02015R2450 — EN — 15.12.2017 — 002.001

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►B COMMISSION IMPLEMENTING REGULATION (EU) 2015/2450 of 2 December 2015 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) (OJ L 347 31.12.2015, p. 1)

Amended by:









▼B

COMMISSION IMPLEMENTING REGULATION (EU) 2015/2450

of 2 December 2015

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)







CHAPTER I

GENERAL PROVISIONS AND SUPERVISORY REPORTING REQUIREMENTS

Article 1

Subject matter

This Regulation lays down implementing technical standards on regular supervisory reporting by establishing the templates for the submission of information to the supervisory authorities referred to in Article 35(1) and (2) of Directive 2009/138/EC for individual insurance and reinsurance undertakings and in Article 244(2) and Article 245(2) of Directive 2009/138/EC for groups.

Article 2

Supervisory reporting formats

Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit the information referred to in this Regulation in the data exchange formats and representations determined by the supervisory authorities or by the group supervisor and in accordance with the following specifications:

(a) data points with the data type ‘monetary’ shall be expressed in units with no decimals with the exception of templates S.06.02, S.08.01, S.08.02 and S.11.01, which shall be expressed in units with two decimals;

(b) data points with the data type ‘percentage’ shall be expressed as per unit with four decimals;

(c) data points with the data type ‘integer’ shall be expressed in units with no decimals.

Article 3

Currency

1. For the purposes of this Regulation ‘reporting currency’, unless otherwise required by the supervisory authority, shall be:

(a) for individual reporting, the currency used for the preparation of the insurance or reinsurance undertaking's financial statements;

(b) for group reporting, the currency used for the preparation of the consolidated financial statements.

2. Data points with the data type ‘monetary’ shall be reported in the reporting currency, which requires the conversion of any other currency into the reporting currency unless otherwise stated in this Regulation.

3. When expressing the value of any asset or liability denominated in a currency other than the reporting currency, the value shall be converted into the reporting currency as if the conversion had taken place at the closing rate on the last day for which the appropriate rate is available in the reporting period to which the asset or liability relates.

4. When expressing the value of any income or expense, the value shall be converted into the reporting currency using such basis of conversion as that used for accounting purposes.

5. The conversion into the reporting currency shall be calculated by applying the exchange rate from the same source as that used for the insurance or reinsurance undertaking's financial statements in the case of individual reporting or for the consolidated financial statements in the case of group reporting, unless otherwise required by the supervisory authority.

Article 4

Re-submission of data

Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall re-submit as soon as practicable the information reported using the templates referred to in this Regulation when the information originally reported has materially changed in relation to the same reporting period after the last submission to the supervisory authorities or to the group supervisor.







CHAPTER II

QUANTITATIVE REPORTING TEMPLATES FOR INDIVIDUAL UNDERTAKINGS

Article 5

Quantitative templates for the opening information for individual undertakings

Insurance and reinsurance undertakings shall submit the information referred to in Article 314(1)(a) and (c) of Commission Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.01.01.03 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;

(b) template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of reporting in general, following the instructions set out in section S.01.02 of Annex II;

(c) template S.01.03.01 of Annex I, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex II;

(d) template S.02.01.02 of Annex I, specifying balance sheet information using the valuation in accordance with Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex II to this Regulation;

(e) template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;

(f) where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;

(g) where the undertaking uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template S.25.02.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex II;

(h) where the undertaking uses a full internal model for the calculation of the Solvency Capital Requirement, template S.25.03.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex II;

(i) where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;

(j) where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.

Article 6

Quarterly quantitative templates for individual undertakings

1. Insurance and reinsurance undertakings shall submit quarterly, unless the scope or frequency of the reporting is limited in accordance with Article 35(6) of Directive 2009/138/EC, the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.01.01.02 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;

(b) template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of reporting in general, following the instructions set out in section S.01.02 of Annex II;

(c) template S.02.01.02 of Annex I, specifying balance sheet information using the valuation in accordance with Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex II to this Regulation;

(d) template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking's financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II to this Regulation;

(e) template S.06.02.01 of Annex I, providing an item–by-item list of assets, following the instructions set out in section S.06.02 of Annex II and using the Complementary Identification Code (‘CIC code’) as set out in Annex V and defined in Annex VI;

(f) where the ratio of collective investments held by the undertaking to total investments is higher than 30 %, template S.06.03.01 of Annex I, providing information on the look-through of all collective investments held by the undertaking, following the instructions set out in section S.06.03 of Annex II;

(g) template S.08.01.01 of Annex I, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex II and using the CIC code as set out in Annex V and defined in Annex VI;

(h) template S.08.02.01 of Annex I, providing an item-by-item list of derivatives closed during the reporting period, following the instructions set out in section S.08.02 of Annex II and using the CIC code as set out in Annex V and defined in Annex VI;

(i) template S.12.01.02 of Annex I, specifying information on the technical provisions relating to life insurance and health insurance pursued on a similar technical basis to that of life insurance (‘health SLT’) for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;

(j) template S.17.01.02 of Annex I, specifying information on non-life technical provisions for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;

(k) template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;

(l) where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;

(m) where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.

2. For the purposes of point (f) of paragraph 1, the ratio of collective investments held by the undertaking to total investments shall be determined by the sum of items C0010/R0180, collective investment undertakings included in item C0010/R0220 and collective investment undertakings included in item C0010/R0090 of template S.02.01.02, divided by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.02.

Article 7

Simplifications allowed on quarterly reporting for individual undertakings

1. With regard to the information referred to in point (c) of Article 6(1), quarterly measurements may rely on estimates and estimation methods to a greater extent than measurements of annual financial data. The measurement procedures for the quarterly reporting shall be designed to ensure that the resulting information is reliable and complies with the standards laid down in Directive 2009/138/EC and that all material information that is relevant for the understanding of the data is reported.

2. When submitting the information referred to in points (i) and (j) of Article 6(1), insurance and reinsurance undertakings may apply simplified methods in the calculation of the technical provisions.

Article 8

Annual quantitative templates for individual undertakings — Basic information and content of submission

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.01.01.01 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;

(b) template S.01.02.01 of Annex I, specifying basic information on the undertaking and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex II;

(c) template S.01.03.01 of Annex I, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex II.

Article 9

Annual quantitative templates for individual undertakings — Balance sheet and other general information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.02.01.01 of Annex I, specifying balance sheet information using the valuation in accordance with Article 75 of Directive 2009/138/EC and the valuation following the undertaking's financial statements, following the instructions set out in section S.02.01 of Annex II to this Regulation;

(b) template S.02.02.01 of Annex I, specifying information on assets and liabilities by currency, following the instructions set out in section S.02.02 of Annex II;

(c) template S.03.01.01 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex II;

(d) template S.03.02.01 of Annex I, providing a list of off-balance sheet unlimited guarantees received, following the instructions set out in section S.03.02 of Annex II;

(e) template S.03.03.01 of Annex I, providing a list of off-balance sheet unlimited guarantees provided, following the instructions set out in section S.03.03 of Annex II;

(f) template S.04.01.01 of Annex I, specifying information on activity by country, including EEA and non-EEA, applying the valuation and recognition principles used in the undertaking's financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.04.01 of Annex II to this Regulation;

(g) template S.04.02.01 of Annex I, specifying information on class 10 in Part A of Annex I of Directive 2009/138/EC, excluding carrier's liability, following the instructions set out in section S.04.02 of Annex II to this Regulation;

(h) template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses applying the valuation and recognition principles used in the undertaking's financial statements for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.05.01 of Annex II to this Regulation;

(i) template S.05.02.01 of Annex I, specifying information on premiums, claims and expenses by country, applying the valuation and recognition principles used in the undertaking's financial statements, following the instructions set out in section S.05.02 of Annex II.

Article 10

Annual quantitative templates for individual undertakings — Investments information

Insurance and reinsurance undertakings shall submit annually, unless exempted under Article 35(7) of Directive 2009/138/EC in relation to a specific template, the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) where the undertaking is exempted from the annual submission of information in templates S.06.02.01 or S.08.01.01 in accordance with Article 35(7) of Directive 2009/138/EC, template S.06.01.01 of Annex I to this Regulation, providing summary information of assets, following the instructions set out in section S.06.01 of Annex II to this Regulation;

(b) where the undertaking is exempted from reporting the template S.06.02.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.06.02.01 of Annex I to this Regulation, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex II to this Regulation and using the CIC code as set out in Annex V and defined in Annex VI to this Regulation;

(c) where the undertaking is exempted from reporting the template S.06.03.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC or has not reported it quarterly because the ratio of collective investments held by the undertaking to total investments, as referred to in Article 6(1)(f) of this Regulation, is not higher than 30 %, template S.06.03.01 of Annex I to this Regulation, providing information on the look-through of all collective investments held by the undertakings, following the instructions set out in section S.06.03 of Annex II to this Regulation;

(d) where the value of structured products, determined as the sum of assets classified in categories 5 and 6, as defined in Annex V, represents more than 5 % of the total investments as reported in items C0010/R0070 and C0010/R0220 of template S.02.01.01, template S.07.01.01 of Annex I, providing an item-by-item list of structured products, following the instructions set out in section S.07.01 of Annex II;

(e) where the undertakings are exempted from reporting the template S.08.01.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.08.01.01 of Annex I to this Regulation, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex II to this Regulation and using the CIC code as set out in Annex V and defined in Annex VI to this Regulation;

(f) where the undertakings are exempted from reporting the template S.08.02.01 in relation to the last quarter in accordance with Article 35(6) of Directive 2009/138/EC, template S.08.02.01 of Annex I to this Regulation, providing an item-by-item list of derivatives closed during the reporting period, following the instructions set out in section S.08.02 of Annex II to this Regulation and using the CIC code as set out in Annex V and defined in Annex VI to this Regulation;

(g) template S.09.01.01 of Annex I, specifying information on income, gains and losses in the reporting period by asset category as defined in Annex IV, following the instructions set out in section S.09.01 of Annex II;

(h) where the value of the underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, represents more than 5 % of the total investments as reported in items C0010/R0070 and C0010/R0220 of template S.02.01.01, template S.10.01.01 of Annex I, providing an item-by-item list of securities lending and repurchase agreements, on and off-balance sheet, following the instructions set out in section S.10.01 of Annex II;

(i) template S.11.01.01 of Annex I, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section S.11.01 of Annex II.

Article 11

Annual quantitative templates for individual undertakings — Technical provisions information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.12.01.01 of Annex I, specifying information on life and health SLT technical provisions by line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;

(b) template S.12.02.01 of Annex I, specifying information on life and health SLT technical provisions by country, following the instructions set out in section S.12.02 of Annex II;

(c) template S.13.01.01 of Annex I, specifying information on the projection of best estimate future cash flows of the life business, following the instructions set out in section S.13.01 of Annex II;

(d) template S.14.01.01 of Annex I, specifying information on life obligations analysis, including life insurance and reinsurance contracts and annuities stemming from non-life contracts, by product and by homogeneous risk group issued by the undertaking, following the instructions set out in section S.14.01 of Annex II;

(e) template S.15.01.01 of Annex I, specifying information on description of the guarantees of variable annuities by product issued by the undertaking under direct insurance business, following the instructions set out in section S.15.01 of Annex II;

(f) template S.15.02.01 of Annex I, specifying information on the hedging of guarantees of variable annuities by product issued by the undertaking under direct insurance business, following the instructions set out in section S.15.02 of Annex II;

(g) template S.16.01.01 of Annex I, specifying information on annuities stemming from non-life insurance obligations issued by the undertaking under direct insurance business originating annuities, regarding all lines of business as defined in Annex I to Delegated Regulation (EU) 2015/35 and additionally by currency, following the instructions set out in section S.16.01 of Annex II to this Regulation; the information by currency shall only be reported where the best estimate for the annuity claims provisions on a discounted basis from one non-life line of business represents more than 3 % of the total best estimate for all annuity claims provisions, with the following split:

(i) amounts for the reporting currency;

(ii) amounts for any currency that represents more than 25 % of the best estimate for the annuity claims provisions on a discounted basis in the original currency from that non-life line of business;

(iii) amounts for any currency that represents less than 25 % of the best estimate for the annuity claims provisions (discounted basis) in the original currency from that non-life line of business but more than 5 % of total best estimate for all annuity claims provisions;

(h) template S.17.01.01 of Annex I, specifying information on non-life technical provisions by lines of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;

(i) template S.17.02.01 of Annex I, specifying information on non-life technical provisions referred to direct insurance business by country, following the instructions set out in section S.17.02 of Annex II;

(j) template S.18.01.01 of Annex I, specifying information on the projection of future cash flows based on best estimate of the non-life business, following the instructions set out in section S.18.01 of Annex II;

(k) template S.19.01.01 of Annex I, specifying information on non-life insurance claims in the format of development triangles, for the total of each non-life line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 and additionally by currency, following the instructions set out in section S.19.01 of Annex II to this Regulation; the information by currency shall only be reported where the total gross best estimate for one non-life line of business represents more than 3 % of the total gross best estimate of the claims provision, with the following split:

(i) amounts for the reporting currency;

(ii) amounts for any currency that represents more than 25 % of the gross best estimate of the claims provisions in the original currency from that non-life line of business;

(iii) amounts for any currency that represents less than 25 % of the gross best estimate of the claims provisions in the original currency from that non-life line of business but more than 5 % of total gross best estimate of the claims provisions in the original currency;

(l) template S.20.01.01 of Annex I, specifying information on the development of the distribution of the claims incurred at the end of the financial year for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.20.01 of Annex II to this Regulation;

(m) template S.21.01.01 of Annex I, specifying information on loss distribution risk profile of non-life business for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.21.01 of Annex II to this Regulation;

(n) template S.21.02.01 of Annex I, specifying information on the non-life underwriting risks, following the instructions set out in section S.21.02 of Annex II;

(o) template S.21.03.01 of Annex I, specifying information on non-life underwriting risks by sum insured by line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions in S.21.03 of Annex II to this Regulation.

Article 12

Annual quantitative templates for individual undertakings — Long-term guarantees information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.22.01.01 of Annex I, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex II;

(b) template S.22.04.01 of Annex I, specifying information on the interest rate transitional measure, following the instructions set out in section S.22.04 of Annex II;

(c) template S.22.05.01 of Annex I, specifying information on the transitional measure on technical provisions, following the instructions set out in section S.22.05 of Annex II;

(d) template S.22.06.01 of Annex I, specifying information on the best estimate subject to volatility adjustment by country and currency, following the instructions set out in section S.22.06 of Annex II.

Article 13

Annual quantitative templates for individual undertakings — Own funds and participations information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.23.01.01 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex II;

(b) template S.23.02.01 of Annex I, providing detailed information on own funds by tiers, following the instructions set out in section S.23.02 of Annex II;

(c) template S.23.03.01 of Annex I, specifying information on annual movements on own funds, following the instructions set out in section S.23.03 of Annex II;

(d) template S.23.04.01 of Annex I, providing a list of items on own funds, following the instructions set out in section S.23.04 of Annex II;

(e) template S.24.01.01 of Annex I, specifying information on participations held by the undertaking and an overview of the calculation for the deduction from own funds related to participations in financial and credit institutions, following the instructions set out in section S.24.01 of Annex II.

Article 14

Annual quantitative templates for individual undertakings — Solvency Capital Requirement information

1. Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;

(b) where the undertaking uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template S.25.02.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex II;

(c) where the undertaking uses a full internal model for the calculation of the Solvency Capital Requirement, template S.25.03.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex II;

(d) template S.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex II;

(e) template S.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex II;

(f) template S.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex II;

(g) template S.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex II;

(h) template S.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex II;

(i) template S.26.06.01 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex II;

(j) template S.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex II;

(k) template S.27.01.01 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex II.

2. In case of existence of ring-fenced funds or matching adjustment portfolios, the templates referred to in points (d) to (k) of paragraph 1 shall not be reported for the entity as a whole.

3. Where a partial internal model is used, the templates referred to in points (d) to (k) of paragraph 1 shall only be reported in relation to the risks covered by the standard formula, unless otherwise decided on the basis of Article 19.

4. Where a full internal model is used, the templates referred to in points (d) to (k) of paragraph 1 shall not be reported.

Article 15

Annual quantitative templates for individual undertakings — Minimum capital requirement information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) where insurance and reinsurance undertakings are engaged in only life or only non-life insurance or reinsurance activity, template S.28.01.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.01 of Annex II;

(b) where insurance undertakings are engaged in both life and non-life insurance activity, template S.28.02.01 of Annex I, specifying the Minimum Capital Requirement, following the instructions set out in section S.28.02 of Annex II.

Article 16

Annual quantitative templates for individual undertakings — Variation analysis information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.29.01.01 of Annex I, specifying information on the variation of the excess of assets over liabilities during the reporting year providing a summary of main sources of this variation, following the instructions set out in section S.29.01 of Annex II;

(b) template S.29.02.01 of Annex I, specifying information on the part of variation of the excess of assets over liabilities during the reporting year explained by investments and financial liabilities, following the instructions set out in section S.29.02 of Annex II;

(c) templates S.29.03.01 and S.29.04.01 of Annex I, specifying information on the part of variation of the excess of assets over liabilities during the reporting year explained by technical provisions, following the instructions set out in section S.29.03 and S.29.04 of Annex II.

Article 17

Annual quantitative templates for individual undertakings — Reinsurance and special purpose vehicles information

Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 using the following templates:

(a) template S.30.01.01 of Annex I, specifying information on facultative covers in the next reporting year covering information on the 10 most important risks in terms of reinsured exposure for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 for which facultative reinsurance is used, following the instructions set out in section S.30.01 of Annex II to this Regulation;

(b) template S.30.02.01 of Annex I, specifying information on shares of reinsurers of facultative covers in the next reporting year covering information on the 10 most important risks in terms of reinsured exposure for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35, following the instructions set out in section S.30.02 of Annex II to this Regulation;

(c) template S.30.03.01 of Annex I, specifying information on the outgoing reinsurance program in the next reporting year covering prospective information on reinsurance treaties the period of validity of which includes or overlaps the next reporting year, following the instructions set out in section S.30.03 of Annex II;

(d) template S.30.04.01 of Annex I, specifying information on the outgoing reinsurance program in the next reporting year covering prospective information on reinsurance treaties the period of validity of which includes or overlaps the next reporting year, following the instructions set out in section S.30.04 of Annex II;

(e) template S.31.01.01 of Annex I, specifying information on the share of reinsurers, following the instructions set out in section S.31.01 of Annex II;

(f) template S.31.02.01 of Annex I, specifying information on special purpose vehicles from the perspective of the insurance or reinsurance undertaking transferring risk to the special purpose vehicles, following the instructions set out in section S.31.02 of Annex II.

Article 18

Annual quantitative templates for individual undertakings — ring-fenced funds, material matching adjustment portfolios and remaining part information

1. Insurance and reinsurance undertakings shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35 in relation to each material ring-fenced fund, each material matching adjustment portfolio and the remaining part, using the following templates:

(a) template SR.01.01.01 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex II;

(b) for each material ring-fenced fund and for the remaining part, template SR.02.01.01 of Annex I, specifying balance sheet information using both the valuation in accordance with Article 75 of Directive 2009/138/EC and the valuation following the undertaking's financial statements, following the instructions set out in section S.02.01 of Annex II to this Regulation;

(c) template SR.12.01.01 of Annex I, specifying information on life and health SLT technical provisions for each line of business as defined in Annex I of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.12.01 of Annex II to this Regulation;

(d) template SR.17.01.01 of Annex I, specifying information on non-life technical provisions for each line of business as defined in Annex I of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.17.01 of Annex II to this Regulation;

(e) template SR.22.02.01 of Annex I, specifying information on the projection of future cash flows for the best estimate calculation by each material matching adjustment portfolio, following the instructions set out in section S.22.02 of Annex II;

(f) template SR.22.03.01 of Annex I, specifying information on the matching adjustment portfolios by each material matching adjustment portfolio, following the instructions set out in section S.22.03 of Annex II;

(g) where the undertaking uses the standard formula for the calculation of the Solvency Capital Requirement, template SR.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex II;

(h) where the undertaking uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template SR.25.02.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex II;

(i) where the undertaking uses a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.03.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex II;

(j) template SR.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex II;

(k) template SR.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex II;

(l) template SR.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex II;

(m) template SR.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex II;

(n) template SR.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex II;

(o) template SR.26.06.01 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex II;

(p) template SR.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex II;

(q) template SR.27.01.01 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex II.

2. Where a partial internal model is used, the templates referred to in points (j) to (q) shall only be reported in relation to the risks covered by the standard formula, unless otherwise decided on the basis of Article 19.

3. Where a full internal model is used, the templates referred to in points (j) to (q) shall not be reported.

Article 19

Annual quantitative templates for individual undertakings — internal model users

Insurance and reinsurance undertakings that calculate the Solvency Capital Requirement using an approved partial or full internal model shall agree with its supervisory authority on the templates to be submitted annually in relation to the information on the Solvency Capital Requirement.

Article 20

Annual quantitative templates for individual undertakings — intra-group-transactions information

Insurance and reinsurance undertakings which are not part of a group referred to in points (a), (b) or (c) of Article 213(2) of Directive 2009/138/EC and the parent undertaking of which is a mixed-activity insurance holding company shall submit annually the information referred to in the second subparagraph of Article 245(2) of that Directive, in conjunction with Article 265 of that Directive, using the following templates:

(a) template S.36.01.01 of Annex I, specifying information on significant intra-group-transactions, involving equity-type transactions, debt and asset transfer, following the instructions set out in section S.36.01 of Annex II;

(b) template S.36.02.01 of Annex I, specifying information on significant intra-group-transactions on derivatives, including the guarantees supporting any derivatives instruments, following the instructions set out in section S.36.02 of Annex II;

(c) template S.36.03.01 of Annex I, specifying information on significant intra-group-transactions on reinsurance, following the instructions set out in section S.36.03 of Annex II;

(d) template S.36.04.01 of Annex I, specifying information on significant intra-group-transactions on internal cost sharing, contingent liabilities other than derivatives and off-balance sheet items and other types of intra-group transactions, following the instructions set out in section S.36.04 of Annex II.

Article 21

Quantitative templates for individual undertakings — intra-group transactions information

Insurance and reinsurance undertakings which are not part of a group referred to in points (a), (b) or (c) of Article 213(2) of Directive 2009/138/EC and the parent undertaking of which is a mixed-activity insurance holding company shall report very significant intra-group transactions referred to in the second subparagraph of Article 245(2) of that Directive, in conjunction with Article 265 of that Directive, and intra-group transactions to be reported in all circumstances referred to in Article 245(3) of that Directive, in conjunction with Article 265 of that Directive, as soon as practicable using the relevant templates among templates S.36.01.01 to S.36.04.01 of Annex I to this Regulation, following the instructions set out in section S.36.01 to S.36.04 of Annex II to this Regulation.







CHAPTER III

QUANTITATIVE REPORTING TEMPLATES FOR GROUPS

Article 22

Quantitative templates for the opening information for groups

1. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit the information referred to in Article 314(1)(a) and (c) of Delegated Regulation (EU) 2015/35, in conjunction with Article 375(1) of that Delegated Regulation, using the following templates:

(a) template S.01.01.06 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;

(b) template S.01.02.04 of Annex I, specifying basic information on the group and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex III;

(c) template S.01.03.04 of Annex I, specifying basic information on the ring-fenced funds and the matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex III;

(d) template S.02.01.02 of Annex I, specifying balance sheet information, following the instructions set out in section S.02.01 of Annex III;

(e) template S.23.01.04 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex III;

(f) where the group uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex III;

(g) where the group uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template S.25.02.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex III;

(h) where the group uses a full internal model for the calculation of the Solvency Capital Requirement, template S.25.03.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex III;

(i) template S.32.01.04 of Annex I, specifying information on the insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.32.01 of Annex III;

(j) template S.33.01.04 of Annex I, specifying information on requirements of insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.33.01 of Annex III;

(k) template S.34.01.04 of Annex I, specifying information on other regulated financial undertakings and other non-regulated financial undertakings including insurance holding companies and mixed financial holding companies, following the instructions set out in section S.34.01 of Annex III.

2. The templates referred to in points (c), (d), (f), (g) and (h) of paragraph 1 shall only be submitted by participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive.

Article 23

Quarterly quantitative templates for groups

1. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit quarterly, unless the scope or the frequency of the reporting is limited in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:

(a) template S.01.01.05 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;

(b) template S.01.02.04 of Annex I, specifying basic information on the group and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex III;

(c) where, for the calculation of group solvency, the group uses method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, template S.02.01.02 of Annex I to this Regulation, specifying balance sheet information using the valuation in accordance with Article 75 of Directive 2009/138/EC, following the instructions set out in section S.02.01 of Annex III to this Regulation;

(d) template S.05.01.02 of Annex I, specifying information on premiums, claims and expenses for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 using the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.01 of Annex III to this Regulation;

(e) template S.06.02.04 of Annex I, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex III and using the CIC code as set out in Annex V and defined in Annex VI;

(f) where the ratio of collective investments held by the group to total investments is higher than 30 %, template S.06.03.04 of Annex I, providing information on the look-through of all collective investments held by the group, following the instructions set out in section S.06.03 of Annex III;

(g) template S.08.01.04 of Annex I, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex III and using the CIC code as set out in Annex V and defined in Annex VI;

(h) template S.08.02.04 of Annex I, providing an item-by-item list of transactions of derivatives during the reporting year, following the instructions set out in section S.08.02 of Annex III and using the CIC code as set out in Annex V and defined in Annex VI;

(i) template S.23.01.04 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex III.

2. For the purposes of point (f) of paragraph 1, where for the calculation of group solvency method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively, the ratio of collective investments held by the group to total investments shall be determined by the sum of items C0010/R0180, collective investment undertakings included in item C0010/R0220 and collective investment undertakings included in item C0010/R0090 of template S.02.01.02, divided by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.02. Where, for the calculation of group solvency, method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC, or method 2 is used exclusively, the ratio shall be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.

Article 24

Simplifications allowed on quarterly reporting for groups

With regard to the information referred to in point (c) of Article 23(1), quarterly measurements may rely on estimates and estimation methods to a greater extent than measurements of annual financial data. The measurement procedures for the quarterly reporting shall be designed to ensure that the resulting information is reliable and complies with the standards laid down in Directive 2009/138/EC and that all material information that is relevant for the understanding of the data is reported.

Article 25

Annual quantitative templates for groups — Basic information and content of submission

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:

(a) template S.01.01.04 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;

(b) template S.01.02.04 of Annex I, specifying basic information on the undertaking and the content of the reporting in general, following the instructions set out in section S.01.02 of Annex III;

(c) where, for the calculation of group solvency, the group uses method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, template S.01.03.04 of Annex I to this Regulation, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section S.01.03 of Annex III to this Regulation.

Article 26

Annual quantitative templates for groups — Balance sheet and other general information

1. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:

(a) template S.02.01.01 of Annex I, specifying balance sheet information using both the valuation in accordance with Article 75 of Directive 2009/138/EC and the valuation following the consolidated financial statements, following the instructions set out in section S.02.01 of Annex III;

(b) template S.02.02.01 of Annex I, specifying information on assets and liabilities by currency, following the instructions set out in section S.02.02 of Annex III;

(c) template S.03.01.04 of Annex I, specifying general information on off-balance sheet items, following the instructions set out in section S.03.01 of Annex III;

(d) template S.03.02.04 of Annex I, providing a list of off-balance sheet unlimited guarantees received, following the instructions set out in section S.03.02 of Annex III;

(e) template S.03.03.04 of Annex I, providing a list of off-balance sheet unlimited guarantees provided, following the instructions set out in section S.03.03 of Annex III;

(f) template S.05.01.01 of Annex I, specifying information on premiums, claims and expenses for each line of business as defined in Annex I to Delegated Regulation (EU) 2015/35 applying the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.01 of Annex III to this Regulation;

(g) template S.05.02.01 of Annex I, specifying information on premiums, claims and expenses by country applying the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section S.05.02 of Annex III.

2. The templates referred to in points (a) and (b) of paragraph 1 shall only be submitted by participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive.

Article 27

Annual quantitative templates for groups — Investments information

1. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall, unless exempted under the third subparagraph of Article 254(2) of Directive 2009/138/EC in relation to a specific template, submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:

(a) where the group is exempted from the annual submission of information in templates S.06.02.04 or S.08.01.04 in accordance with the third subparagraph of Article 254(2) of Directive 2009/138/EC, template S.06.01.01 of Annex I to this Regulation, providing summary information of assets, following the instructions set out in section S.06.01 of Annex III to this Regulation;

(b) where the group is exempted from reporting the template S.06.02.04 in relation to the last quarter in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, template S.06.02.04 of Annex I to this Regulation, providing an item-by-item list of assets, following the instructions set out in section S.06.02 of Annex III to this Regulation;

(c) where the group is exempted from reporting the template S.06.03.04 in relation to the last quarter in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, or has not reported it quarterly because the ratio of collective investment held by the group to total investments, as referred to in Article 23(1)(f) of this Regulation, is not higher than 30 %, template S.06.03.04 of Annex I to this Regulation, providing information on the look-through of all collective investments held by the undertakings, following the instructions set out in section S.06.03 of Annex III to this Regulation;

(d) where the ratio of the value of structured products held by the group to total investments is higher than 5 %, template S.07.01.04 of Annex I, providing an item-by-item list of structured products, following the instructions set out in section S.07.01 of Annex III;

(e) where the group is exempted from reporting the template S.08.01.04 in relation to the last quarter in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, template S.08.01.04 of Annex I to this Regulation, providing an item-by-item list of open positions of derivatives, following the instructions set out in section S.08.01 of Annex III to this Regulation;

(f) where the group is exempted from reporting the template S.08.02.04 in relation to the last quarter in accordance with the second subparagraph of Article 254(2) of Directive 2009/138/EC, template S.08.02.04 of Annex I to this Regulation, providing an item-by-item list of transactions of derivatives, following the instructions set out in section S.08.02 of Annex III to this Regulation;

(g) template S.09.01.04 of Annex I, specifying information on income, gains and losses in the reporting period by asset category as defined in Annex IV, following the instructions set out in section S.09.01 of Annex III;

(h) where the ratio of the value of underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, to the total investments is higher than 5 %, template S.10.01.04 of Annex I, providing an item-by-item list securities lending and repurchase agreements on and off-balance sheet, following the instructions set out in section S.10.01 of Annex III;

(i) template S.11.01.04 of Annex I, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section S.11.01 of Annex III.

2. For the purposes of point (d) of paragraph 1, where for the calculation of group solvency method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively, the ratio of the value of structured products held by the group to total investments shall be determined by the sum of assets classified in categories 5 and 6, as defined in Annex IV to this Regulation, divided by the sum of items C0010/R0070 and C0010/R0020 of template S.02.01.01. Where, for the calculation of group solvency, method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC, or method 2 is used exclusively, the ratio shall be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.

3. For the purposes of point (h) of paragraph 1, where for the calculation of group solvency method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively, the ratio shall be determined by the sum of the underlying securities, on and off balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, divided by the sum of items C0010/R0070 and C0010/R0220 of template S.02.01.01. Where, for the calculation of group solvency, method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC, or method 2 is used exclusively, the ratio shall be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template S.06.02.04.

Article 28

Annual quantitative templates for groups — Variable annuities information

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:

(a) template S.15.01.04 of Annex I, specifying information on the description of the guarantees of variable annuities by product issued under direct business by undertakings in the scope of the group and established outside the EEA, following the instructions set out in section S.15.01 of Annex III;

(b) template S.15.02.04 of Annex I, specifying information on the hedging of guarantees of variable annuities by product issued under direct business by undertakings in the scope of the group and established outside the EEA, following the instructions set out in section S.15.02 of Annex III.

Article 29

Annual quantitative templates for groups — Long term guarantees information

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using template S.22.01.04 of Annex I to this Regulation, specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section S.22.01 of Annex III to this Regulation.

Article 30

Annual quantitative templates for groups — Own funds information

1. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:

(a) template S.23.01.04 of Annex I, specifying information on own funds, following the instructions set out in section S.23.01 of Annex III;

(b) template S.23.02.04 of Annex I, providing detailed information on own funds by tiers, following the instructions set out in section S.23.02 of Annex III;

(c) template S.23.03.04 of Annex I, specifying information on annual movements on own funds, following the instructions set out in section S.23.03 of Annex III;

(d) template S.23.04.04 of Annex I, providing a list of items on own funds, following the instructions set out in section S.23.04 of Annex III.

2. The templates referred to in points (b) and (c) of paragraph 1 shall only be submitted by participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive.

Article 31

Annual quantitative templates for groups — Solvency Capital Requirement information

1. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:

(a) where the group uses the standard formula for the calculation of the Solvency Capital Requirement, template S.25.01.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex III;

(b) where the group uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template S.25.02.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex III;

(c) where the group uses a full internal model for the calculation of the Solvency Capital Requirement, template S.25.03.04 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex III;

(d) template S.26.01.04 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex III;

(e) template S.26.02.04 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex III;

(f) template S.26.03.04 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex III;

(g) template S.26.04.04 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex III;

(h) template S.26.05.04 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex III;

(i) template S.26.06.04 of Annex I, specifying information on operational risk, following the instructions set out in section S.26.06 of Annex III;

(j) template S.26.07.04 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex III;

(k) template S.27.01.04 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex III.

2. In case of existence of ring-fenced funds or matching adjustment portfolios, the templates referred to in points (d) to (k) of paragraph 1 shall not be reported for the group as a whole.

3. Where a partial internal model is used, the templates referred to in points (d) to (k) of paragraph 1 shall only be reported in relation to the risks covered by the standard formula, unless otherwise decided on the basis of Article 35.

4. Where a full internal model is used, the templates referred to in points (d) to (k) of paragraph 1 shall not be reported.

Article 32

Annual quantitative templates for groups — Reinsurers and special purpose vehicles information

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates:

(a) template S.31.01.04 of Annex I, specifying information on share of reinsurers, following the instructions set out in section S.31.01 of Annex III;

(b) template S.31.02.04 of Annex I, specifying information on special purpose vehicles from the perspective of the insurance or reinsurance undertaking transferring risk to the special purpose vehicles, following the instructions set out in section S.31.02 of Annex III.

Article 33

Annual quantitative templates for groups — Group specific information

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation using the following templates:

(a) template S.32.01.04 of Annex I, specifying information on the insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.32.01 of Annex III;

(b) template S.33.01.04 of Annex I, specifying information on requirements of insurance and reinsurance undertakings in the scope of the group, following the instructions set out in section S.33.01 of Annex III;

(c) template S.34.01.04 of Annex I, specifying information on financial undertakings other than insurance and reinsurance undertakings, and on non-regulated undertakings carrying out financial activities as defined in Article 1(52) of Delegated Regulation (EU) 2015/35, following the instructions set out in section S.34.01 of Annex III;

(d) template S.35.01.04 of Annex I, specifying information on technical provisions of undertakings of the group, following the instructions set out in section S.35.01 of Annex III;

(e) template S.36.01.01 of Annex I, specifying information on significant intra-group-transactions involving equity-type transactions, debt and asset transfer, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.01 of Annex III to this Regulation;

(f) template S.36.02.01 of Annex I, specifying information on significant intra-group-transactions on derivatives, including the guarantees supporting any derivatives instruments, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.02 of Annex III to this Regulation;

(g) template S.36.03.01 of Annex I, specifying information on significant intra-group-transactions on reinsurance, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.03 of Annex III to this Regulation;

(h) template S.36.04.01 of Annex I, specifying information on significant intra-group-transactions on internal cost sharing, contingent liabilities (other than derivatives) and off-balance sheet items and other types of intra-group transactions, above the threshold determined by the group supervisor in accordance with Article 245(3) of Directive 2009/138/EC, following the instructions set out in section S.36.04 of Annex III to this Regulation;

(i) template S.37.01.04 of Annex I, specifying information on significant risk concentrations, above the threshold determined by the group supervisor in accordance with Article 244(3) of Directive 2009/138/EC, following the instructions set out in section S.37.01 of Annex III to this Regulation.

Article 34

Annual quantitative templates for groups — ring-fenced funds, material matching adjustment portfolios and remaining part information

1. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, shall submit annually the information referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using the following templates in relation to all material ring-fenced funds and all material matching adjustment portfolios related to the part that is consolidated as referred to in points (a) and (c) of Article 335(1) of Delegated Regulation (EU) 2015/35, as well as in relation to the remaining part:

(a) template SR.01.01.04 of Annex I, specifying the content of the submission, following the instructions set out in section S.01.01 of Annex III;

(b) where the group uses the standard formula for the calculation of the Solvency Capital Requirement, template SR.25.01.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.01 of Annex III;

(c) where the group uses the standard formula and a partial internal model for the calculation of the Solvency Capital Requirement, template SR.25.02.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.02 of Annex III;

(d) where the group uses a full internal model for the calculation of the Solvency Capital Requirement, template SR.25.03.01 of Annex I, specifying the Solvency Capital Requirement, following the instructions set out in section S.25.03 of Annex III;

(e) template SR.26.01.01 of Annex I, specifying information on market risk, following the instructions set out in section S.26.01 of Annex III;

(f) template SR.26.02.01 of Annex I, specifying information on counterparty default risk, following the instructions set out in section S.26.02 of Annex III;

(g) template SR.26.03.01 of Annex I, specifying information on life underwriting risk, following the instructions set out in section S.26.03 of Annex III;

(h) template SR.26.04.01 of Annex I, specifying information on health underwriting risk, following the instructions set out in section S.26.04 of Annex III;

(i) template SR.26.05.01 of Annex I, specifying information on non-life underwriting risk, following the instructions set out in section S.26.05 of Annex III;

(j) template SR.26.06.01 of Annex I, specifying information on operational risk following, the instructions set out in section S.26.06 of Annex III;

(k) template SR.26.07.01 of Annex I, specifying information on the simplifications used in the calculation of the Solvency Capital Requirement, following the instructions set out in section S.26.07 of Annex III;

(l) template SR.27.01.01 of Annex I, specifying information on non-life catastrophe risk, following the instructions set out in section S.27.01 of Annex III.

2. Where a partial internal model is used, the templates referred to in points (e) to (l) of paragraph 1 shall only be reported in relation to the risks covered by the standard formula, unless otherwise decided on the basis of Article 35.

3. Where a full internal model is used, the templates referred to in points (e) to (l) of paragraph 1 shall not be reported.

4. Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies which, for the calculation of group solvency, use method 1 as defined in Article 230 of Directive 2009/138/EC, either exclusively or in combination with method 2 as defined in Article 233 of that Directive, shall, in addition to the information submitted using templates referred to in paragraph 1, annually submit balance sheet information in relation to all material ring-fenced funds related to the part that is consolidated as referred to in points (a) or (c) of Article 335(1) of Delegated Regulation (EU) 2015/35, as well as in relation to the remaining part, as referred to in Article 304(1)(d) of Delegated Regulation (EU) 2015/35, in conjunction with Article 372(1) of that Delegated Regulation, using template SR.02.01.01 of Annex I to this Regulation, following the instructions set out in section S.02.01 of Annex III to this Regulation.

Article 35

Annual quantitative templates for groups — internal model users

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies that calculate the Solvency Capital Requirement using an approved partial or full internal model shall agree with its group supervisor the templates to be submitted annually in relation to the information on the Solvency Capital Requirement.

Article 36

Quantitative templates for groups — intra-group transactions and risk concentrations

Participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies shall report:

(a) significant and very significant intra-group transactions referred to in the first and second subparagraphs of Article 245(2) of Directive 2009/138/EC and intra-group transactions to be reported in all circumstances referred to in Article 245(3) of that Directive using, as appropriate, templates S.36.01.01, S.36.02.01, S.36.03.01 and S.36.04.01 of Annex I to this Regulation, following the instructions set out in section S.36.01 to S.36.04 of Annex III to this Regulation;

(b) significant risk concentrations referred to in Article 244(2) of Directive 2009/138/EC and risk concentrations to be reported in all circumstances referred to in Article 244(3) of that Directive using template S.37.01.04 of Annex I to this Regulation, following the instructions set out in section S.37.01 of Annex III to this Regulation.







CHAPTER IV

FINAL PROVISION

Article 37

Entry into force

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.

This Regulation shall apply from 1 January 2016.

This Regulation shall be binding in its entirety and directly applicable in all Member States.









ANNEX I







S.01.01.01 Content of the submission Template Code Template name C0010 S.01.02.01 Basic Information — General R0010 S.01.03.01 Basic Information — RFF and matching adjustment portfolios R0020 S.02.01.01 Balance sheet R0030 S.02.02.01 Assets and liabilities by currency R0040 S.03.01.01 Off-balance sheet items — general R0060 S.03.02.01 Off-balance sheet items — List of unlimited guarantees received by the undertaking R0070 S.03.03.01 Off-balance sheet items — List of unlimited guarantees provided by the undertaking R0080 S.04.01.01 Activity by country R0090 S.04.02.01 Information on class 10 in Part A of Annex I of Solvency II Directive, excluding carrier's liability R0100 S.05.01.01 Premiums, claims and expenses by line of business R0110 S.05.02.01 Premiums, claims and expenses by country R0120 S.06.01.01 Summary of assets R0130 S.06.02.01 List of assets R0140 S.06.03.01 Collective investment undertakings — look-through approach R0150 S.07.01.01 Structured products R0160 S.08.01.01 Open derivatives R0170 S.08.02.01 Derivatives Transactions R0180 S.09.01.01 Income/gains and losses in the period R0190 S.10.01.01 Securities lending and repos R0200 S.11.01.01 Assets held as collateral R0210 S.12.01.01 Life and Health SLT Technical Provisions R0220 S.12.02.01 Life and Health SLT Technical Provisions — by country R0230 S.13.01.01 Projection of future gross cash flows R0240 S.14.01.01 Life obligations analysis R0250 S.15.01.01 Description of the guarantees of variable annuities R0260 S.15.02.01 Hedging of guarantees of variable annuities R0270 S.16.01.01 Information on annuities stemming from Non-Life Insurance obligations R0280 S.17.01.01 Non-Life Technical Provisions R0290 S.17.02.01 Non-Life Technical Provisions — By country R0300 S.18.01.01 Projection of future cash flows (Best Estimate — Non Life) R0310 S.19.01.01 Non-life insurance claims R0320 S.20.01.01 Development of the distribution of the claims incurred R0330 S.21.01.01 Loss distribution risk profile R0340 S.21.02.01 Underwriting risks non-life R0350 S.21.03.01 Non-life distribution of underwriting risks — by sum insured R0360 S.22.01.01 Impact of long term guarantees measures and transitionals R0370 S.22.04.01 Information on the transitional on interest rates calculation R0380 S.22.05.01 Overall calculation of the transitional on technical provisions R0390 S.22.06.01 Best estimate subject to volatility adjustment by country and currency R0400 S.23.01.01 Own funds R0410 S.23.02.01 Detailed information by tiers on own funds R0420 S.23.03.01 Annual movements on own funds R0430 S.23.04.01 List of items on own funds R0440 S.24.01.01 Participations held R0450 S.25.01.01 Solvency Capital Requirement — for undertakings on Standard Formula R0460 S.25.02.01 Solvency Capital Requirement — for undertakings using the standard formula and partial internal model R0470 S.25.03.01 Solvency Capital Requirement — for undertakings on Full Internal Models R0480 S.26.01.01 Solvency Capital Requirement — Market risk R0500 S.26.02.01 Solvency Capital Requirement — Counterparty default risk R0510 S.26.03.01 Solvency Capital Requirement — Life underwriting risk R0520 S.26.04.01 Solvency Capital Requirement — Health underwriting risk R0530 S.26.05.01 Solvency Capital Requirement — Non-Life underwriting risk R0540 S.26.06.01 Solvency Capital Requirement — Operational risk R0550 S.26.07.01 Solvency Capital Requirement — Simplifications R0560 S.27.01.01 Solvency Capital Requirement — Non-Life and Health catastrophe risk R0570 S.28.01.01 Minimum Capital Requirement — Only life or only non-life insurance or reinsurance activity R0580 S.28.02.01 Minimum Capital Requirement — Both life and non-life insurance activity R0590 S.29.01.01 Excess of Assets over Liabilities R0600 S.29.02.01 Excess of Assets over Liabilities — explained by investments and financial liabilities R0610 S.29.03.01 Excess of Assets over Liabilities — explained by technical provisions R0620 S.29.04.01 Detailed analysis per period — Technical flows versus Technical provisions R0630 S.30.01.01 Facultative covers for non-life and life business basic data R0640 S.30.02.01 Facultative covers for non-life and life business shares data R0650 S.30.03.01 Outgoing Reinsurance Program basic data R0660 S.30.04.01 Outgoing Reinsurance Program shares data R0670 S.31.01.01 Share of reinsurers (including Finite Reinsurance and SPV's) R0680 S.31.02.01 Special Purpose Vehicles R0690 S.36.01.01 IGT — Equity-type transactions, debt and asset transfer R0740 S.36.02.01 IGT — Derivatives R0750 S.36.03.01 IGT — Internal reinsurance R0760 S.36.04.01 IGT — Cost Sharing, contingent liabilities, off BS and other items R0770







S.01.01.02 Content of the submission Template Code Template name C0010 S.01.02.01 Basic Information — General R0010 S.02.01.02 Balance sheet R0030 S.05.01.02 Premiums, claims and expenses by line of business R0110 S.06.02.01 List of assets R0140 S.06.03.01 Collective investment undertakings — look-through approach R0150 S.08.01.01 Open derivatives R0170 S.08.02.01 Derivatives Transactions R0180 S.12.01.02 Life and Health SLT Technical Provisions R0220 S.17.01.02 Non-Life Technical Provisions R0290 S.23.01.01 Own funds R0410 S.28.01.01 Minimum Capital Requirement — Only life or only non-life insurance or reinsurance activity R0580 S.28.02.01 Minimum Capital Requirement — Both life and non-life insurance activity R0590







S.01.01.03 Content of the submission Template Code Template name C0010 S.01.02.01 Basic Information — General R0010 S.01.03.01 Basic Information — RFF and matching adjustment portfolios R0020 S.02.01.02 Balance sheet R0030 S.23.01.01 Own funds R0410 S.25.01.01 Solvency Capital Requirement — for undertakings on Standard Formula R0460 S.25.02.01 Solvency Capital Requirement — for undertakings using the standard formula and partial internal model R0470 S.25.03.01 Solvency Capital Requirement — for undertakings on Full Internal Models R0480 S.28.01.01 Minimum Capital Requirement — Only life or only non-life insurance or reinsurance activity R0580 S.28.02.01 Minimum Capital Requirement — Both life and non-life insurance activity R0590







S.01.01.04 Content of the submission Template Code Template name C0010 S.01.02.04 Basic Information — General R0010 S.01.03.04 Basic Information — RFF and matching adjustment portfolios R0020 S.02.01.01 Balance sheet R0030 S.02.02.01 Assets and liabilities by currency R0040 S.03.01.04 Off-balance sheet items — general R0060 S.03.02.04 Off-balance sheet items — List of unlimited guarantees received by the group R0070 S.03.03.04 Off-balance sheet items — List of unlimited guarantees provided by the group R0080 S.05.01.01 Premiums, claims and expenses by line of business R0110 S.05.02.01 Premiums, claims and expenses by country R0120 S.06.01.01 Summary of assets R0130 S.06.02.04 List of assets R0140 S.06.03.04 Collective investment undertakings — look-through approach R0150 S.07.01.04 Structured products R0160 S.08.01.04 Open derivatives R0170 S.08.02.04 Derivatives Transactions R0180 S.09.01.04 Income/gains and losses in the period R0190 S.10.01.04 Securities lending and repos R0200 S.11.01.04 Assets held as colateral R0210 S.15.01.04 Description of the guarantees of variable annuities R0260 S.15.02.04 Hedging of guarantees of variable annuities R0270 S.22.01.04 Impact of long term guarantees measures and transitionals R0370 S.23.01.04 Own funds R0410 S.23.02.04 Detailed information by tiers on own funds R0420 S.23.03.04 Annual movements on own funds R0430 S.23.04.04 List of items on own funds R0440 S.25.01.04 Solvency Capital Requirement — for groups on Standard Formula R0460 S.25.02.04 Solvency Capital Requirement — for groups using the standard formula and partial internal model R0470 S.25.03.04 Solvency Capital Requirement — for groups on Full Internal Models R0480 S.26.01.04 Solvency Capital Requirement — Market risk R0500 S.26.02.04 Solvency Capital Requirement — Counterparty default risk R0510 S.26.03.04 Solvency Capital Requirement — Life underwriting risk R0520 S.26.04.04 Solvency Capital Requirement — Health underwriting risk R0530 S.26.05.04 Solvency Capital Requirement — Non-Life underwriting risk R0540 S.26.06.04 Solvency Capital Requirement — Operational risk R0550 S.26.07.04 Solvency Capital Requirement — Simplifications R0560 S.27.01.04 Solvency Capital Requirement — Non-Life and Health catastrophe risk R0570 S.31.01.04 Share of reinsurers (including Finite Reinsurance and SPV's) R0680 S.31.02.04 Special Purpose Vehicles R0690 S.32.01.04 Undertakings in the scope of the group R0700 S.33.01.04 Insurance and Reinsurance individual requirements R0710 S.34.01.04 Other regulated and non-regulated financial undertakings including insurance holding companies and mixed financial holding company individual requirements R0720 S.35.01.04 Contribution to group Technical Provisions R0730 S.36.01.01 IGT — Equity-type transactions, debt and asset transfer R0740 S.36.02.01 IGT — Derivatives R0750 S.36.03.01 IGT — Internal reinsurance R0760 S.36.04.01 IGT — Cost Sharing, contingent liabilities, off BS and other items R0770 S.37.01.04 Risk concentration R0780







S.01.01.05 Content of the submission Template Code Template name C0010 S.01.02.04 Basic Information — General R0010 S.02.01.02 Balance sheet R0030 S.05.01.02 Premiums, claims and expenses by line of business R0110 S.06.02.04 List of assets R0140 S.06.03.04 Collective investment undertakings — look-through approach R0150 S.08.01.04 Open derivatives R0170 S.08.02.04 Derivatives Transactions R0180 S.23.01.04 Own funds R0410







S.01.01.06 Content of the submission Template Code Template name C0010 S.01.02.04 Basic Information — General R0010 S.01.03.04 Basic Information — RFF and matching adjustment portfolios R0020 S.02.01.02 Balance sheet R0030 S.23.01.04 Own funds R0410 S.25.01.04 Solvency Capital Requirement — for groups on Standard Formula R0460 S.25.02.04 Solvency Capital Requirement — for groups using the standard formula and partial internal model R0470 S.25.03.04 Solvency Capital Requirement — for groups on Full Internal Models R0480 S.32.01.04 Entities in the scope of the group R0700 S.33.01.04 Insurance and Reinsurance individual requirements R0710 S.34.01.04 Other regulated and non-regulated financial undertakings including insurance holding companies and mixed financial holding company individual requirements R0720

SR.01.01.01

Content of the submission







Ring-fenced fund/matching portfolio/remaining part Z0010 Fund/Portfolio number Z0020







Template Code Template name C0010 SR.02.01.01 Balance sheet R0790 SR.12.01.01 Life and Health SLT Technical Provisions R0800 SR.17.01.01 Non-Life Technical Provisions R0810 SR.22.02.01 Projection of future cash flows (Best Estimate — Matching portfolios) R0820 SR.22.03.01 Information on the matching adjustment calculation R0830 SR.25.01.01 Solvency Capital Requirement — for undertakings on Standard Formula R0840 SR.25.02.01 Solvency Capital Requirement — for undertakings using the standard formula and partial internal model R0850 SR.25.03.01 Solvency Capital Requirement — for undertakings on Full Internal Models R0860 SR.26.01.01 Solvency Capital Requirement — Market risk R0870 SR.26.02.01 Solvency Capital Requirement — Counterparty default risk R0880 SR.26.03.01 Solvency Capital Requirement — Life underwriting risk R0890 SR.26.04.01 Solvency Capital Requirement — Health underwriting risk R0900 SR.26.05.01 Solvency Capital Requirement — Non-Life underwriting risk R0910 SR.26.06.01 Solvency Capital Requirement — Operational risk R0920 SR.26.07.01 Solvency Capital Requirement — Simplifications R0930 SR.27.01.01 Solvency Capital Requirement — Non-Life and Health catastrophe risk R0940

SR.01.01.04

Content of the submission







Ring-fenced fund/matching portfolio/remaining part Z0010 Fund/Portfolio number Z0020







Template Code Template name C0010 SR.02.01.04 Balance sheet R0790 SR.25.01.01 ►M1 Solvency Capital Requirement — for groups on Standard Formula ◄ R0840 SR.25.02.01 ►M1 Solvency Capital Requirement — for groups using the standard formula and partial internal model ◄ R0850 SR.25.03.01 ►M1 Solvency Capital Requirement — for groups on Full Internal Models ◄ R0860 SR.26.01.01 Solvency Capital Requirement — Market risk R0870 SR.26.02.01 Solvency Capital Requirement — Counterparty default risk R0880 SR.26.03.01 Solvency Capital Requirement — Life underwriting risk R0890 SR.26.04.01 Solvency Capital Requirement — Health underwriting risk R0900 SR.26.05.01 Solvency Capital Requirement — Non-Life underwriting risk R0910 SR.26.06.01 Solvency Capital Requirement — Operational risk R0920 SR.26.07.01 Solvency Capital Requirement — Simplifications R0930 SR.27.01.01 Solvency Capital Requirement — Non-Life and Health catastrophe risk R0940







S.01.02.01 Basic Information — General C0010 Undertaking name R0010 Undertaking identification code R0020 Type of code of undertaking R0030 Type of undertaking R0040 Country of authorisation R0050 Language of reporting R0070 Reporting submission date R0080 ▼M2 Financial year end R0081 ▼B Reporting reference date R0090 Regular/Ad-hoc submission R0100 Currency used for reporting R0110 Accounting standards R0120 Method of Calculation of the SCR R0130 Use of undertaking specific parameters R0140 Ring-fenced funds R0150 Matching adjustment R0170 Volatility adjustment R0180 Transitional measure on the risk-free interest rate R0190 Transitional measure on technical provisions R0200 Initial submission or re-submission R0210







S.01.02.04 Basic Information — General C0010 Participating undertaking name R0010 Group identification code R0020 Type of code of group R0030 Country of the group supervisor R0050 Sub-group information R0060 Language of reporting R0070 Reporting submission date R0080 ▼M2 Financial year end R0081 ▼B Reporting reference date R0090 Regular/Ad-hoc submission R0100 Currency used for reporting R0110 Accounting standards R0120 Method of Calculation of the group SCR R0130 Use of group specific parameters R0140 Ring-fenced funds R0150 Method of group solvency calculation R0160 Matching adjustment R0170 Volatility adjustment R0180 Transitional measure on the risk-free interest rate R0190 Transitional measure on technical provisions R0200 Initial submission or re-submission R0210

S.01.03.01

Basic Information — RFF and matching adjustment portfolios







List of all RFF/MAP (overlaps allowed) Fund /Portfolio Number Name of Ring-fenced fund/Matching adjustment portfolio RFF / MAP / Remaining part of a fund RFF / MAP with sub RFF / MAP Material Article 304 C0040 C0050 C0060 C0070 C0080 C0090







List of RFF/MAP with sub RFF/MAP Number of RFF / MAP with sub RFF / MAP Number of sub RFF / MAP Sub RFF / MAP C0100 C0110 C0120

S.01.03.04

Basic Information — RFF and matching adjustment portfolios







List of all RFF/MAP (overlaps allowed) Legal name of the undertaking Identification code of the undertaking Type of code of the ID of the undertaking Fund / Portfolio Number Name of ring-fenced fund / Matching adjustment portfolio RFF / MAP / Remaining part of a fund RFF / MAP with sub RFF / MAP Material Article 304 C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090







List of RFF/MAP with sub RFF/MAP Number of RFF / MAP with sub RFF / MAP Number of sub RFF/MAP Sub RFF / MAP C0100 C0110 C0120







S.02.01.01 Balance sheet Solvency II value Statutory accounts value Assets C0010 C0020 Goodwill R0010 Deferred acquisition costs R0020 Intangible assets R0030 Deferred tax assets R0040 Pension benefit surplus R0050 Property, plant & equipment held for own use R0060 Investments (other than assets held for index-linked and unit-linked contracts) R0070 Property (other than for own use) R0080 Holdings in related undertakings, including participations R0090 Equities R0100 Equities — listed R0110 Equities — unlisted R0120 Bonds R0130 Government Bonds R0140 Corporate Bonds R0150 Structured notes R0160 Collateralised securities R0170 Collective Investments Undertakings R0180 Derivatives R0190 Deposits other than cash equivalents R0200 Other investments R0210 Assets held for index-linked and unit-linked contracts R0220 Loans and mortgages R0230 Loans on policies R0240 Loans and mortgages to individuals R0250 Other loans and mortgages R0260 Reinsurance recoverables from: R0270 Non-life and health similar to non-life R0280 Non-life excluding health R0290 Health similar to non-life R0300 Life and health similar to life, excluding health and index-linked and unit-linked R0310 Health similar to life R0320 Life excluding health and index-linked and unit-linked R0330 Life index-linked and unit-linked R0340 Deposits to cedants R0350 Insurance and intermediaries receivables R0360 Reinsurance receivables R0370 Receivables (trade, not insurance) R0380 Own shares (held directly) R0390 Amounts due in respect of own fund items or initial fund called up but not yet paid in R0400 Cash and cash equivalents R0410 Any other assets, not elsewhere shown R0420 Total assets R0500 Liabilities C0010 C0020 Technical provisions — non-life R0510 Technical provisions — non-life (excluding health) R0520 Technical provisions calculated as a whole R0530 Best Estimate R0540 Risk margin R0550 Technical provisions — health (similar to non-life) R0560 Technical provisions calculated as a whole R0570 Best Estimate R0580 Risk margin R0590 Technical provisions — life (excluding index-linked and unit-linked) R0600 Technical provisions — health (similar to life) R0610 Technical provisions calculated as a whole R0620 Best Estimate R0630 Risk margin R0640 Technical provisions — life (excluding health and index-linked and unit-linked) R0650 Technical provisions calculated as a whole R0660 Best Estimate R0670 Risk margin R0680 Technical provisions — index-linked and unit-linked R0690 Technical provisions calculated as a whole R0700 Best Estimate R0710 Risk margin R0720 Other technical provisions R0730 Contingent liabilities R0740 Provisions other than technical provisions R0750 Pension benefit obligations R0760 Deposits from reinsurers R0770 Deferred tax liabilities R0780 Derivatives R0790 Debts owed to credit institutions R0800 Financial liabilities other than debts owed to credit institutions R0810 Insurance & intermediaries payables R0820 Reinsurance payables R0830 Payables (trade, not insurance) R0840 Subordinated liabilities R0850 Subordinated liabilities not in Basic Own Funds R0860 Subordinated liabilities in Basic Own Funds R0870 Any other liabilities, not elsewhere shown R0880 Total liabilities R0900 Excess of assets over liabilities R1000







S.02.01.02 Balance sheet Solvency II value Assets C0010 Goodwill R0010 Deferred acquisition costs R0020 Intangible assets R0030 Deferred tax assets R0040 Pension benefit surplus R0050 Property, plant & equipment held for own use R0060 Investments (other than assets held for index-linked and unit-linked contracts) R0070 Property (other than for own use) R0080 Holdings in related undertakings, including participations R0090 Equities R0100 Equities — listed R0110 Equities — unlisted R0120 Bonds R0130 Government Bonds R0140 Corporate Bonds R0150 Structured notes R0160 Collateralised securities R0170 Collective Investments Undertakings R0180 Derivatives R0190 Deposits other than cash equivalents R0200 Other investments R0210 Assets held for index-linked and unit-linked contracts R0220 Loans and mortgages R0230 Loans on policies R0240 Loans and mortgages to individuals R0250 Other loans and mortgages R0260 Reinsurance recoverables from: R0270 Non-life and health similar to non-life R0280 Non-life excluding health R0290 Health similar to non-life R0300 Life and health similar to life, excluding health and index-linked and unit-linked R0310 Health similar to life R0320 Life excluding health and index-linked and unit-linked R0330 Life index-linked and unit-linked R0340 Deposits to cedants R0350 Insurance and intermediaries receivables R0360 Reinsurance receivables R0370 Receivables (trade, not insurance) R0380 Own shares (held directly) R0390 Amounts due in respect of own fund items or initial fund called up but not yet paid in R0400 Cash and cash equivalents R0410 Any other assets, not elsewhere shown R0420 Total assets R0500 Liabilities C0010 Technical provisions — non-life R0510 Technical provisions — non-life (excluding health) R0520 Technical provisions calculated as a whole R0530 Best Estimate R0540 Risk margin R0550 Technical provisions — health (similar to non-life) R0560 Technical provisions calculated as a whole R0570 Best Estimate R0580 Risk margin R0590 Technical provisions — life (excluding index-linked and unit-linked) R0600 Technical provisions — health (similar to life) R0610 Technical provisions calculated as a whole R0620 Best Estimate R0630 Risk margin R0640 Technical provisions — life (excluding health and index-linked and unit-linked) R0650 Technical provisions calculated as a whole R0660 Best Estimate R0670 Risk margin R0680 Technical provisions — index-linked and unit-linked R0690 Technical provisions calculated as a whole R0700 Best Estimate R0710 Risk margin R0720 Other technical provisions R0730 Contingent liabilities R0740 Provisions other than technical provisions R0750 Pension benefit obligations R0760 Deposits from reinsurers R0770 Deferred tax liabilities R0780 Derivatives R0790 Debts owed to credit institutions R0800 Financial liabilities other than debts owed to credit institutions R0810 Insurance & intermediaries payables R0820 Reinsurance payables R0830 Payables (trade, not insurance) R0840 Subordinated liabilities R0850 Subordinated liabilities not in Basic Own Funds R0860 Subordinated liabilities in Basic Own Funds R0870 Any other liabilities, not elsewhere shown R0880 Total liabilities R0900 Excess of assets over liabilities R1000

SR.02.01.01

Balance sheet







Ring-fenced fund or remaining part Z0020 Fund number Z0030







Solvency II value Statutory accounts value Assets C0010 C0020 Goodwill R0010 Deferred acquisition costs R0020 Intangible assets R0030 Deferred tax assets R0040 Pension benefit surplus R0050 Property, plant & equipment held for own use R0060 Investments (other than assets held for index-linked and unit-linked contracts) R0070 Property (other than for own use) R0080 Holdings in related undertakings, including participations R0090 Equities R0100 Equities — listed R0110 Equities — unlisted R0120 Bonds R0130 Government Bonds R0140 Corporate Bonds R0150 Structured notes R0160 Collateralised securities R0170 Collective Investments Undertakings R0180 Derivatives R0190 Deposits other than cash equivalents R0200 Other investments R0210 Assets held for index-linked and unit-linked contracts R0220 Loans and mortgages R0230 Loans on policies R0240 Loans and mortgages to individuals R0250 Other loans and mortgages R0260 Reinsurance recoverables from: R0270 Non-life and health similar to non-life R0280 Non-life excluding health R0290 Health similar to non-life R0300 Life and health similar to life, excluding health and index-linked and unit-linked R0310 Health similar to life R0320 Life excluding health and index-linked and unit-linked R0330 Life index-linked and unit-linked R0340 Deposits to cedants R0350 Insurance and intermediaries receivables R0360 Reinsurance receivables R0370 Receivables (trade, not insurance) R0380 Own shares (held directly) R0390 Amounts due in respect of own fund items or initial fund called up but not yet paid in R0400 Cash and cash equivalents R0410 Any other assets, not elsewhere shown R0420 Total assets R0500 Liabilities C0010 C0020 Technical provisions — non-life R0510 Technical provisions — non-life (excluding health) R0520 Technical provisions calculated as a whole R0530 Best Estimate R0540 Risk margin R0550 Technical provisions — health (similar to non-life) R0560 Technical provisions calculated as a whole R0570 Best Estimate R0580 Risk margin R0590 Technical provisions — life (excluding index-linked and unit-linked) R0600 Technical provisions — health (similar to life) R0610 Technical provisions calculated as a whole R0620 Best Estimate R0630 Risk margin R0640 Technical provisions — life (excluding health and index-linked and unit-linked) R0650 Technical provisions calculated as a whole R0660 Best Estimate R0670 Risk margin R0680 Technical provisions — index-linked and unit-linked R0690 Technical provisions calculated as a whole R0700 Best Estimate R0710 Risk margin R0720 Other technical provisions Contingent liabilities R0740 Provisions other than technical provisions R0750 Pension benefit obligations R0760 Deposits from reinsurers R0770 Deferred tax liabilities R0780 Derivatives R0790 Debts owed to credit institutions R0800 Financial liabilities other than debts owed to credit institutions R0810 Insurance & intermediaries payables R0820 Reinsurance payables R0830 Payabl