Commission Implementing Regulation (EU) 2015/2450Show full title

S.26.05 — Solvency Capital Requirement — Non–Life underwriting risk U.K.

General comments:

This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.

Template SR.26.05.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.

All values shall be reported net of reinsurance and other risk mitigating techniques.

Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.

	ITEM	INSTRUCTIONS
Z0010	Article 112	Identifies whether the reported figures have been requested under Article 112(7), to provide an estimate of the SCR using standard formula. One of the options in the following closed list shall be used: 1 — Article 112(7) reporting 2 — Regular reporting
Z0020	Ring–fenced fund, matching adjustment portfolio or remaining part	Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used: 1 — RFF/MAP 2 — Remaining part
Z0030	Fund/Portfolio number	When item Z0020 = 1, identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. [F1 When item Z0020 = 2, then report ‘0]’
R0010/C0010	Captives simplifications — non life premium and reserve risk	Identify whether a captive undertaking used simplifications for the calculation of non–life premium and reserve risk. One of the options in the following closed list shall be used: 1 — Simplifications used 2 — Simplifications not used If R0010/C0010 = 1, only C0060, C0070 and C0090 shall be filled in for R0100 — R0230.
[F2 R0011/C0010	Simplifications used – non-life lapse risk	Identify whether an undertaking used simplifications for the calculation of non-life underwriting risk. The following options shall be used: 1 – Simplification for the purposes of Article 90a 9 – Simplification not used]
Non–life premium and Reserve Risk
R0100–R0210/C0020	Standard deviation for premium risk — USP Standard Deviation	This is the undertaking specific standard deviation for premium risk for each segment as calculated by the undertaking and approved or prescribed by the supervisory authority. This item is not reported where no undertaking specific parameter is used.
R0100–R0210/C0030	USP Standard Deviation gross/net	Identify if the USP standard Deviation was applied gross or net. One of the options in the following closed list shall be used: 1 — USP gross 2 — USP net
R0100–R0210/C0040	Standard deviation for premium risk — USP — Adjustment factor for non — proportional reinsurance	This is the undertaking specific adjustment factor for non — proportional reinsurance of each segment allows undertakings to take into account the risk — mitigating effect of particular per risk excess of loss reinsurance — as calculated by the undertaking and approved or prescribed by the supervisory authority. This item is not reported where no undertaking specific parameter is used.
R0100–R0210/C0050	Standard deviation for reserve risk — USP	This is the undertaking specific standard deviation for reserve risk each segment as calculated by the undertaking and approved or prescribed by the supervisory authority. This item is not reported where no undertaking specific parameter is used.
R0100–R0210/C0060	Volume measure for premium and reserve risk — volume measure for premium risk: Vprem	The volume measure for premium risk for each line of business, as defined in Annex I to Delegated Regulation (EU) 2015/35.
R0100–R0210/C0070	Volume measure for premium and reserve risk –Volume measure reserve risk: Vres	The volume measure for reserve risk for each segment, equal to the best estimate for the provisions for claims outstanding for the segment, after deduction of the amount recoverable from reinsurance contracts and special purpose vehicles.
R0100–R0210/C0080	Volume measure for premium and reserve risk — Geographical Diversification —	Geographical diversification used for the volume measure for each segment If the factor for geographical diversification is not calculated, then this item is set to the default value of 1.
R0100–R0210/C0090	Volume measure for premium and reserve risk — V	The volume measure for non — life premium and reserve risk for each segment If R0010/C0010 = 1, this item shall represent the capital requirement for non — life premium and reserve risk of particular segment calculated using simplifications
R0220/C0090	Total Volume measure for premium and reserve risk	The total volume measure for premium and reserve risk, equal to the sum of the volume measures for premium and reserve risk for all segments:
R0230/C0020	Combined standard deviation	This is the combined standard deviation for premium and reserve risk for all segments. [F3 If R0010/C0010=1, this item represents total capital charge for non–life premium and reserve risk sub module calculated using simplified calculation.]
R0300/C0100	Total capital requirement for non — life premium and reserve risk	This is the total capital charge for the non–life premium and reserve risk sub module.
Non–life lapse risk
R0400/C0110	Initial absolute values before shock — Assets — Non–life underwriting risk — Lapse risk	This is the absolute value of the assets sensitive to the non–life lapse risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0400/C0120	Initial absolute values before shock — Liabilities — Non–life underwriting risk — Lapse risk	This is the absolute value of liabilities sensitive to the non–life lapse risk, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0400/C0130	Absolute values after shock — Assets — Non–life underwriting risk — Lapse risk	This is the absolute value of the assets sensitive to non–life lapse risk, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0400/C0140	Absolute values after shock — Liabilities — Non–life underwriting risk — Lapse risk	This is the absolute value of the liabilities sensitive to non–life lapse risk, after the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0400/C0150	Solvency capital requirement — Non–life underwriting risk — Lapse risk	This is the capital charge for non–life underwriting lapse risk.
Non–life catastrophe risk
R0500/C0160	Capital requirement for non–life catastrophe risk	This is the total non–life catastrophe risk capital requirement.
Total non–life underwriting risk
R0600/C0160	Diversification within non–life underwriting risk module	This is the diversification effect within the non–life underwriting risk sub–module as a result of the aggregation of the capital requirements premium and reserve risk, catastrophe risk and lapse risk. Diversification shall be reported as a negative value if they reduce the capital requirement.
R0700/C0160	Total capital requirement for non–life underwriting risk	This is the solvency capital requirement for non–life underwriting risk sub module.

Textual Amendments

F1 Deleted by Commission Implementing Regulation (EU) 2017/2189 of 24 November 2017 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F2 Inserted by Commission Implementing Regulation (EU) 2019/2103 of 27 November 2019 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F3 Deleted by Commission Implementing Regulation (EU) 2016/1868 of 20 October 2016 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).