Commission Delegated Regulation (EU) 2015/35Dangos y teitl llawn

Article 309 U.K. Risk profile

1. The regular supervisory report shall include qualitative and quantitative information regarding the risk profile of the insurance and reinsurance undertaking, in accordance with paragraphs 2 to 9, separately for all of the following categories of risk:

(a) underwriting risk;

(b) market risk;

(c) credit risk;

(d) liquidity risk;

(e) operational risk;

(f) other material risks.

2. The regular supervisory report shall include all of the following information regarding the risk exposure of the insurance or reinsurance undertaking, including the exposure arising from off-balance sheet positions and the transfer of risk to special purpose vehicles:

(a) an overview of any material risk exposures anticipated over the business planning time period given the undertaking's business strategy, and how these risk exposures will be managed;

(b) where the undertaking sells or re-pledges collateral, within the meaning of Article 214 of this Regulation, the amount of that collateral, valued in accordance with Article 75 of Directive 2009/138/EC;

(c) where the undertaking has provided collateral, within the meaning of Article 214, the nature of the collateral, the nature and value of assets provided as collateral and the corresponding actual and contingent liabilities created by that collateral arrangement;

(d) information on the material terms and conditions associated with the collateral arrangement;

(e) a complete list of assets and how those assets have been invested in accordance with the ‘prudent person principle’ set out in Article 132 of Directive 2009/138/EC;

(f) where the undertaking has entered into securities lending or borrowing transactions, repurchase or reverse repurchase agreements as referred to in Article 4(1)(82) of Regulation (EU) No 575/2013, including liquidity swaps, information on their characteristics and volume;

(g) where the undertaking sells variable annuities, information on guarantee riders and hedging of the guarantees.

3. The regular supervisory report shall include information regarding the volume and nature of the loan portfolio of the insurance or reinsurance undertaking.

4. With respect to risk concentration the regular supervisory report shall include information on the material risk concentrations to which the undertaking is exposed to and an overview of any future risk concentrations anticipated over the business planning time period given that undertaking's business strategy, and how these risk concentrations will be managed.

5. The regular supervisory report shall include all the following information regarding the risk-mitigation techniques of the insurance or reinsurance undertaking:

(a) information on the techniques currently used to mitigate risks, and a description of any material risk-mitigation techniques that the undertaking is considering purchasing or entering into over the business planning time period given the undertaking's business strategy, and the rationale for and effect of such risk mitigation techniques;

(b) where the insurance or reinsurance undertaking holds collateral, within the meaning of Article 214 of this Regulation:

(i)

the value of the collateral in accordance with Article 75 of Directive 2009/138/EC;

(ii)

information on the material terms and conditions associated with the collateral arrangement.

6. With respect to the liquidity risk, the regular supervisory report shall include in particular information of the insurance or reinsurance undertaking regarding the expected profit included in future premiums as calculated in accordance with Article 260(2) of this Regulation for each line of business, the result of the qualitative assessment referred to in Article 260(1)(d)(ii) and a description of the methods and main assumptions used to calculate the expected profit included in future premiums;

7. The regular supervisory report shall include all of the following information regarding the risk sensitivity of the insurance or reinsurance undertaking:

(a) a description of the relevant stress tests and scenario analysis referred to in Article 259(3), carried out by the undertaking including their outcome;

(b) a description of the methods used and the main assumptions underlying those stress tests and scenario analysis.

8. The regular supervisory report shall include information regarding quantitative data which is necessary for determining dependencies between the risks covered by the risk modules or sub-modules and of the Basic Solvency Capital Requirement.

9. The regular supervisory report shall include any other material information regarding their risk profile of the insurance or reinsurance undertaking.