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

S.26.03 — Solvency Capital Requirements — Life underwriting risk U.K.

General comments:

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

Template SR.26.03 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.

Template SR.26.03 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

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.

For group reporting the following specific requirements shall be met:

a)

This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)

When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)

This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

	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 within the scope of group supervision 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	Simplifications used: mortality risk	Identify whether an undertaking within the scope of group supervision used simplifications for a calculation of mortality risk. The following options shall be used: 1 — Simplifications used 2 — Simplifications not used If R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0100.
R0020/C0010	Simplifications used — longevity	Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of longevity risk. The following options shall be used: 1 — Simplifications used 2 — Simplifications not used If R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0200.
R0030/C0010	Simplifications used: disability– morbidity risk —	Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of disability — morbidity risk. The following options shall be used: 1 — Simplifications used 2 — Simplifications not used If R0030/C0010 = 1, only C0060 and C0080 shall be filled in for R0300.
R0040/C0010	Simplifications used: lapse risk	Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of lapse risk. The following options shall be used: 1 — Simplifications used 2 — Simplifications not used If R0040/C0010 = 1, only C0060 and C0080 shall be filled in for R0400 to R0420. R0430 shall be fully completed in any case.
R0050/C0010	Simplifications used: life expense risk —	Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of life expense risk. The following options shall be used: 1 — Simplifications used 2 — Simplifications not used If R0050/C0010 = 1, only C0060 and C0080 shall be filled in for R0500.
R0060/C0010	Simplifications used: life catastrophe risk	Identify whether an undertaking within the scope of group supervision used simplifications for the calculation of life catastrophe risk. The following options shall be used: 1 — Simplifications used 2 — Simplifications not used If R0060/C0010 = 1, only C0060 and C0080 shall be filled in for R0700.
Life underwriting risk
R0100/C0020	Initial absolute values before shock — Assets — Mortality risk	This is the absolute value of the assets sensitive to mortality risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0100/C0030	Initial absolute values before shock — Liabilities — Mortality risk	This is the absolute value of liabilities sensitive to mortality risk, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0100/C0040	Absolute values after shock — Assets — Mortality risk	This is the absolute value of the assets sensitive to mortality risk after the shock (i.e. permanent increase in mortality rates). Recoverables from reinsurance and SPVs shall not be included in this cell.
R0100/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Mortality risk	This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to risk, after the shock (i.e. permanent increase in mortality rates). The amount of TP shall be net of reinsurance and SPV recoverables.
R0100/C0060	Absolute value after shock — Net solvency capital requirement — Mortality risk	This is the net capital charge for mortality risk after the shock (after adjustment for the loss absorbing capacity of technical provisions). If R0010/C0010=1, this item represents net capital charge for mortality risk calculated using simplifications.
R0100/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions) — Mortality risk	This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to mortality risk, after the shock (permanent increase in mortality rates). The amount of TP shall be net of reinsurance and SPV recoverables.
R0100/C0080	Absolute value after shock — Gross solvency capital requirement — Mortality risk	This is the gross capital charge for mortality risk. (before the loss absorbing capacity of technical provisions) If R0010/C0010=1, this item represents gross capital charge for mortality risk calculated using simplifications.
R0200/C0020	Initial absolute values before shock — Assets — Longevity risk	This is the absolute value of the assets sensitive to longevity risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0200/C0030	Initial absolute values before shock — Liabilities — Longevity risk	This is the absolute value of liabilities sensitive to longevity risk charge, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0200/C0040	Absolute values after shock — Assets — Longevity risk	This is the absolute value of the assets sensitive to longevity risk, after the shock (i.e. permanent decrease in mortality rates). Recoverables from reinsurance and SPVs shall not be included in this cell.
R0200/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Longevity risk	This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions sensitive to longevity risk, after the shock (i.e. permanent decrease in mortality rates). The amount of TP shall be net of reinsurance and SPV recoverables.
R0200/C0060	Absolute value after shock — Net solvency capital requirement — Longevity risk	This is the net capital charge for longevity risk after the shock (after adjustment for the loss absorbing capacity of technical provisions). If R0020/C0010=1, this item represents net capital charge for longevity risk calculated using simplifications
R0200/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions) — Longevity risk	This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to longevity risk charge, after the shock (permanent decrease in mortality rates. The amount of TP shall be net of reinsurance and SPV recoverables.
R0200/C0080	Absolute value after shock — Gross solvency capital requirement — Longevity risk	This is the gross capital charge for longevity risk (before the loss absorbing capacity of technical provisions). If R0020/C0010=1, this item represents gross capital charge for longevity risk calculated using simplifications.
R0300/C0020	Initial absolute values before shock — Assets — Disability — morbidity risk	This is the absolute value of the assets sensitive to disability — morbidity risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0300/C0030	Initial absolute values before shock — Liabilities — Disability– morbidity risk	This is the absolute value of liabilities sensitive to disability — morbidity risk, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0300/C0040	Absolute values after shock — Assets — Disability — morbidity risk	This is the absolute value of the assets sensitive to disability — morbidity risk, after the shock (i.e. as prescribed by standard formula: an increase in disability and morbidity rates which are used in calculation of technical provisions to reflect the disability and morbidity experience in the next following 12 months, and for all months after the following 12 months and a decrease in the disability and morbidity rates recovery rates used in the calculation of technical provisions in respect of next 12 months and for all year thereafter. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0300/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Disability — morbidity risk	This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to disability — morbidity risk, after the shock (i.e. as prescribed by standard formula, see description provided in definition to cell R0300/C0040). The amount of TP shall be net of reinsurance and SPV recoverables.
R0300/C0060	Absolute value after shock — Net solvency capital requirement — Disability — morbidity risk	This is the net capital charge for disability — morbidity risk, after adjustment for the loss absorbing capacity of technical provisions. If R0030/C0010=1, this item represents net capital charge for disability and morbidity risk calculated using simplifications.
R0300/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions) — Disability — morbidity risk	This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to disability — morbidity risk, after the shock (i.e. as prescribed by standard formula, see description provided in definition to cell R0300/C0040). The amount of TP shall be net of reinsurance and SPV recoverables.
R0300/C0080	Absolute value after shock — Gross solvency capital requirement — Disability — morbidity risk	This is the gross capital charge for disability — morbidity risk (before the loss absorbing capacity of technical provisions). If R0030/C0010=1, this item represents gross capital charge for disability and morbidity risk calculated using simplifications.
R0400/C0060	Absolute value after shock — Net solvency capital requirement — Lapse risk	This is the overall net capital charge for lapse risk, after adjustment for the loss absorbing capacity of technical provisions. If R0040/C0010=1, this item represents net capital charge for lapse risk calculated using simplifications.
R0400/C0080	Absolute value after shock — Gross solvency capital requirement — Lapse risk	This is the overall gross capital charge (before the loss–absorbing capacity of technical provisions) for lapse risk. If R0040/C0010=1, this item represents gross capital charge for lapse risk calculated using simplifications.
R0410/C0020	Initial absolute values before shock — Assets — Lapse risk– risk of increase in lapse rates	This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0410/C0030	Initial absolute values before shock — Liabilities — Lapse risk — risk of increase in lapse rates	This is the absolute value of liabilities sensitive to the risk of an increase in lapse rates, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0410/C0040	Absolute values after shock — Assets — Lapse risk –risk of increase in lapse rates	This is the absolute value of the assets sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase in the lapse rates). Recoverables from reinsurance and SPVs shall not be included in this cell.
R0410/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Lapse risk — risk of increase in lapse rates	This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of an increase in lapse rates, after the shock (i.e. permanent increase in the lapse rates). The amount of TP shall be net of reinsurance and SPV recoverables.
R0410/C0060	Absolute value after shock — Net solvency capital requirement — Lapse risk — risk of increase in lapse rates	This is the net capital charge for the risk of a permanent increase in lapse rates, after adjustment for the loss absorbing capacity of technical provisions. If R0040/C0010=1, this item represents net capital charge for a permanent increase in lapse rates, calculated using simplified calculation for lapse rate.
R0410/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions — Lapse risk — risk of increase in lapse rates)	This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent increase in lapse rates, after the shock (permanent increase in lapse rates). The amount of TP shall be net of reinsurance and SPV recoverables.
R0410/C0080	Absolute value after shock — Gross solvency capital requirement — Lapse risk — risk of increase lapse rates	This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for the risk of a permanent increase in lapse rates. If R0040/C0010=1, this item represents gross capital charge for a permanent increase in lapse rates, calculated using simplified calculation for lapse rate.
R0420/C0020	Initial absolute values before shock — Assets — Lapse risk — risk of decrease in lapse rates	This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0420/C0030	Initial absolute values before shock — Liabilities — Lapse risk — risk of decrease in lapse rates	This is the absolute value of liabilities sensitive to the risk of a permanent decrease in lapse rates, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0420/C0040	Absolute values after shock — Assets — Lapse risk — risk of decrease in lapse rates	This is the absolute value of the assets sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease in the rates of lapse rates). Recoverables from reinsurance and SPVs shall not be included in this cell.
R0420/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Lapse risk — risk of decrease in lapse rates	This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (i.e. permanent decrease of the rates of lapse rates). The amount of TP shall be net of reinsurance and SPV recoverables.
R0420/C0060	Absolute value after shock — Net solvency capital requirement — Lapse risk — risk of decrease in lapse rates	This is the net capital charge for the risk of a permanent decrease in lapse rates, after adjustment for the loss absorbing capacity of technical provisions. If R0040/C0010=1, this item represents net capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate.
R0420/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions)– Lapse risk — risk of decrease in lapse rates	This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to the risk of a permanent decrease in lapse rates, after the shock (permanent decrease in lapse rates). The amount of TP shall be net of reinsurance and SPV recoverables.
R0420/C0080	Absolute value after shock — Gross solvency capital requirement — Lapse risk — risk of decrease in lapse rates	This is the gross capital charge for the risk of a decrease in lapse rates as used to compute the risk (before the loss absorbing capacity of technical provisions). If R0040/C0010=1, this item represents gross capital charge for a permanent decrease in lapse rates, calculated using simplified calculation for lapse rate
R0430/C0020	Initial absolute values before shock — Assets — Lapse risk– mass lapse risk	This is the absolute value of the assets sensitive to mass lapse risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0430/C0030	Initial absolute values before shock — Liabilities — Lapse risk –mass lapse risk	This is the absolute value of liabilities sensitive to mass lapse risk, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0430/C0040	Absolute values after shock — Assets — Lapse risk — mass lapse risk	This is the absolute value of the assets sensitive to mass lapse risk charge, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0430/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Lapse risk — mass lapse risk	This is the absolute value of the liabilities (after the loss absorbing capacity of technical provisions) sensitive to mass lapse risk charge, after the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0430/C0060	Absolute value after shock — Net solvency capital requirement — Lapse risk — mass lapse risk	This is the net capital charge for mass lapse risk, after adjustment for the loss absorbing capacity of technical provisions.
R0430/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions) — Lapse risk — mass lapse risk	This is the absolute value of the liabilities sensitive to mass lapse risk charge, after the shock (before the loss absorbing capacity of technical provisions). The amount of TP shall be net of reinsurance and SPV recoverables.
R0430/C0080	Absolute value after shock — Gross solvency capital requirement — Lapse risk — mass lapse risk	This is the gross capital charge for mass lapse risk, after the shock (before the loss absorbing capacity of technical provisions).
R0500/C0020	Initial absolute values before shock — Assets — Life — expense risk	This is the absolute value of the assets sensitive to life — expense risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0500/C0030	Initial absolute values before shock — Liabilities — Life — expense risk	This is the absolute value of liabilities sensitive to life –expense risk, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0500/C0040	Absolute values after shock — Assets — Life — expense risk	This is the absolute value of the assets sensitive to life expense risk, after the shock (i.e. shock as prescribed by standard formula: a 10 % increase the amount of expenses taken into account in the calculation of technical provisions and increase in 1 percentage point to the expense inflation rate (expressed as a percentage) used for the calculation of technical provision). Recoverables from reinsurance and SPVs shall not be included in this cell.
R0500/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Life — expense risk	This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. a shock. as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040). The amount of TP shall be net of reinsurance and SPV recoverables.
R0500/C0060	Absolute value after shock — Net solvency capital requirement — Life expense risk	This is the net capital charge for expense risk, including adjustment for the loss absorbing capacity of technical provisions. If R0050=1, this cell represents net capital charge for life expense risk calculated using simplified calculation.
R0500/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions) — Life — expense risk	This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to expense risk, after the shock (i.e. shock as prescribed by standard formula, refer to description provided within definition to cell R0500/C0040). The amount of TP shall be net of reinsurance and SPV recoverables.
R0500/C0080	Absolute value after shock — Gross solvency capital requirement — Life –expense risk	This is the gross capital charge for expense risk (before the loss absorbing capacity of technical provisions). If R0050/C0010=1, this cell represents gross capital charge for life expense risk calculated using simplified calculations.
R0600/C0020	Initial absolute values before shock — Assets — Revision risk	This is the absolute value of the assets sensitive to revision risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0600/C0030	Initial absolute values before shock — Liabilities — Revision risk	This is the absolute value of liabilities sensitive to revision risk, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0600/C0040	Absolute values after shock — Assets — Revision risk	This is the absolute value of the assets sensitive to revision risk, after the shock (i.e. shock as prescribed by standard formula: a % increase in the amount of annuity benefits taken into account in the calculation of technical provisions. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0600/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Revision risk	This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to revision risk charge, after the shock (i.e. as prescribed by standard formula, refer to a definition in item R0600/C0040). The amount of TP shall be net of reinsurance and SPV recoverables.
R0600/C0060	Absolute value after shock — Net solvency capital requirement — Revision risk	This is the net capital charge for revision risk after adjustment for the loss absorbing capacity of technical provisions.
R0600/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions) — Revision risk	This is the absolute value of the liabilities (excluding the loss–absorbing capacity of technical provisions) underlying revision risk charge, after the shock ((i.e. shock as prescribed by standard formula, refer to a definition provided in item R0600/C0040), as used to compute the risk. The amount of TP shall be net of reinsurance and SPV recoverables.
R0600/C0080	Absolute value after shock — Gross solvency capital requirement — Revision risk	This is the gross capital charge (before the loss–absorbing capacity of technical provisions) for revision risk.
R0700/C0020	Initial absolute values before shock — Assets — Life Catastrophe risk	This is the absolute value of the assets sensitive to life catastrophe risk, before the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0700/C0030	Initial absolute values before shock — Liabilities — Life Catastrophe risk	This is the absolute value of liabilities sensitive to life catastrophe risk, before the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0700/C0040	Absolute values after shock — Assets — Life Catastrophe risk	This is the absolute value of the assets sensitive to life catastrophe risk, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell.
R0700/C0050	Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Life catastrophe risk	This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk charge, after the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0700/C0060	Absolute value after shock — Net solvency capital requirement — life catastrophe risk	This is the net capital charge for life catastrophe risk after adjustment for the loss absorbing capacity of technical provisions. If R0060/C0010=1, this item represents net capital charge for life catastrophe risk calculated using simplified calculations.
R0700/C0070	Absolute values after shock — Liabilities (before the loss–absorbing capacity of technical provisions) — life catastrophe risk	This is the absolute value of the liabilities (before the loss absorbing capacity of technical provisions) sensitive to life catastrophe risk, after the shock. The amount of TP shall be net of reinsurance and SPV recoverables.
R0700/C0080	Absolute value after shock — Gross solvency capital requirement — life catastrophe risk	This is the gross capital charge for life catastrophe risk (before the loss absorbing capacity of technical provisions). If R0060/C0010=1, this item represents gross capital charge for life catastrophe risk calculated using simplified calculations.
R0800/C0060	Diversification within life underwriting risk module — Net	This is the diversification effect within the life underwriting risk module as a result of the aggregation of the net capital requirements (after adjustment for the loss absorbing capacity of technical provisions) of the single risk sub–modules. Diversification shall be reported as a negative value if they reduce the capital requirement.
R0800/C0080	Diversification within life underwriting risk module — Gross	This is the diversification effect within the life underwriting risk module as a result of the aggregation of the gross capital requirements (before the loss absorbing capacity of technical provisions) of the single risk sub–modules. Diversification shall be reported as a negative value if they reduce the capital requirement.
R0900/C0060	Total net solvency capital requirement for life underwriting risk	This is the total net capital charge for life underwriting risk, after adjustment for the loss absorbing capacity of technical provisions.
R0900/C0080	Total gross solvency capital requirement for life underwriting risk	This is the total gross capital charge for life underwriting risk, before the loss absorbing capacity of technical provisions.
Further details on revision risk
R1000/C0090	USP — Factors applied for the revision risk shock	Revision shock — group specific parameter (‘USP’) as calculated by the group and approved by the supervisory authority. This item is not reported where no group specific parameter is used.

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).