Hot Topic. Reporting requirements under Solvency II move forward

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1 Reporting requirements under Solvency II move forward FS Regulatory Centre of Excellence 9 vember 2011 Summary Latest proposals from EIOPA provide insurers with a largely stabilised package of quantitative reporting requirements. This should give sufficient certainty for insurers to move their reporting workstreams forward as they prepare for implementation. On 8 vember 2011 EIOPA published its draft proposals on qualitative and quantitative reporting ( the proposals ) under Solvency II. These proposals define the content and format of insurers' Solvency II reporting both on a private basis to their supervisors and for public reporting to all stakeholders. This represents an important milestone in the development of the Solvency II regime. The proposals are open for comment until 20 January 2012 and EIOPA plans to finalise reporting requirements in the summer of Whilst there remain a small number of areas of uncertainty these proposals follow an intensive period of informal consultations where EIOPA gathered stakeholder feedback and revised its proposed requirements. In addition, EIOPA is currently working on additional data requirements for financial stability purposes another consultation is expected from December 2011 on these additional requirements. National supervisors may propose additional reporting requirements to deal with matters specific to their countries. The form and content of narrative reporting will be specified in delegated acts which are not expected to be formally published until the spring of However, EIOPA s consultation does contain a number of proposed guidelines that will underpin those narrative reporting requirements. Development of the proposals EIOPA s predecessor body, CEIOPS, originally consulted on proposals for Solvency II reporting in Consultation Paper 58 (CP 58) published in mid During 2010 and 2011 EIOPA conducted two rounds of informal consultations with a number of key stakeholders and the current proposals constitute the result of almost two years of discussions and consideration of the requirements. As a result EIOPA considers that the proposals currently being consulted on represent a largely stabilized package on topics which have already been consulted on. The clear implication is that EIOPA is not anticipating a need to make any sweeping changes as a result of the current round of consultation. 1

2 Scope and content of the proposals Regular reporting under Solvency II includes both private reporting to supervisors in the form of the Regular Supervisory Report (RSR) and public reporting to all stakeholders in the Solvency and Financial Condition Report (SFCR) Overall, SFCR and RSR combine quantitative and qualitative information about the risk position and related capital adequacy with a description of risk management processes. EIOPA s consultation deals with all aspects of quantitative reporting under Solvency II. However, in respect of qualitative reporting the proposals are largely limited to the provision of guidelines on interpretation of the requirements that will be set out in delegated acts. Quantitative reporting Quantitative reporting takes the form of the Quantitative Reporting Templates (QRTs). The QRTs are a set of 62 forms of which up to 52 will be required to be completed by individual insurers and up to 38 by insurance groups. The QRTs capture information on balance sheet, assets, Solvency Capital Requirement (SCR), Minimum Capital Requirement (MCR), technical provisions, variation analysis and reinsurance. Each form is to be completed as prescribed by EIOPA. To that effect log files with explanation for completion are attached to each form. There have been a number of key policy choices that EIOPA has addressed in bringing forward these proposals and these were set out in the impact assessment that accompanied the proposals. Stakeholders have previously commented on the lack of guidance on how to apply the principle of proportionality and materiality to the completion of the QRTs. EIOPA has sought to address the issue by creating thresholds for detail reporting on certain forms and also by reducing public disclosure requirements on many forms. The table below sets out some of the more significant decisions made by EIOPA in response to stakeholders concerns: Policy area Proposed approach Rationale and comment Detailed list of assets Detailed lists of assets will be required for all insurers on an annual basis. Full quarterly reporting of detailed lists of assets will be required sufficient to ensure coverage of at least: 90% of the total value of investments at European level; and 75% of the total value of investments at a national level. Insurers not required to produce full detailed assets lists on a quarterly basis will instead have to submit a summary. During the pre-consultation it was proposed that larger or more complex insurers would be required to provide detailed listings of assets on a quarterly basis and so EIOPA s proposals represent a development of that theme. EIOPA s view is that the detailed reporting of investments will provide information that is essential for both micro and macro-supervision. EIOPA s intention is that this detailed list will be used to give a full vision of the risks in the investment portfolio, to reduce the need for ad hoc requests to assess specific exposures of certain undertakings, to perform any necessary aggregation and analysis at undertaking level, to enable marketwide analysis. The proposals do not set out specific criteria as to how the individual insurers that will be exempted from full quarterly disclosure will be selected to ensure that the European and national thresholds are met. Underwriting vs. accident year for reporting of claims development EIOPA is not proposing to mandate whether claims development triangles are prepared on an accident year or an underwriting year basis. However, it proposed allowing national supervisors the flexibility to specify the basis of reporting at a national level. EIOPA believes this decision will generally allow insurers to maintain their current approach. Where issues arise due to groups using different bases in different territories it is envisaged that this will be dealt with through the college of supervisors. 2

3 Policy area Proposed approach Rationale and comment Reporting of reported but not settled (RBNS) claims Quarterly balance sheet reporting RBNS claims will be reported both in claims triangles and in a columnar format. Insurers will be required to submit a quarterly balance sheet in cases where the reconciliation reserve cannot be explained sufficiently by the information on assets and liabilities that is reported in other quarterly templates. The approach is consistent with that proposed during pre-consultations. EIOPA believes that both forms of reporting are needed and that the marginal costs of reporting the data in two formats will not be significant. In the most recent pre-consultation this was an open issue and so EIOPA have now clarified their position. The information already available in quarterly templates is expected to explain the largest part of the reconciliation reserve. EIOPA is seeking comments from stakeholders on what quantitative threshold should be applied in determining when a quarterly balance sheet will be required. Scope of public disclosure Ring-fenced funds (RFF) Variation Analysis EIOPA is proposing that the following templates are disclosed annually as part of the SFCR: Balance sheet Premiums, claims & expenses Own funds Solvency capital requirement Minimum capital requirement (solo reporting ) Technical provisions (solo reporting ) Entities in scope of the group (group reporting ) Risk concentration (group ) EIOPA is proposing requiring reporting, at a solo level, for each material ring-fence fund of templates detailing the following: Balance sheet Technical provisions Solvency capital requirement Own funds Variation analysis templates will be privately reported to the supervisor on an annual basis. reporting will be required in the first year following Solvency II implementation. The templates will comprise a summary together with templates dealing movements in own funds arising from: Investments Technical provisions Own debt and other items The templates to be used for annual public disclosure are in some cases the versions used for quarterly reporting to supervisors (which contain less detail that the annual templates) and in some other cases are simplified versions of what will be reported privately to supervisors. EIOPA s proposals represent an extension to what was proposed at pre-consultation when own funds and assets were proposed for reporting at the level of the ring-fenced fund. EIOPA would welcome feedback on these proposals. quantitative guidance is given to assist in determining whether a ring-fenced fund is material. These templates have been extensively modified since the pre-consultation. Therefore EIOPA is particularly interested in stakeholder comments on these templates. 3

4 Policy area Proposed approach Rationale and comment Risk Concentration The QRTs consulted on include a template in respect of risk concentration reporting. However, EIOPA indicates that its initial preference is to require qualitative narrative information (with figures included) for risk concentration in the early years of Solvency II s implementation with a quantitative template being introduced at a later date in light of experience. The quantitative template consulted on is a development of the version contained in the preconsultation. However, it appears EIOPA is not minded to mandate its use, at least in the early years of Solvency II. This is an area in which EIOPA is seeking specific feedback. Appendix 1 to this document contains a full list of QRTs with details on their applicability, frequency and type of disclosure. Qualitative reporting Qualitative reporting takes the form of the narrative included in the SFCR and the RSR. The required form and content for qualitative reporting in the SFCR and RSR will be set out in the Level 2 delegated acts. The latest draft of the delegated acts was submitted by the European Commission to the European Parliament at the end of October However, these remain a private document and it is not expected that they will be formally published until the Spring of EIOPA s consultation set out a number of guidelines surrounding the preparation of the narrative reporting in the RSR and SFCR which are aimed at achieving harmonisation to the extent that further clarification and detail to the delegated acts are necessary, the guidelines do not cover every aspect of narrative reporting. Given that the delegated acts have not been published (and are not expected to be published until after the consultation period closes) it is arguably hard to form a definitive view as to whether EIOPA s guidelines are necessary or sufficient to achieve their stated purpose. The proposals comprise 27 guidelines dealing with narrative reporting in the SFCR including together with a further 16 guidelines specific to the RSR. These are grouped under the standard headings to be used in the RSR and SFCR being: Business & performance Systems of governance Risk profile Valuation for solvency purposes Capital management Other guidelines EIOPA has also proposed guidelines as to what predefined events would trigger a requirement to report to the supervisor outside of the RSR process and what should be include in insurers disclosure policy. Areas of uncertainty Additional reporting requirements EIOPA is currently working on additional reporting requirements under Solvency II over and above the proposals discussed in this paper. EIOPA is expected to consult on these additional requirements from December It is expected that the additional requirements will deal with information needed to analyse the financial stability of the system as a whole. In addition, national supervisors may propose additional reporting requirements to deal with matters specific to their countries. Areas where EIOPA is requesting feedback The current proposals have been subject to extensive discussion and two rounds of private consultations. Although feedback is expected on the whole set of templates there are a few areas where EIOPA particularly expects feedback from stakeholders. Some of those areas include: Variation analysis templates these have been heavily revised since previous private consultation exercises Own Funds Reporting treatment of eligible own funds and treatment of reconciliation reserve Balance sheet reporting thresholds for exempting quarterly reporting of the balance sheet. 4

5 Reporting risk concentration for groups should this be done in narrative reporting instead rather than through a quantitative template? Format of reporting for ring-fenced funds Design of non-life catastrophe risk templates Content of guidelines on narrative reporting Audit requirements? The proposals do not include any mention of a potential assurance requirement over Solvency II reporting. It is understood the European Commission is considering leaving the decision as to whether to impose any audit requirements over Solvency II reporting at the discretion of each Member State. Deadlines for reporting Reporting deadlines for SFCR, RSR and the annexed quantitative reporting templates (annual and quarterly) are to be determined on the Level 2 implementing measures. These measures are still being developed and are expected to be published in draft in the spring of However, our current understanding is that the reporting deadlines are likely to be as follows: Element of reporting Frequency Deadline for reporting periods ending Solo SFCR and either full or summary RSR (including annexed quantitative templates) Single group-wide SFCR (where prepared) SFCR (not incorporating solo SFCRs) and group full or summary RSR (including annexed quantitative templates) On or before 31 December 2014: 20 weeks During 2015: 18 weeks During 2016: 16 weeks After 1 January 2017: 14 weeks On or before 31 December 2014: 26 weeks During 2015: 24 weeks During 2016: 22 weeks After 1 January 2017: 20 weeks Quarterly quantitative reporting templates Quarterly On or before 31 December 2014: 8 weeks During 2015: 7 weeks During 2016: 6 weeks After 1 January 2017: 5 weeks What s next? The current proposals will have to fit in within the wider Solvency II body of legislation which is still being developed. EIOPA is aware that a number of adjustments to the draft delegated acts and implementing measures to Solvency II will have to be considered in the reporting templates. Whilst, overall EIOPA does not believe that any adjustments would be material, it does highlight some areas that might give rise to adjustments to the templates including: Counter- cyclical premium and matching premium; Treatment of Expected Profits Included in Future Premiums (EPIFP); Treatment of participations; Treatment of ring-fenced funds; Treatment of branches of 3 rd country (non-eea) insurers; Changes to certain SCR modules; and Change in financial stability related analysis. EIOPA has moved ahead with publishing these proposals before the adoption of the Omnibus II Directive and the publication of the Level 2 measures in order to provide insurers with some extra certainty as to the reporting requirements under Solvency II. Up until now, many insurers have been waiting for more certainty before fully engaging resources in the reporting element of their Solvency II implementation plans. EIOPA is clear that these current set of proposals should form the basis for that preparation. The proposals are open for comments until 20 January 2012 and it will be the last time insurers will have a 5

6 chance to influence the reporting requirements under Solvency II. It is expected that EIOPA will finalise the requirements in the summer of 2012 and submit the technical standards to the European Commission for endorsement by September Contacts To gain deeper understandings of how the proposals on Solvency II reporting requirements affect your business contact: Name Telephone Jim Bichard Mike Vickery Kareline Daguer What do I need to do? To date, Solvency II reporting has tended to take a back seat to capital evaluation and risk management work streams for many European insurers due to the uncertainty around the requirements. EIOPA's publication removes some of this uncertainty and allows insurers to accelerate their implementation plans. The amount of work required should not be underestimated, as Solvency II reporting will be much more detailed and exhaustive compared to current requirements. Insurers should see this consultation, and the additional clarity it provides, as the much-needed trigger to get their reporting workstreams on track. The biggest challenge for most insurers will be the requirement to report to the regulator on a more frequent basis and in some areas to report information that has not previously been required. Finance functions may need to re-think their target operating model to enable faster reporting and enhanced integration with actuarial, risk and other departments. Insurers might wish to consider responding to these proposals, particularly in the areas highlighted as still under debate or where comments are sought in response to the impact assessment as these are perhaps where the chance to influence the outcome may be greatest. 6

7 Appendix 1: Quantitative reporting templates Template Data covered Solo / Frequency Annual Public BS C1 Balance sheet Provides an overall view of the financial and solvency condition of the insurer under Solvency II valuation rules through an analysis of the balance sheet. In addition, it requires a quantitative reconciliation to the statutory accounts. in aggregate and, on a solo basis, for each material ringfenced fund Quarterly in cases where the reconciliation reserve cannot be explained sufficiently by the information that is reported in other quarterly templates. Yes BS C1B Off-balance sheet items Provides an overall view of the off-balance sheet items that could impact the financial position. BS C1D Assets and liabilities by currency Provides an overview of currency mismatches between assets and liabilities and potential currency risk. Materiality thresholds require that all most important currencies representing up to 90% of both assets & liabilities (in SII value) are reported. Country K1 Activity by country This template aims at describing activity carried out abroad by providing an analysis of activity by country. Solo Materiality thresholds apply to data on non-eea jurisdictions, where reporting is required for jurisdictions where gross written premiums (or claims paid) represent more than 5% or 25 M of written premiums (or claims paid). Cover A1A & A1Q Premiums, claims & expenses annual data / quarterly data These templates give an analysis of written premiums, claims and expenses paid, by line of business and by country of localisation of risk. The annual template requires, in addition, details of premiums earned and a sub-analysis of expenses by type. Annual (A1A) and Quarterly (A1Q) Yes in the form of A1Q Materiality thresholds require data by country to be given the five countries with the largest amount of gross written premiums (or until 90% of written premiums are covered). OF B1A (solo & group) & B1Q (solo & group) Own funds (annual and quarterly template for solo and group entities) This template provides an analysis of the structure of own funds by type of own funds item and by tier. The quarterly template B1Q is a simplified version of the annual template B1A. (B1A) in aggregate and, on a solo basis, for each material ring-fenced fund Quarterly (B1Q) Yes in an slightly extended version of the quarterly template B1Q VA C2A Summary analysis of This template summarises the year-onyear movement in each item of basic own Solo 7

8 changes in BOF funds (BOF) and summarises the sources of those movements (as shown in more detail on C2B, C2C and C2D). VA C2B Analysis of change in BOF due to investments This template analyses the changes in BOF relating to investments, with a breakdown into different sources: The revenues triggered by investments The expenses related to investments The impact on BOF of movements in investment portfolio and in valuation Solo VA C2C Analysis of change in BOF due to technical provisions This template analyses the changes in BOF relating to technical provisions, with a breakdown into different sources: Impact of risks accepted during the period, Impact of risks accepted prior to period (which are then further subanalysed) Impact from changes in risk margin A further sub-analysis is given by line of business (subject to a de minimis threshold of 5% of total technical provisions) of the movement during the period resulting from the best estimate element of technical provisions. Solo VA C2D Analysis of change in BOF due to own debt and other items This template analysing the changes in BOF related to financial liabilities (including subordinated liabilities) and to other changes not explained in templates VA - C2B or VA - C2C. Solo SCR B2A Solvency Capital Requirement for undertakings on Standard Formula or Partial Internal Models This template summaries the output of the solvency capital requirement (SCR) calculation for entities on the standard formula or using a partial internal model. The reporting is required at module level of the standard formula on both a gross and net basis. Solo and group in aggregate and, on a solo basis, for each material ringfenced fund Yes This template will also be required by firms using a full internal model where they are required to provide an estimate of the standard formula SCR. SCR B2B Solvency Capital Requirement for undertakings on Partial Internal Models This template summarises the output of the SCR calculation for entities using partial internal. It covers the risks that are within the scope of the partial internal model. Solo and group in aggregate and, on a solo basis, for each material ringfenced fund Yes SCR B2C Solvency Capital Requirement for firms on Full Internal Models This template provides with an overview of the calculation of SCR using a full internal model. Undertakings should agree with their supervisors the identifiable component categories from their model to Solo and group in aggregate and, on a solo basis, for each material ringfenced fund Yes 8

9 be reported on this template. SCR B3A - B3G Solvency Capital Requirement: - Market risk - Counterparty default risk -Life underwriting risk These templates provide more detailed information on the calculation of the various modules of the standard formula SCR. These templates are not required by firms using a full internal model except where they are also required to provide an estimate of the standard formula SCR. in aggregate and, on a solo basis, for each material ringfenced fund -Health underwriting risk -n-life underwriting risk -n-life catastrophe risk -Operational risk MCR B4A MCR B4B Minimum Capital Requirement (except for composite undertakings) These templates provide an analysis of the Minimum Capital Requirement (MCR) calculation (both inputs and outputs). Solo Quarterly Yes Minimum Capital Requirement - Composite undertakings D1 & D1Q Investments data portfolio list (detailed list of investments) annual Investments data Portfolio list quarterly / quarterly summary Both the annual and the quarterly template provide detailed information on all the individual investments held by the insurer (other than derivatives which are separately reported). However, some undertakings may be exempted from the requirement to produce a full portfolio list quarterly and instead prepared a quarterly summary. The criteria for determining which individual insurers may be exempted from full quarterly reporting are not specified. However, detailed portfolio lists will be required on a quarterly basis to achieve at least 90% coverage (separately for life and non-life business) at a European level and, potentially, at least 75% coverage at a national level. (AS D1) and Quarterly (AS D1Q) D1S Structure products Data Portfolio list This template applies to structured notes and collateralised securities and provides a specific detailed analysis of structured products, taking into account their specific 9

10 characteristics. Materiality thresholds require this template to be completed when structured products exceed 5% of total investments. D20 Derivatives data: open positions This template provides detailed information on all derivatives contracts that existed during the reporting period and were not closed prior to the reporting reference date. group Quarterly with possible exemption by reference to the notional value of derivatives using similar thresholds to those applied to D1Q D2T Derivatives data: historical derivatives trades This template provides detailed information on all derivatives contracts that existed during the reporting period but were closed prior to the reporting reference date. Solo and group Quarterly with possible exemption by reference to the notional value of derivatives using similar thresholds to those applied to D1Q D3 Return on investment assets (by asset category) This template provides information about investment return. The purpose is to assess the investment performance by asset category to monitor profitability under the prudent person principle and the actual cash flows from investments in an ALM perspective. D4 Investment funds (lookthrough approach) This template provides information for each investment fund of the underlying main asset categories, main geographical zones and currency. Quarterly with possible exemption where investment funds are less than 20% of total investments D5 Securities lending and repos This template integrates detailed information regarding exposures to repurchase agreements (repos) and securities lending operations. D6 Assets held as collateral This template integrates detailed information regarding assets held as collateral. TP (L) F1 & F1Q Life and health SLT Technical provisions (Annual & Quarterly) This template provides an analysis of life and health SLT technical provisions by type of contract (e.g. with-profits, linked, other). The information is split between the best estimate and the risk margin (with technical provision calculated as a whole separately reported). Solo (TP(L) F1) in aggregate and for each material ring-fenced fund Quarterly (TP(L) F1Q) Yes in form TP(L) F1Q The annual template contains more detailed sub-analyses of the best estimate including an analysis by country (countries 10

11 contributing no more than 10% to the total may be aggregated). TP (L) F2 Projection of future cash flows (Best Estimate Life) This template aims at giving an overall idea of the duration of liabilities used in the calculation of the best estimate. Solo TP (L) F3 Life obligations analysis This template aims at giving an understanding of life business characteristics at a product level. Solo TP (L) F3A Only for Variable Annuities Description of guarantees by product This template aims at giving an overview of Variable Annuities (VA) on a description of guarantees by product. This template is a supplement for template F3 and is applicable to VA writers. Solo TP (L) F3B Only for Variable Annuities Hedging of guarantees This template aims at giving an overview of hedging techniques used for VA products. This template is a supplement for template F3 and is applicable to VA writers. Solo TP (L) F4 Information on annuities stemming from n-life Insurance obligations. This template provides an overview of non-life annuities stemming from non-life claims at a line of business level. Solo TP (NL) E1 & E1Q n-life Technical Provisions (annual and quarterly) This template provides an analysis of nonlife technical provisions by line of business. The information is split between the best estimate and the risk margin (with technical provisions calculated as a whole separately reported). Solo (TP (NL) E1) Quarterly (TP(NL) - E1Q) Yes - in form TP(NL) E1Q The annual template contains more detailed sub-analyses including an analysis of the best estimate by country (countries contributing no more than 10% to the total may be aggregated). TP (NL) E2 Projection of future cash flows (Best Estimate n-life) This template aims at giving an overview of the future cash flows by year expected to be required to settle the insurance obligations. Solo TP (NL) E3 n-life Insurance Claims information This template provides development triangles for each line of business and material currency for claims paid, the undiscounted best estimate of claims outstanding and claims reported but not settled (RBNS). There is separate reporting of gross amounts and recoverable from reinsurance and (except in respect of the best estimate) recoverable from salvage and subrogation. Solo 11

12 Undertakings are required to report runoff triangles with a default length of 15 years. Where a line of business represents less that 3% of the best estimate it may be reported in aggregate rather than by currency. For other lines of business reporting is required for any currency in respect of which liabilities are either more than 25% of the best estimate liabilities for that line of business or more than 5% of total best estimate liabilities TP (NL) E4 Movement of RBNS claims This template provides for each line of business and material currency, an analysis of the year on year movement in the value and number of RBNS claims. Solo Where a line of business represents less that 3% of the RBNS claims it may be reported in aggregate rather than by currency. For other lines of business reporting is required for any currency in respect of which RBNS claims are either more than 25% of the RBNS claims for that line of business or more than 5% of total RBNS claims. TP (NL) E6 Loss distribution profile non-life This template should be prepared for each line of direct business. It analyses the number and value of claims incurred at the end of the current and previous 14 accident or underwriting years in predefined brackets. Solo TP E7A Underwriting risks (peak risks) This template shows the 20 biggest underwriting risks, based on net retention, across all lines of business together with the two biggest underwriting risks for any lines of business not covered through this methodology. Solo TP E7B Underwriting risks (mass risks) This template shows the underwriting risk profile being the distribution, in (predefined) brackets, of the number of risks, the sum insured and the total annual premium of all the underwriting risks which have been accepted by the undertaking (i.e. mass risks). Solo Reporting is require for the following lines of business: Other motor insurance; Marine, aviation and transport insurance; Fire & other damage; 12

13 Credit & Suretyship insurance In addition, member states may require reporting of the following lines of business: Medical expenses insurance; Income protection insurance; Worker s compensation insurance; Miscellaneous financial loss. Re J1 Facultative covers non-life and life (10 most important risks in terms of reinsured exposure) This template provides details of the insurer s ten biggest facultative non-life and life risks for each line of business. Solo Re J2 Outgoing Reinsurance Program in the next reporting year This template provides detailed information on the insurer s outgoing reinsurance program for the coming year by reinsurer. Solo with quarterly update for new or cancelled treaties and material changes in the reinsurance program, Re J3 Share of reinsurers This template provides detailed information on individual reinsurers, including type, domicile, rating and rating agency, and an analysis of recoveries recognised and guarantees received. SPV Special Purpose Insurance Vehicles This template is for insurers using insurance risk transfer through Special Purpose Vehicles (SPVs). It aims to provide details of the use of SPVs as a risk mitigation technique. G01 Undertakings in the scope of the group This template gathers information on each entity in the group to ascertain the scope of supervision, and the method by which the entity is included in group supervision. Information covers the type of entity, its supervisory authority and ranking by balance sheet turnover, income and performance measures. The influence exercise is reported by various measures including % share capital and voting share. Information is also gathered on whether each entity is included in group and subgroup supervision and the method of used for the group solvency assessment. Yes (simplified version) G03 (Re)insurance solo requirements This template provides an overview of solvency assessment at solo level for insurance entities; for EEA undertakings information gathered covers solo SCR, MCR, own funds, method of SCR calculation (undertaking specific parameters, simplifications, partial internal model), level of model used (group / solo, initial approval date & latest 13

14 major change), solo capital add-ons. For non-eea entities information gathered covers first and final intervention point and eligible own funds. G04 Other regulated entities incl. holding companies This template provides an overview of solvency assessment at solo level for non insurance entities. The template gathers financial information on non insurance entities; for each entity the type of its capital requirement, the first and final intervention point and eligible own funds. G14 Technical Provisions: Contribution to group TP This template provides an overview of the technical provisions across the undertakings within the group split by non life, health (life and non life), life and unit linked. G20 Contribution to SCR with Deduction and Aggregation The template summarises the solo capital requirements for undertakings included in the deduction and aggregation method of group SCR calculation. The value of the six main risk modules (after adjustment for intra group transactions (IGTs)) for each entity together with the total SCR. Also included (from G03) are the solo SCR and MCR for non EEA entities. IGT1 IGT involving equity-type transactions, debt and asset transfer The template reports significant IGT on: equity and other capital items including participations in related entities and transfer shares of related entities of the group; debt including bonds, loans, collateralised debt, and other transactions of similar nature e.g. with periodic pre-determined interest/coupon/premium payments for a pre-determined period of time; other asset transfer such as transfer of properties and transfer of shares of other companies unrelated (i.e. outside) to the group; that might result in capital/cash support within the group and have a material impact on the balance sheets of the entities concerned. Materiality thresholds shall be set by the group supervisor. IGT2 IGT - Derivatives This template reports significant IGT on derivatives which include guarantees that might result in capital/cash support or mitigation of risks within the group and have a material impact on the balance sheets of the entities concerned. Materiality thresholds shall be set by the 14

15 group supervisor. IGT3 IGT Internal reinsurance This template reports significant IGT on internal reinsurance between (re)insurance undertakings of a group. Materiality thresholds shall be set by the group supervisor. IGT4 IGT Internal cost sharing, Other Contingent Liabilities & Off Balance Sheet Items and Other Types of IGT This template reports all other material IGT that are not reported in IGT1 to IGT3, including IGT on internal cost sharing, other contingent liabilities and off balance sheet items. Materiality thresholds shall be set by the group supervisor. RC Risk concentration This template seeks to list the most important exposure by counterparty outside the scope of the group. Details of the counterparty to be provided are its name, country ID code and type, rating and the agency concerned and its sector. Also required are the nature of the exposure, its maturity / validity and quantum (Solvency II value & currency), and the entity subject to the exposure. The maximum exposure and amount to be paid by reinsurer, the ceded technical provisions and impact on assets or liabilities or whether the exposure is off balance sheet must be disclosed. Yes (simplified version) Only the most important exposures should be listed and the thresholds may be set by the group supervisor. This publication has been prepared for general guidance on matters of interest, and does not constitute professional advice. You should not act upon the information contained in this publication without obtaining specific professional advice. representation or warranty (express or implied) is given as to the accuracy or completeness of the information contained in this publication, and, to the extent permitted by law, PricewaterhouseCoopers LLP, its members, employees and agents accept no liability, and disclaim all responsibility, for the consequences of you or anyone else acting, or refraining to act, in reliance on the information contained in this publication or for any decision based on it PricewaterhouseCoopers LLP. All rights reserved. 'PricewaterhouseCoopers' refers to PricewaterhouseCoopers LLP (a limited liability partnership in the United Kingdom) or, as the context requires, other member firms of PricewaterhouseCoopers International Limited, each of which is a separate and independent legal entity. ML RP 15