Question ID: 2674
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Article: Template S.26.13
Status: Rejected
Date of submission: 07 Jun 2023
Question
Template code: S.26.13 Template title: Internal model - Non-life & Health NSLT Underwriting risk
In our model architecture, we model Premium risk and CAT risk separately, so the distributions are available for each risk. However, the Premium from CAT risks is not separated from no-CAT risks. Therefore Premium risk contains CAT Premium component and consequently CAT risk posses CAT Premium component (CAT risk contains only CAT losses). For the purpose of combined assessment we have available Premium & CAT risk distribution.
We see 2 options to proceed:
Option 1: We report under Premium risk the distribution containing Premium & CAT risk components and leave respective parts dedicated to “Distribution of losses from cathastrophe perils” empty
Option 2: We report under Premium risk, the Premium risk, which is containing Premium from no-CAT and CAT risks and followingly under “Distribution of losses from cathastrophe perils”, the losses steming from our CAT risk
Background of the question
In the document: 2450_ITS_reporting_consolidated_AnnexII_solo instructions_S.26.02_to_S.36.05.docx, page 83, is stated: “Because there are different ways of modelling these risks, undertakings are not requested to change their internal model to be able to follow the structure of the codes. So, if undertakings model the catastrophe risk together with the risk of premiums and/or reserves, then they should not fill in section “Distribution of losses from catastrophe perils”.
EIOPA answer
We understand from your question that you can separate CAT claims but not CAT premiums. If only this is the case, please report the necessary premium under premium risk and use the respective premiums for the calculation of the P&L distributions. Furthermore provide all necessary information for the CAT Risk. Please use option 2.