Question ID: 2476
Regulation Reference: Guidelines on reporting for financial stability purposes
Topic: Financial Stability Reporting
Article: EIOPA-BoS-22-198_Errata_Guidelines_on_FS_Reporting(Templates: S.14.04; S.14.05; S.38.01)
Template: S.14.04
Status: Final
Date of submission: 12 Aug 2022
Question
We would like to ask for clarification regarding the Taxonomy 2.8.0, in particular on the following templates for Quarterly Financial Stability reporting for Groups.
1) S.14.04.11 - Liquidity risk for life business: You specified that S.14.04 is to be reported at Portfolio level considering the Life business as a split between “Unit-linked or index-linked” e “Neither unit-linked nor index-linked” level (C0090) (instead of product level). Therefore how we can populate the column “Line Identification (C0240)” and “Line Identification (C0245)”? In addition, considering the level of complexity due to the required granularity, time constrains of financial stability submission, and based on the best effort principle, we propose to fill the “Identification code and type of code of the undertaking (C0015)” only for Group LEI code without any split by each SOLO legal entities. Finally, how the columns “Fiscal treatment of the products (C0055)” and “Country (C0080)” are to be filled? Could you please provide more details or example on how populate this new QRT?
2) S.14.05.11 - Liquidity risk for non-life business You specified that S.14.05 is to be reported at Portfolio level considering the Non-life business as a whole. Therefore how we can populate the column “Line Identification (C0240)”? In addition, considering the level of complexity due to the required granularity, time constrains of financial stability submission, and based on the best effort principle, we propose to fill the “Identification code and type of code of the undertaking (C0015)” only for Group LEI code without any split by each SOLO legal entities. Could you please provide more details or example on how populate this new QRT?
3) S.38.01.11 - Duration of technical provisions
The instruction says: “The Modified duration table should be completed by all undertakings. The Effective duration table is only to be reported where material optionalities are present in the technical provisions”. The meaning of “material optionalities” is not clear. Could you provide some examples/addition details?
Background of the question
EIOPA-22/160 18 March 2022 "Proposal for amendments to the Solvency II Technical Standards on Reporting and Disclosure - Feedback statement from comments received". par 5.17. Financial stability reporting: EIOPA’s feedback: Considering the comments received EIOPA proposes the following way forward: - Liquidity information (S.14.04/05): reduce the frequency to semi-annual and reduce granularity of the templates in order to alleviate the burden for undertakings. Namely Life information is to be reported only with the split between unit and index linked business and non-linked business (instead of product level) and Non-life information is to be reported for the non-life business as a whole (instead of product category). - Duration information (S.38.01): to require the effective duration only where material optionalities are present in the technical provisions.
EIOPA answer
1) For the S.14.04.11.01 template, data should be provided on portfolio level. Furthermore, the relation between .01 and .02 tables can be described as one-to-many i.e., EIOPA expects multiple portfolio details rows to be provided for single portfolio table. Please find below the considered amendment to S.14.04.11.
Based on former interactions with stakeholders, liquidity is mainly managed at solo level, hence the LEI code of the solo undertakings is requested in this field C0015. The ITS will be amended accordingly specifying that C0015 shall be reported.
The granularity of template S.14.04.11.01 - Liquidity risk for life business should be a combination of the following items:
- Asset held in unit linked and index linked contracts
- Fiscal treatment of the products
- Country
The fiscal treatment of the products (C0055) should be reported as one of the following options from the closed list:
- In case of lapse/surrender there is no tax or subsidy related loss
- In case of lapse/surrender past or future tax benefits or other subsidies are lost;
- Other tax related losses not covered above;
- Not applicable.
The Country (C0080) should be reported as Country ISO 3166–1 alpha–2 code or list of codes according to the following instructions:
- ISO 3166–1 alpha–2 code of the country where the contract was entered into, for countries representing more than 10 % of technical provisions or written premiums for a given product.
- If reinsurance it shall refer to the country of the cedent undertaking.
- For countries representing less than 10 % of Technical Provisions or written premiums for a given product, report a list of ISO 3166–1 alpha–2 Codes of the countries concerned.
2) The relationship between C0240 in the first and second tables can be described as one-to-many, i.e. for a single country reported in S.14.05.11.01 the fillers can provide multiple portfolio detail rows (multiplied by C0015 identifiers). The relation can be traced base
Based on former interactions with stakeholders, liquidity is mainly managed at solo level, hence the LEI code of the solo undertakings is requested in this field C0015. The ITS will be amended accordingly specifying that C0015 shall be reported.
3) The material optionalities shall be reported based on the specificities of the technical provisions and portfolio of the undertaking when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.