyear/underwritingyear(AY/UWY).”.Thus,forexampleifN=2016,
thentotalclaimsincurredforyearN-10wouldbeeither:
•ThesumofgrossclaimspaidplusRBNSasatthereportingreferencedateforallclaimeventsthatoccurred
in2006,ifitemZ0020=“accidentyear”;or
•ThesumofgrossclaimspaidplusRBNSasatthereportingreferencedateforallclaimeventsrelatingto
contractswrittenorrecognisedin2006,ifitemZ0020=“underwritingyear”.
PleasenotethatonlytheRBNSpartofthebestestimateisincludedintemplateS.21.01(theincurredbutnot
reported(IBNR)partofthebestestimateisnotincludedinS.21.01).Downward(orupward)revisionsto
previousclaimsarenotexplicitlyreportedintemplateS.21.01.Considerasingleclaimthatoccurredin2006,
say,forwhichatend2016paid=20andRBNS=100.Itmightbethatforthisclaimatend2017paid=30and
RBNS=80.Thustheclaimsincurredfortheclaiminquestionis120intheatend2016templateand110in
theatend2017template,theclaiminquestionhasbeenreviseddownby10during2017butthusrevisionis
Incaseofunlimitedexposures,suchasthecaseofthelineofbusinessmotorvehicleliabilityinsurance(line
ofbusiness4inDelegatedRegulations2015/35AnnexI),thesecontractsneedtobereportedinthelast
bracket.Forthereportingofthe“Totalsuminsured”undertakingsshoulduseanestimationoftheexpected
possibleloss.
AsstatedininstructionsforC0020/R0010-R0210:
“ForpolicieswherethereisnoSumInsureddefinedinthepolicytheundertakingshoulddotheirown
estimationsorusedefaultvalues.
DownwardsrevisionsoftheBEarenotdirectlyshowed,onlytheamountoftheBEattheendofthe
referenceperiodshouldbereported.Thismightbelowerfromoneyeartotheotherbutshouldnotbe
C0350on“Internalrating”istobeusedonlyforinternalratingofassetsforundertakingsusinganinternal
modeltotheextentthattheinternalratingsareusedintheirinternalmodelling.
Inthecasedescribed,ofanundertakingusingthestandardformula,C0320-C0340shouldbeused.Ifthe
assetatstakedoesnothaveanyratingfromthenominatedECAIsthenC0320andC0330shouldnotbe
reported.UnderC0340thecreditqualitystepattributedtotheasset,asdefinedbyarticle109a(1)of
Directive2009/138/ECshouldbereported.TheinformationreportedinC0340shallinparticularreflectany
Inordertofillinproperlythecellsofthequantitativereportingtemplates,includingS.23.01.04,oneneeds
toconsidertherelevantprovisionsoftheSolvencyIIDirective,CommissionDelegatedRegulation(EU)
2015/35,CommissionImplementingRegulation(EU)2015/2450layingdownimplementingtechnical
standardswithregardtothetemplatesforthesubmissionofinformationtothesupervisoryauthorities,and
relevantguidelines.Inparticular,instructionsregardingreportingtemplatesforgroupsaslaiddowninAnnex
IIIoftheCommissionImplementingRegulation(EU)2015/2450needtobeconsidered.
Validationsshouldnotbeperceivedasinstructionstofillinthecells.Theiraimistoguaranteethequalityof
theinformationprovidedinthereportingtemplates.
Inanycase,weconfirmthatinaccordancewithArticle82(2)oftheCommissionDelegatedRegulation(EU)
2015/35thesumoftheeligibleamountsofTier2ownfundsshouldbelimitedto20%oftheminimum
consolidatedcapitalrequirement.ForfurtherdetailspleaseseeGuideline16ofEIOPAGuidelinesongroup
1.Weconfirmthatincasethegroupusesthestandardformulaandapartialinternalmodel,then
R0590/C0010inS.23.01.04(ConsolidatedgroupSCR)shouldbeequaltoR0220/C0100inS.25.02.04
(Solvencycapitalrequirementforundertakingsunderconsolidatedmethod)."ThiscanbetakenasgroupSCR
calculatedwithmethod1excludingSCRcalculatedforundertakingscoveredbymethod2(D&A).
2.WeconfirmthatinS.25.02.04,R0570/C0100shouldthesumofR0220/C0100andR0560/C0100.
3.ThesecondformulaiscorrectbutitshouldrefertoR0560(Totaleligibleownfundstomeetthe
consolidatedgroupSCR(excludingownfundsfromotherfinancialsectorandfromtheundertakingsincluded
viaD&A)insteadofR0520,asfollows:S.23.01.04-R0630/C0010=S.23.01.04-R0560/C0010/(S.25.02.04(R0220-R0500)/C0100).
Thefirstformulaisnotcorrect,becauseitrefersinthedenominatortoR0590,whichincludesthe
contributionfromotherfinancialsectors(OFS),whileintheLOGstatesthatthe“consolidatedgroupSCR”to
Inacurrencyforwardcontractitisassumedthatthetwocurrenciesinvolvedarethereportingcurrencyand
aforeigncurrency.TheforeigncurrencyisidentifiedinC0310andthepositioninthecontractisidentifiedin
C0130.
Ifitisacontractwithtwoforeigncurrencies,itismoreprobablethatitisacurrencyswap,inwhichcase
C0350andC0360shouldbeusedtoidentifybothcurrencies.
Thevalidationiscorrect.Thereisinfacttworeasons,asyoupointedout,forthevalueinS.28mightbe
biggerthantheamountsreportedinS.12:
-TheamountofthetransitionalonTechnicalProvisionsregardingtheAcceptedreinsuranceonInsurance
withprofitparticipationasforAcceptedreinsurancetheamountsarenotsplitbyLoB;
-Level2provisionsarealsorelevantasnotallrecoverablesareinfactrecognisedforMCRcalculation
purposes.
By“apportionmentfromtheTechnicalprovisionstransitional”:itismeantthattheamountoftechnical
provisionstransitionalneedstobeallocatedtothedifferentLoB;
By"contributorymethodologyusedforthepurposesofMCRcalculation":itismeantthattheallocation
shouldbedoneusingthesamemethodologyusedfortheMCRcalculation,asreferredtoinGuideline9of
“EIOPAGuidelinesontheimplementationofthelong-termguaranteemeasures”.
Itshouldbeanestimationofthemaximumamountrepresentingthefuturecashout-flowsrequiredtosettle
thecontingentliabilityoverthelifetimeofthatcontingentliability,discountedattherelevantrisk-free
interestratetermstructure.Moredetailswouldneedtobeknownfromthespecificsituation,regardinghow
theexcessandadditionalproceedsarecalculatedandunderwhichsituationitwouldoccur,butitcouldbe
forinstancethatthemaximumvalueisthetotalvalueofthesubsidiary?Undertakingswouldneedtomake
TheprinciplesassetoutinArticles81and217oftheCommissionDelegatedRegulation2015/35,and
describedinGL15ofEIOPAGuidelinesongroupsolvency,providethattheintra-grouptransactionsbetween
theassetsandliabilitiesassociatedwithamaterialring-fencedfundorwitheachmatchingadjustment
portfolioandtheremainingconsolidateddatashouldnotbeeliminated.However,thetemplateS.03.01isfor
thereportingofoff-balancesheetitemsandinternalguaranteeswithinthescopeofthegrouparenot
reportedinthistemplate.
ThereferredfilingruleS.2.18(c)describestherequiredaccuracyofthereportedfiguresrelevantfortheXBRL
businessvalidationswhenthedataistransmittedwiththeEIOPAXBRLtaxonomy.PleaseseesectionVII.2of
thesamedocument,theXBRLspecificationandtheEurofilingFAQforabetterunderstandingofthe
behaviour.Intheexamplethatyoumention,forreportedfigures>=100000000with@decimalsattribute-4
thetoleranceforcalculationswillbe+-5000.
EIOPAconfirmsthattheinterpretationiscorrect:shouldbethesumofclaimspaidduringthereportingyear
plusRBNSattheendofthereportingyearandthisisallocatedtotherespectiveunderwriting/accidentyear.
PleaseseealsoQ&A74fromfile“AnswerstoquestionsontheFinalreportontheITSonthetemplatesfor
thesubmissionofinformationtothesupervisoryauthorities(CP-14-052)”
EIOPAconfirmsthatC0310oftemplateS.08.01isonlyapplicabletoover-the-counterderivativesconsistently
withC0290.
Thecellistobefilledinwiththevalueofthederivativecalculatedasdefinedbyarticle75oftheDirective
2009/138/ECatthetrade(closingorsale)ormaturitytradedate.(asdefinedintheInstructionsofcell
C0230)
ThiswasamistakeandtheInstructionswillbecorrect.TheintentionisthatallLoBslistsarealignedwiththe
codesusedintheAnnexofDelegatedRegulation2015/35.
Infactbrokersarenotmandatory.Ifnobrokerisusedthecellsmustbeleftempty.WewillamendtheFilling
rulesaccordingly.
EIOPAconfirmsthattemplatesS.29sareonlyrequiredwhentwoSolvencyIIreportingfiguresareavailable,
i.e.forDecemberyearendcompaniesinrelationto31/12/2017or30/06/2017inthecasereferred.
OvernightdepositsXT73forthefollowingreason:Inovernightmarkettransactionslenderslendfundsonly
overnight,i.e.theborrowermustrepaytheborrowedfundsplusinterestatthestartofthebusinessthenext
day.Typicallythistypeoftransactionsoccurinthemorningafterthestartofthebusinessdayandare
finalisedthenextmorning.Forthatperiodintime,i.e.overnight,thelenderdoesnothaveaccesstothe
InthecasedescribedboththeexternalratingandCQSneedstobereported.TheCQS(tobeusedintheSCR
calculation)shouldreflecttheinternalassessment(asininstructions:“Thecreditqualitystepshallin
particularreflectanyreadjustmentstothecreditqualitymadeinternallybytheundertakingsthatusethe
standardformula”).
TheapproachinS.31.01isthesameasinS.06.02.
PleaseseeanswertoQ74ofdocument“AnswerstoquestionsontheFinalreportontheITSonthe
templatesforthesubmissionofinformationtothesupervisoryauthorities(CP-14-052)
Optiona)shouldbefollowed,i.e.forthepurposeoffillinginthetemplateS.05.02.04aMemberStatein
whichaparticipatinginsuranceorreinsuranceundertaking,aninsuranceholdingcompanyoramixed
financialholdingcompanyisestablished,shouldbeconsideredasthehomecountry.
WhenwesayintheQ&A“(closingorsale)ormaturitytradedate"wemeanmaturitydateifderivativewas
helduntilmaturityorclose/sellingdateifderivativewasclosed/sold.Thereferencedateisthedatefrom
whichthederivativeisnolongerownedbytheundertaking.Itisnotexpectedthatundertakingmonitorsthe
valueofaderivativethatitnolongerholds(i.e.theuseof“asof”wasinfactmisleading).
Wheninthegeneralcommentsitisstated“Whenacontractisstillopenbuthasbeenreducedinsizethe
closedportionshallbereported.“,thisisvalidforallapplicableitemsofthetemplate,includingC0230.
Asforthepurposeofthetemplateitwascommunicatedinpreviousconsultationsandisasfollows:
“Thistemplateprovidesinformationthatisessentialforbothmicro-andmacro-supervisory:adetailedlistof
derivatives.Thisdetailedlistincludesallderivativescontractswhichexistedduringthereportingperiod,but
wereclosedpriortothereportingdate.ItwillbeusedinconjunctionwithAS-D1orAS-D1Qtogivea
completevisionoftherisksintheinvestmentportfolioandtheriskmitigatingstrategiesfollowedthrough
theuseofderivatives,reducingtheneedforadhocrequests.”
(pleasenotethatreferencestoAS-D1andAS-D1QcorrespondstoS.06.02andS.8.01respectively)
AsspecifiedintheLOGs,templatesS.15.01.04andS.15.02.04“shallonlybereportedbygroupsinrelationto
thedirectbusinessandonlyforthoseentitiesoutsidetheEEAthathavevariableannuitiesportfolios.”The
templatesshouldthereforeincluderelevantinformationalsowithregardtonon-EEAundertakings,
regardlessofwhetherthethirdcountryisrecognisedasequivalentunderArticle227oftheSolvencyII
TheT4Uisrenderingtotheusersthelabelsofcolumn“Hierarchy”oftheDPMdictionarypublishedinour
websiteinExcelformat.ThiscolumnsometimesisnotfullyalignedwithbusinessLogs,forexampleas
indicatedthetoolisrenderingthefullnamesforcountriesinsteadtheISOcodes.Thisdecisionwasmade
duringthedevelopmentoftheT4Ubecauseitwasconsideredthattheselabelswereingeneralmoreuser
friendlyforthedictionary.Forfurtherquestionabouttoolforundertakingsprojectpleasecontact
[email protected].
EIOPAconfirmstheanswersprovidedbefore.Thereportingshouldaddress“claimsincurredduringthe
reportingyear”.Pleasenotethatisnot“claimsreportedinyearN”.
EIOPAconfirmstheinterpretation.Whentheinstructionsreferto“exposure”itismeanttoreferto
instrument/asset.Howeverpleasenotethatthistemplateshouldbecomplementedbynarrative
information.Iftheamountsofriskconcentrationintheformofderivativesismaterial,wewouldexpect
informationonratingofthecounterpartyinthenarrativereport.
IntheinstructionsoftemplateS.06.02,ingeneralcommentsitisstated:“OnthetableInformationon
positionsheld,eachassetshallbereportedseparatelyinasmanylinesasneededinordertoproperlyfillin
allvariablesrequestedinthattable.Ifforthesameassettwovaluescanbeattributedtoonevariable,then
thisassetneedstobereportedinmorethanoneline.”
Referringtotheconcreteexample,differentAssetIDcodesshouldbeattributedtothebuildingssothatthe
properCICcouldbeattributed.IntheBalance-sheetthemarketvalueofthebuildingshouldalsobesplit.
Inthiscase,andalsointhecaseofcurrencyforwardcontractinvolvingthereportingcurrencythefollowing
shouldbereported:
-C0120shouldidentifythenominalamount
-C0310shouldidentifythecurrencyofthenominalamount,currencybeingfixed
-C0330shouldidentifythecurrencyandexchangerate
Forexample,inaforwardcontractUSD|GBP,1000000USD,exchangerateUSD|GBP=0,6959:
-C0120:1000000
-C0310:USD
-C0330:GBP0,6959
PleaseseeanswertoQ&A81aspublishedinAnswerstoquestionsontheFinalreportontheITSonthe
templatesforthesubmissionofinformationtothesupervisoryauthorities(CP-14-052)regardingthe
considerationofrecoverablesonbothtemplates.
RegardingyourreferencetothefactthatS.28.01referstoNLactivitiesweclarifythatwealsoexpectallNL
activitiestobereportedinS.17.01,thereforenodifferenceintheamountsreportedisexpectedduetothat
reference.
AsregardsS.25.01.04,thevalueincellR0220(Solvencycapitalrequirementforundertakingsunder
consolidatedmethod)shouldincludeallelementsoftheconsolidatedgroupSCR.ForthisreasonR0220
shouldbethesumofthefollowingcells:
-R0200(diversifiedpartoftheconsolidatedSCR,referredtoinArticle336pointa)oftheCommission
Delegatedregulation2015/35),
-R0210(capitaladd-ons),
-R0500(Article336point(c)oftheCommissionDelegatedregulation2015/35),
-R0540(Article336point(b)oftheCommissionDelegatedregulation2015/35),
-R0550(Article336point(d)oftheCommissionDelegatedregulation2015/35).
Pleaserefertotheanswerpublishedon27January2016underQ&Aprocedureinthefile“Answersto
questionsontheFinalreportontheITSonprocedures,formatsandtemplatesofthesolvencyandfinancial
conditionreport(CP-14-055)”.InthisansweritwasclarifiedthatthevalueincellR0680/C0010isthesumof
thevaluesof“ConsolidatedGroupSCR”(R0590/C0010)and“SCRforentitiesincludedwithD&Amethod”
(R0670/C0010).Itwasalsoconfirmedthereisamistakeintheinstruction,whichwillbecorrectedonthefirst
possibleopportunity.
EIOPAconfirmsthattheintentionisthatC0210(Annualisedguaranteedrate(overaveragedurationof
guarantee))isonlyfilledinwhenthecontractguaranteesarateofreturn.Guaranteedbenefitssuchascash
surrendervalues,maturityanddeathbenefitsshouldnotbeconsideredforthispurposes.
Themovementsonaregularbankaccount,heldinthebankwhichbelongstothesamegroup,shouldnotbe
reportedasanIGTbetweentheinsuranceundertakingandthebank.Suchtransactionsshouldhoweverbe
reportedasIGTbetweentheinsuranceundertakingandotherentitytowhomthepaymentfromthebank
accountwasmade(ifabovethethresholdordeterminedasatypeofIGTwhichneedstobereportedineach
case).
Theoutstandingamountofdepositsmadebytheinsuranceundertakingatabankwhichbelongstothesame
groupshouldbereportedasIGT,ifallrelevantconditionsaremet.Therelevantconditionsshouldbe
assessedbyconsideringthesumofopenpositionsateachmoment(i.e.iftheoutstandingamountof
depositsmeettheconditionsatanypointintimeofthereferenceperiod,evenifnotattheendofthe
Weconfirmthatoffbalancesheetguaranteesbeinganintra-grouptransactionfallingunderreporting
obligationshouldbereportedinS.36.04.Wealsoconfirmthatthepartiestothetransactionareanentity
receivingtheguaranteeandanentityprovidingaguarantee.Informationregardingtheentityreceiving
guaranteeshouldbeprovidedinC0020,C0030andC0040.Informationregardingtheentityproviding
guaranteeshouldbereportedinC0050,C0060andC0070.
InS.03.01,wherethereportingentityisthebeneficiaryoftheguarantee,theguaranteeshouldbereported
inR0030as“Guaranteesreceivedbytheundertaking,includinglettersofcredit.
AsregardsS.25.01.04,thevalueincellR0220(Solvencycapitalrequirementforundertakingsunder
consolidatedmethod)shouldincludeallelementsoftheconsolidatedgroupSCR.ForthisreasonR0220
shouldbethesumofthefollowingcells:
R0200(diversifiedpartoftheconsolidatedSCR,referredtoinArticle336pointa)oftheCommission
Delegatedregulation2015/35),
R0210(capitaladd-ons),
R0500(Article336point(c)oftheCommissionDelegatedregulation2015/35),
R0540(Article336point(b)oftheCommissionDelegatedregulation2015/35),
R0550(Article336point(d)oftheCommissionDelegatedregulation2015/35).
ThevalidationcheckBV136willbeamendedaccordingly(thefollowingcellswillbeadded:R0500,R0540and
R0550).
Informationoncapitalrequirementsoftheentitiesfromotherfinancialsectorsshouldnotthereforebe
Infactthetextwasnotclearenough.
Pleasenotethatthefollowingcorrectionwillbepublished:
InS.06.02.Generalcommentsthe6thparagraphshallbereplacedbythefollowing:
“OnthetableInformationonpositionsheld,eachassetshallbereportedseparatelyinasmanylinesas
neededinordertoproperlyfillinallnon-monetaryvariableswiththeexceptionofitem“Quantity”,
requestedinthattable.Ifforthesameassettwovaluescanbeattributedtoonevariable,thenthisasset
needstobereportedinmorethanoneline.”
PleaseseeanswertoQ&Anumber93publishedonEIOPAwebsiteon10May2016(inthefilewithquestions
referringtoFinalreportontheITSonthetemplatesforthesubmissionofinformationtothesupervisory
authorities(CP-14-052)),aswellasanswertoQ&Anumber96publishedon17May2016(inthesamefile),in
whichitwasconfirmedthatthevalueincellR0220inS.25.01.04shouldbethesumofthefollowingcells,
R0200,R0210,R0500,R0540andR0550.ThevalidationcheckBV136willbeamendedaccordingly(cellswill
EIOPAconfirmsthatareinsurancecompanypursuingbothlifeandnon-lifebusinessshouldreportoption“1”
inS.01.02.C0010/R0040.
Anintra-grouptransactionsshouldbeunderstoodasatransactionfallingunderthedefinitionprovidedin
Article13point19oftheSolvencyIIDirective,regardlessofwhethertheyhaveimpactonthepositionsof
assetsorliabilitiesintheindividualorconsolidatedbalancesheet.
Asstatedintheinstructions,thetemplatesshallincludeIGTsthatwere:
•in–forceatthestartofthereportingperiod(includingtransactionsinceptedinthepreviousreporting
period),
•inceptedduringthereportingperiodandoutstandingatthereportingdate,
•inceptedandexpired/maturedduringthereportingperiod.
AllexamplesofIGTsprovidedinthequestionfallunderthescopeofreportingrequirements(iftheirvalue
exceedstherelevantthresholdortheyaredeterminedasatypeofIGTtobereportedinallcircumstances).
Theyshouldthereforebereportedforthereportingperiodinwhichtheywereincepted,andthenthey
shouldbereportedinthefollowingreportingperiodsiftheyarestillinforceatthestartofthesereporting
RegardingyourquestiononS.19,thesameissuecouldactuallyberaisedforinformationnotsplitbyLoB,as
differentinflationratesmaybeusedfordifferentLoB–inthiscasesorinthecaseswherereportingby
LoB/currencyisnotreportedtheinflationrateusedforthemostmaterialLoB/currencyshouldbeused.Itis
expectedthatforthecurrencythiswouldbethereportingcurrency.Ifthisisnotthecasepleasecontactyour
supervisoryauthority.
EIOPAconfirmstheinterpretationoftheformulationofbothC0070andC0090.
InadditionpleasenotethatregardingR0020(Basicownfunds)thereferenceto“Itshallbethedifference
betweenthebasicownfundsconsideringtechnicalprovisionswithoutvolatilityadjustmentandwithout
othertransitionalmeasuresandthemaximumbetweenthebasicownfundsconsideringtechnicalprovisions
reportedunderC0010,C0020andC0040”iswrong.Inthiscaseitshouldrefertothe“minimum”.The
formulationwith“maximum”isvalidonlywhentheitematstakedecreasewiththeapplicationoftheLTGA,
whichisnotthecaseofownfunds.
IntemplateS.23.02theReservesfromfinancialstatementsadjustedforSolvencyIIvaluationdifferences
(C0110/R0650)isexplainedbyitsdifferentcomponentsofdifferentvaluationsandtotalofreservesand
retainedearningsfromfinancialstatements.TheSolvencyIIEoAoL(C0110/R0700)isthentheReservesfrom
financialstatementsadjustedforSolvencyIIvaluationdifferences(C0110/R0650)plusExcessofassetsover
liabilitiesattributabletobasicownfunditems(excludingthereconciliationreserve)(C0110/R0660).
InrelationtoDTAandSurplusFund:
-R0650doesnotincludeDTA,onlythedifferenceofDTAvaluesunderSIIandvaluedinfinancial
statements.ThevalueofSIIDTAisonlyreflectedinR0660
-R0650doesnotincludealsoSurplusFundasthisisnotaReserveunderfinancialstatements.Under
financialstatementsthisamount(thatreferstoarticle91(2)ofSolvencyIIDirective)isaliability.Thevalueof
SurplusFundisthereforedeductedfromR0650(eitherinrowR0610orR620dependingifinfinancial
statementsthisamountisaTPorotherliability)andisthenconsideredinR0660(asaBOF).Pleasebeaware
thatinS.23.02R0650=R0600-R0610-R0620+R0630(+R0640),whereall“increase”ofvaluationshould
havea”+“signandall“decrease”ofvaluationshouldhavea”-“signforR0600,R0610andR0620.
Itisoption1).Pleaseseethe“FinalreportonpublicconsultationNo.16/004ontheproposalfor
amendmentstoImplementingTechnicalStandardsonthetemplatesforthesubmissionofinformationtothe
supervisoryauthorities”whereinAnnexVthemistakeisproposedtobecorrected.
Thatiscorrect.Theitems“Quantity”and“Totalparamount”arenotapplicabletoproperty.Inthiscaseonly
C0170shallbereported.
ThiswasmadeclearinthecorrectionsproposedtotheITS.Pleaseconsultthe“Finalreportonpublic
consultationNo.16/004ontheproposalforamendmentstoImplementingTechnicalStandardsonthe
EIOPAconfirmsthatinR0220theamountof“Ownfundsfromthefinancialstatementsthatshouldnotbe
representedbythereconciliationreserveanddonotmeetthecriteriatobeclassifiedasSolvencyIIown
funds”shouldbereportedonlyunderTotal.
However,inthecalculationsofR0290(Totalbasicownfundsafterdeductions),R0500toR0550(Available
andeligibleownfundsforindividualundertakings)andR0520toR0570(Availableandeligibleownfundsfor
groups)theamountreportedinR0220/C0010shouldbedeductedasifitwasreportedasTier1unrestricted
(assumptionisthatdeductionisdoneinReconciliationreservewhichisTier1unrestricted).
InfacttheanswertoQ10wasunfortunatelyincorrectandwillbeamended.
InthiscasetheInstructionsaspublishedintheITSshouldprevailantthecontractsclosedduringthe
reportingperiodshouldalsobereportedifthetemplateisdue.Pleasenotethattheclosedcontractsdonot
countforthepurposesofthethresholdcalculation.
InS.37.01allrisksandcontractsforallcompaniesinthegroupshouldbereportedinrelationtothe
counterpartieswhereexposureexceedsthethresholddefined.Thegroupshouldlookatitsoverallexposure
toasinglecounterpartyandreporttheindividualexposuresthatmakeupthatoverallexposurewherethe
thresholdhasbeenexceeded.Ifthevalueofriskconcentrationexceedsthethresholddeterminedbythe
groupsupervisororifaparticulartypeofriskconcentrationhasbeenidentifiedbythegroupsupervisortobe
reportedinanycircumstances,inaccordancewithArticle244(3)oftheSolvencyIIDirective,the
correspondingexposuresshouldbereported.
ThefourthparagraphintheinstructionssetoutinS.37.01,“Theaimistolistthemostimportantexposure
(valueoftheexposure)bycounterpartyandbytypeofexposure…”isnotnecessarilytobeinterpretedas
onlyoneexposure(thelargest)istobereportedforacounterparty/typeofexposurecombination.A
group’sreportingofitsriskconcentrationsshouldbediscussedwiththegroupsupervisor.
AccordingtoArticle376(2)oftheCommissionDelegatedRegulation2015/35,forthepurposesofidentifying
significantriskconcentrations,directandindirectexposuresofundertakingsinthegrouptoallofthe
followingshallbeconsidered:
individualcounterparties;groupsofindividualbutinterconnectedcounterparties,forexampleundertakings
withinthesamecorporategroup;specificgeographicalareasorindustrysectors;naturaldisastersor
catastrophes.
InfactonlytheassetsreferredintheinstructionsofthetemplateS.06.02(templateshouldreflectthelistof
allassetsincludedintheBalance-sheetclassifiableasassetcategories0to9ofAnnexIII–AssetsCategories
ofthisRegulation)shouldbereportedinS.06.02evenifincludedinunitlinkedcontracts.ThereforeEIOPA
doesnotexpectaperfectmatchbetweentheamountreportedinS.02.01asAssetsheldinunitlinkedand
theassetslistedinS.06.02(andinS.08.01ifapplicable)inrelationtothiscontracts.
SeeQ&A169fromfileAnswerstoquestionsonGuidelinesonsubmissionofinformationtoNCAs
(Preparatoryphase)
YourquestionwasclarifiedintheFillingrulespublishedonthe15/7andrelevantpartrepeatedbellow.
Notrequestedornon-applicablefactsforareportshouldnotbereportedatall(ratherthanreportedwith
„0”orasemptystring).
Pleasenotethattheguidelineissayingshouldtoovercomethelimitationinsomesystemsofhavingto
report0oremptystringsfornotrequestedornon-applicablefacts.
Thebelowexamplesareprovidedasaguidetoidentifycaseswherenonapplicablefactsmaybereported:
1)InS.06.02iftheinternalratingisreportedthentheexternalisnotrequestedandshouldnotbereported.
However,itmaybereportedas0fortechnicalreasons.
2)InS.06.02ifthereisnotcustodianthefactshouldnotbereportedbecauseitisnotapplicable.However,it
maybereportedasanemptystringfortechnicalreasons.
3)InS.19.01ifacompanyisauthorizedonlyfor5yearsinalineofbusiness,thepreviousnonapplicable
yearsshouldnotbereported.However,itmaybereportedas0fortechnicalreasons.
IncaseofCIC71forvaluesreferringtothereportingcurrencythevaluationmethodtobeusedshouldbe“1-
quotedmarketpriceinactivemarketsforthesameassets”.Incaseitreferstocurrenciesdifferentfromthe
reportingcurrencythemethodshouldbethesameunlessspecificsituationsapplyinrelationtothe
Itistheresponsibilityoftheundertakingtoassessifthemarket(e.g.amultilateraltradingfacility)wherethe
OTChashightradingvolumesandwherethebid/askspreadsaredisclosedcomplywiththecriteriaforactive
markets,asdefinedininternationalaccountingstandardsadoptedbytheCommissioninaccordancewith
InfactthereisaninconsistencybetweentheInstructionsandthetextoftheITS.Inthiscasetheaimofthe
templatesshouldbeconsidered,togetherwiththeoptionsforeseeninS.01.01.Consideringtheaimofthe
templates:
-S.05.02.isnotduewhenthresholdsforreportingbycountryarenotapplicable.Ifinformationregardingthe
homecountryrepresents90%ormoreofthetotalgrosswrittenpremiums,templatebycountry(S.05.02)is
notdueforreporting.
-S.12.02isdueevenifinformationbycountriesdoesnothavetobereportedindividuallyinadditiontothe
homecountry.PleasenotethatinthiscasethetemplatesrequesttheinformationofthetotalEEAcountries
andtotalnon-EEAcountries.Theexceptioniswheninformationregardingthehomecountryrepresents,for
alllinesofbusiness,is100%ofthesumofthetechnicalprovisionscalculatedasawholeandgrossbest
estimate,thentemplatebycountry(S.12.02)isnotdueforreporting.ThesameappliestoS.17.02.
InthiscaseEIOPAtookdifferentapproachesinprudentialandfinancialstabilityreportingrequirements.
InS.41.01.11wehavestatedthat“pureunitlinkedproductsaretobeexcluded”.Thisstatementshouldonly
beconsideredforthepurposesoffinancialstabilityreporting.
InS.12.01wedoexpecttoseethesurrendervalueoftheunit-linkedproductsreported.Unlessaspecific
surrendervaluehasbeenspecifiedinthecontract,thisshouldbeunderstoodastheunitisedfundvalue,
whereapplicablecorrectedbycommissionsasdefinedcontractuallyincaseofasurrenderoftheproduct.
Thisvalueshouldbereportedinthecolumnsofunitlinkedcontracts,regardlessiftheyarepureunitlinked
orarelinkedtoothercontracts.
Theanswerwillbealsouploadedinourwebsiteaccordingtotheprocedure.
Inthecaseexplainedthepropertyshouldbereportedinasmanylinesasneededtoproperlyidentifythe
correctCICcode.TheIDoftheassetshouldalsobedifferentinthiscasefortechnicalreasons.
Alsointhebalance-sheetthepropertyshouldbeproperlydivided.Infactthepropertyshouldbedividedin
differentfractionsasdifferentmarketvaluesmaybeobservedforrented/nonrentedproperty.Thishowever
dependsonthenationallegislationonthisregard.
Incaseofdoubtpleasecontactyoursupervisoryauthority.
Inourviewifaderivativeistradedatdifferentdatesbutwiththesamecharacteristics,itisthesame
derivativeandhasthesameIDcode.However,ifthematuritydateisnotthesame,asfortheexamplegiven
foroptions,itmeansthatthederivativeshavedifferentexpirydates(andpossiblydifferentstrikeprices)
whichthenmakesthemdifferentderivatives,withdifferentIDcodes.
Theinterpretationiscorrect.Inthecaseswherethecontractsareautomaticallyrenewedthevaliditydate
shouldnotbereported.
Thisspecifictemplate(S.36.03)aimthesupervisionofIGTsthereforetheamounttobereportedshouldbe
theamountrelatedto31.12.20xx(asreflectedinthebalance-sheet)nottherenewedvalueatthe
01.01.20xx+1.
Onvalidations,atthetimeofthepublicationoftheGuidelinesonReportingandDisclosure,EIOPAbelieved
thatvalidationstobecompliedwithwhensubmittinginformationtosupervisorsarecrucialastheyensure
dataquality.Howeveritalsorecognisedthatitiscrucialtodesignandimplementpropervalidationsand
avoidanymistakesinthisareaasthismightendangertheabilityofthesupervisorssystemstoreceivethe
correctinformation.Forthisreasonandalsoreflectinglessonslearnedfrompreviousprocesses,including
thepreparatoryphase,EIOPAhasdecidedtotakeastep-by-stepapproachinimplementingthevalidations.
ThismeansthatthefilepublishedtogetherwiththeFinalReportreflectedonlyasubsetofthevalidations
publiclyconsulted.Theremainingvalidationswillcontinuetoberevisedandwillbeincorporatedinthe
Allinformationreportedshouldrefertotheacceptedreinsurance.Inthecasereferredtheinformation
regardingthenumberofcontractsshouldrelatetothereinsurancecontractsoriginatingthetechnical
provision.Itwouldcorrespondtothenumberofcontractswheretheundertakingactsasreinsurer.
Inthiscase,inparticular,C0100(Productclassification)shouldbefilledinwith“5–Other”andC0140should
befilledinwith“4-Other,anyothercasenotmentionedinoptionsaboveoracombination”.
Thevolatilityadjustmentmaybeappliedtopartofthebusiness.Let’ssaythatgrossBEis100,asyousay
includingVA.However,30correspondstobusinessforwhichVAwasnotappliedand70tobusinesstowhich
VAapplied.
-InR0030,100isreported(grossBE)
-InR0330,70isreported(R0330isindeedapartofR0030)
-InR0340weunderstandthatthedraftingisnotclearandthedifferentdraftingbetweenS.12/S.17raise
doubts.However,weclarifythatinbothS.12andS.17whatshouldbereportedistheamountofTechnical
provisionswithoutvolatilityadjustment”(usingtheexample,30(amounttowhichVAisnotapplicable)+BE
ofcontractsforwhichVAapplied,beforetheapplicationofVA(exampleassumesnoothermeasures)+risk
margin).ThisamountwouldcorrespondtothecalculationsasperformedtoassesstheimpactofLTGA(as
reportedinS.22.01,butbyLoB).
RegardingtheimpactintheriskmarginEIOPAconfirmsthattheriskmarginisnotaffected.See“Guideline2
–Interactionofthelongtermguaranteemeasureswiththeriskmargincalculation”ofGuidelinesonthe
implementationofthelong-termguaranteemeasures.
Inthereportingpackage,bydefaultamountsshouldbereportedwithapositivevalueunlessotherwise
stated.
SeealsoQ&A39fromAnswerstoquestionsontheFinalreportontheITSonthetemplatesforthe
submissionofinformationtothesupervisoryauthorities(CP-14-052).
AsaresultintemplateS.05.01theamountsofpremiums,claimsorexpensesshouldallbereportedas
positivevalues(iftheyareinlinewiththeirnature).Pleasenotethatifunderexceptionalcircumstancesany
itemhasavalue“against”itsnature,e.g.negativepremiums,thentheamountsshouldbereportedwith
negativefigures.
However,thereisanexemptiontothisruleinS.05.01template.Inthistemplatetheitem“Changesinother
technicalprovisions”mayinfacthaveapositiveornegativeeffect.Asa“variation”itisnotpossibletoseta
Inthistemplatethemaximumnumberof5columnsispre-defined.Theinformation,providedbycountry,
shallbecompletedforthefivecountrieswiththebiggestamountofgrosswrittenpremiumsinadditionto
thehomecountryoruntilreaching90%ofthetotalgrosswrittenpremiums.Thismeansthat:
-ifwith3countriesinadditiontothehomecountry90%isalreadycompliedwith,undertakingdon’tneedto
report5countries
Theapproachadoptedistoconsidertheimpactintheliabilitiesnetofreinsurancerecoverables.Regarding
assetssubjecttomortalityrisk,thiscouldbeanystructureproductorcollaterisedsecurityexposedto
mortalityrisk.
TheJointCommitteehasdraftedandsubmittedtotheCOMthedraftITSlayingdownimplementing
technicalstandardswithregardtotheallocationofcredit
assessmentsofexternalcreditassessmentinstitutionstoanobjectivescaleofcreditqualitysteps
(https://eiopa.europa.eu/Publications/Technical%20Standards/JC%202015%20068%20%20Final%20Draft%20ITS%20on%20ECAIs%20mapping%20under%20Solvency%20II.PDF).

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