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Can one take account of the off-setting effect of inflation linked bonds and swaps on the asset side when calculating the SCR for life expense risk?

Topics:
  • Solvency Capital Requirement (SCR)

Should the volatility adjustment to the relevant risk-free interest rate term structure - and by extension, the dynamic volatility adjustment in internal models - be used exclusively for liability discounting, or also for projecting asset returns in the context of future simulated reinvestments?

Topics:
  • Technical Provisions (TPs)
  • Risk Free Rate (RFR)
  • Internal Models (IMs)

We have a question regarding the discounting of assets and liabilities when calculating the Solvency Capital Requirement for a non-life undertaking using an internal model with uncentred risk measure and short average asset and liability durations (significantly under 5 years). In our opinion, end-period own funds (t=1) should be discounted to the period start (t=0) when comparing them with initial own funds, or alternatively, initial own funds should be inflated to period end with a corresponding factor.

Topics:
  • Own Funds (OF)
  • Solvency Capital Requirement (SCR)
  • Internal Models (IMs)

Because Article 36 explicitly says that it concerns Annual submission of IGT and RC, my assumption would be that Article 38 concerns Ad-hoc submissions of the same (this could be written out explicitly to clear any doubts). In this article, you explicitly list all 5 of the new S.36 IGT QRTs: '... using, as appropriate, ...'. This would indicate that S.36.05 should be included in an Ad-hoc reporting.

Topics:
  • Reporting Templates
  • Intra-group transaction

A new NACE classification (2.1) has been officially published in February 2023. For statistical purposes it will come into effect as per Jan 1st, 2025. Will it also be mandatory to use this revised classification scheme as per that date for regulatory reporting purposes, like the Solvency II QRTs?

Topics:
  • Reporting (Art. 40 PEPP)
  • Reporting by IORPs
  • Reporting templates on risk concentrations and intra-group transactions for conglomerates (FICOD)
  • Reporting Templates

Does the description of column "Net Receivables"(C0160) in ITS (EU) 2023/894 exclusively describe transactions in the following two situations? - between two insurance undertakings where one undertaking cedes insurance risk to another in the form of reinsurance - between two insurance undertakings in coinsurance arrangement.

Topics:
  • Reporting Templates
  • Intra-group transaction

QRTs S.37.02 and S.37.03 require reporting the respective amounts 'after insurance risk mitigation techniques (net amount)'

Topics:
  • Reporting Templates

Is the column C0120 (Amount of Claims Paid) on "Year to Date" basis?

Topics:
  • Reporting Templates

The IGT QRTs S.36.XX require to submit intragroup transactions (above threshold) for SII regulated entities within the group. One regulated entity left the group completely, as sold externally, in the first half of the year. Do we need to include this sold entity, for which we do not have control any longer, in our reporting as of 31.12.?

Topics:
  • Reporting Templates

In Directive (EU) 2025/2 of the European Parliament and of the Council of 27 November 2024 amending Directive 2009/138/EC as regards proportionality, quality of supervision, reporting, long-term guarantee measures, macro-prudential tools, sustainability risks and group and cross-border supervision, and amending Directives 2002/87/EC and 2013/34/EU (Text with EEA relevance)", a new methodology to compute the volatility adjustment is presented. In it, a parameter called CSSR is introduced, which is defined as the credit spread sensitivity ratio, and taking values between 0, and 1.