Settings
Getting started
Click “Start”: the application gives you a session token. Its role, the sessions of a same token (scenarios), saving, resuming and recalculation are explained on the Sessions and token page.
The “Settings” block of the work page first asks for the valuation date and the type of undertaking, then the options of the standard calculation. A question that depends on an answer appears only when it applies. The valuation date selects the formulas and parameter tables in force: each one carries its start and end dates.
Questions of the standard calculation
| Question | Allowed values | Default | Asked if |
|---|---|---|---|
| Valuation date | date | today's date | always |
| Type of undertaking | non-life ; life ; life and non-life ; reinsurance ; captive reinsurance | to be chosen | always |
| Captive insurance undertaking | yes ; no | no | type of undertaking = "non-life" or type of undertaking = "life" or type of undertaking = "life and non-life" |
| Conditions for captive undertakings demonstrated (Article 89) | yes ; no | no | captive = "yes" or type of undertaking = "captive reinsurance" |
| Proportionality demonstrated (Article 88) | yes ; no | no | always |
| Simplified calculations used | Article 89a ; Article 90 ; Article 90c ; Article 91 ; Article 92 ; Article 93 ; Article 94 ; Article 95 ; Article 96 ; Article 97 ; Article 98 ; Article 99 ; Article 100 ; Article 101 ; Article 102 ; Article 103 ; Article 104 ; Article 105 ; Article 105a ; Article 106 ; Article 107 ; Article 107a ; Article 108 ; Article 109 ; Article 110 ; Article 111a ; Article 112 ; Article 112a ; Article 112b (multiple choice) | to be chosen | Art. 88 = "yes" |
| Volatility adjustment applied | yes ; no | no | always |
| Undertaking-specific adjustment to the risk-corrected spread (Directive, Article 77d(1c)) | yes ; no | no | VA = "yes" |
| Matching adjustment applied (approved portfolios) | yes ; no | no | type of undertaking = "life" or type of undertaking = "life and non-life" or type of undertaking = "reinsurance" |
| Risk margin | Article 37 ; simplification 58(a) ; simplification 58(b) ; previous calculation carried forward (59) | Article 37 | always |
| Quarterly calculation | yes ; no | no | always |
| Volume measure for premium according to Article 116(4) (non-life) and Article 147(4) (NSLT health) | yes ; no | no | type of undertaking ≠ "life" |
| Duration-based equity risk sub-module | yes ; no | no | type of undertaking = "life" or type of undertaking = "life and non-life" |
| Lower amount of potential natural catastrophe losses | yes ; no | no | type of undertaking ≠ "life" |
| Local currency (currency used for the preparation of the financial statements) | EUR ; BGN ; CZK ; DKK ; HUF ; PLN ; RON ; SEK ; ISK ; NOK ; CHF | EUR | always |
| Regions of Annex XIII where the undertaking insures property (natural catastrophe) | Natural catastrophe — regions of Annex XIII (multiple choice) | to be chosen | type of undertaking ≠ "life" |
| Health obligations (lines of business 1 to 3, 13 to 15, 25, 29, 33 and 35) | yes ; no | no | always |
| Risks in non-life classes 10 to 15 covered (liability, credit, suretyship) — absolute floor of the MCR | yes ; no | no | type of undertaking ≠ "life" |
| Securitisation positions held (spread risk, Article 178) | yes ; no | no | always |
| Credit derivatives which are not part of the risk-mitigation policy (Article 179(3)) | yes ; no | no | always |
| Geographical diversification factor calculated according to Annex III (otherwise equal to 1) | yes ; no | no | type of undertaking ≠ "life" |
| NSLT health business subject to the health risk equalisation system of the Netherlands (Zorgverzekeringswet, Article 149) | yes ; no | no | health = "yes" |
| Exposures to the members of a co-reinsurance arrangement (pool) treated as single name exposures (Article 190(2)) | yes ; no | no | always |
Variants
At the bottom of the settings, tick the measures approved by the supervisory authority. They stack in the order of the table; a variant closed at the valuation date, or incompatible with another one ticked, is greyed out. Each ticked variant adds its inputs to the “Data” block and a column of results next to the standard calculation.
- V1: by segment, the parameter replaced and the method, then the histories row by row; s2calc applies the standardised methods of Annex XVII and the credibility factor; a history that is too short keeps the standard parameter.
- V2 and V4: the own funds recalculated with the measure (required) and, where needed, the other amounts affected by the term structure of interest rates; left empty, they take the value of the standard calculation.
- V3: the technical provisions by risk group, the risk margin and the deferred taxes under the previous and the current regime.
| Code | Measure | Open if | Incompatible with | Text |
|---|---|---|---|---|
| V1 | Undertaking-specific parameters (approved by the supervisory authority) | always | — | Directive Art. 104(7), Art. 218 to 220, Annex XVII |
| V2 | Transitional measure on the risk-free interest rates (approved by the supervisory authority) | valuation date < "2032-01-01" | V3 | Directive Art. 308c |
| V4 | Phasing-in of the extrapolation (approved by the supervisory authority) | valuation date ≥ "2027-01-30" | — | Art. 46a, Directive Art. 77a(2) |
| V3 | Transitional measure on technical provisions (approved by the supervisory authority) | valuation date < "2032-01-01" | V2 | Directive Art. 308d |
Interpretation parameters
When the text does not settle a reading, s2calc does not choose it silently: the reading becomes a parameter that the undertaking adjusts, folded at the bottom of the settings.
Each parameter has a reasonable default: the prudent reading (highest requirement, lowest ratio) when the direction of the difference is known; otherwise the literal reading, corrected when it contradicts the purpose of the calculation or cannot be calculated. A numerical parameter is entered within its plausible range, noted [a ; b], and is brought back into it. The reading used is recalled in the results; it remains specific to your calculation and does not change the parameter table of the text.
Likewise, a cell that a parameter table of the text leaves empty is asked for when the calculation reads it, with its allowed values and a reasonable default.
| Code | Reading to be settled | Allowed values | Default | Why this default | Text |
|---|---|---|---|---|---|
| PI1 | Scenario used when two scenarios give the same requirement (increase or decrease in interest rates) | highest requirement ; lowest requirement | highest requirement | The text does not say which scenario to use in case of a tie. Using the highest requirement cannot understate the SCR: prudent reading. | DR |
| PI2 | Floor of the downward interest rate shock applied even if it raises the rate above the unshocked rate (literal reading); otherwise the reduced rate does not exceed the current rate | yes ; no | yes | Literal reading of the article. Depending on the balance sheet, the floor may raise or lower the requirement: no reading is prudent a priori. | 167(1) |
| PI3 | Tier 2 and Tier 3 eligible amounts limited to the Tier 1 amount when Tier 1 is less than 50 % of the SCR | yes ; no | yes | Limiting Tiers 2 and 3 to the Tier 1 amount reduces eligible own funds, and so the ratio: prudent reading. | DR |
| PI5 | Absolute floor of a life and non-life undertaking whose life premiums do not exceed 10 %: amount (d)(ii) (life), as printed, or amount (d)(i) (non-life) | amount (d)(ii) ; amount (d)(i) | amount (d)(ii) | Literal reading: the text prints amount (d)(ii). | 253(3) |
| PI6 | Standard parameter replaced by method 1 for reserve risk | σ(res,s) ; σ(prem,s), as printed | σ(res,s) | A reserve risk method replaces the reserve standard deviation; the premium σ printed at that place is read as a misprint. | Annex XVII C(4)(e) |
| PI7 | Estimate of the average number and the average size of the increases in annuity amounts | empirical mean ; estimate provided by the undertaking | empirical mean | Method described by the text and calculable with the history entered alone; the undertaking's estimate remains possible. | Annex XVII E(5) |
| PI8 | Distribution of the annual number of increases in annuity amounts when the estimated standard deviation does not exceed the square root of the expected value | poisson(N̄) ; standard deviation entered by the undertaking | poisson(N̄) | The negative binomial distribution does not exist when the variance does not exceed the expected value; the Poisson distribution is its limit and requires no input. | Annex XVII E(6)(a) |
| PI9 | Calculation of the quantile of the compound distribution of the increases in annuity amounts | Panjer, rounded up to the next step ; Panjer, rounded to the nearest step ; simulation | Panjer, rounded up to the next step | Rounding amounts up to the next step slightly increases the quantile: prudent reading. The simulation serves as a check. | Annex XVII E(4)(c) |
| PI10 | First term of μj and ωj in method 2 for non-proportional reinsurance | ln(bj) − θ ; as printed | ln(bj) − θ | Same writing as in method 1 (F1(6)), whose distribution method 2 takes over; the form printed in F2 is read as a misprint. | Annex XVII F2(4) |
| PI11 | Numerator of NP′ in method 2 without a limit of indemnity | as printed ; ω1 − μ1² | as printed | Literal reading of the printed text. | Annex XVII F2(3) |
| PI12 | Transitional deduction when the technical provisions under the current regime are lower than under the previous regime (negative difference) | yes ; no | yes | Literal reading: the Directive does not bring the deduction back to zero when the difference is negative. | Dir. 308d(2) |
| PI14 | Natural catastrophe risk weight W of a single-zone region (Luxembourg, Malta, Iceland, Guadeloupe, Martinique, Saint-Martin, Réunion), absent from Annex X | [0.5 ; 2] | 1 | Neutral weight, in the middle of the range of the risk weights of Annex X; the undertaking adjusts it according to its knowledge of the local risk. | Annex X |
| PI16 | Last year of the sum in the simplified calculation for mortality risk (Article 91) when the duration n is not a whole number of years | next whole year up ; next whole year down | next whole year up | Rounding the duration up to the next whole number lengthens the sum and increases the requirement: prudent reading. | 91 |
Frequently asked questions
How is the SCR calculated with the standard formula?
The SCR is the sum of the Basic Solvency Capital Requirement (BSCR), the capital requirement for operational risk and the adjustment for the loss-absorbing capacity of technical provisions and deferred taxes (Directive 2009/138/EC, Article 103).
What is the MCR?
The Minimum Capital Requirement: a linear function of technical provisions, premiums and capital at risk, kept between 25 % and 45 % of the SCR and never below an absolute floor (Directive, Article 129; Delegated Regulation, Articles 248 to 253).
How is the solvency ratio calculated?
The eligible own funds to meet the SCR, divided by the SCR. s2calc applies the tier limits of Article 82 of the Delegated Regulation to determine the eligible own funds.
Can undertaking-specific parameters (USP) be used?
Yes, with variant V1: s2calc applies to the histories entered the standardised methods of Annex XVII of the Delegated Regulation and the credibility factor, for non-life and health premium and reserve risk, revision risk and non-proportional reinsurance.
Are the transitional measures taken into account?
Yes: transitional measure on the risk-free interest rates (V2), transitional measure on technical provisions (V3) and phasing-in of the extrapolation (V4). Each ticked variant adds a column of results next to the standard calculation.
What does s2calc do when the text leaves a reading open?
The reading becomes an adjustable interpretation parameter, with a reasonable default: the prudent reading when the direction of the difference is known, otherwise the literal reading. The reading used is recalled in the results.
Data
Entering data
Amounts in euros, by segment, by asset category, by currency or as a single value. For concentration and counterparty default exposures, one row per exposure (free name in the last row of the table, then Enter or “+”). On a started row, the required columns must be filled in; any other empty cell counts as 0. The tables of an option appear only after answering yes to its question. Each input is saved as soon as the field is left.
If a data item is missing, the calculation stops and points to it; it resumes once the item is entered. A data item that would depend on a result of the calculation is never asked for. Some are asked only in a specific case: the assumption for the symmetric adjustment of the equity capital charge, for example, appears only for a valuation date after the last EIOPA publication; left empty, the calculation uses the last published value.
Non-life
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Expected earned premium for the following 12 monthsPs | In euros, net of reinsurance. Premiums the undertaking expects to earn during the 12 months after the valuation date (Article 116). | Non-life segments (Annex II) | |
Earned premium during the last 12 monthsP(last,s) | In euros, net of reinsurance. Premiums earned during the 12 months before the valuation date. | Non-life segments (Annex II) | |
Future premiums of existing contracts (beyond 12 months)FP(existing,s) | In euros, net of reinsurance. Present value of the premiums of existing contracts to be earned after the following 12 months. Empty if no multi-year contract. | Non-life segments (Annex II) | |
Future premiums of contracts to be written (beyond 12 months)FP(future,s) | In euros, net of reinsurance. Present value of the premiums, to be earned after the following 12 months, of contracts to be written in the following 12 months. Usually empty. | Non-life segments (Annex II) | |
Best estimate for provisions for claims outstanding, net of reinsuranceBE claims | In euros, net of reinsurance. Best estimate for provisions for claims outstanding of the segment (Solvency II balance sheet, template S.17.01). | Non-life segments (Annex II) | |
Non-proportional reinsurance on the segment (1 = yes)NP reins. | From 30/01/2027: 1 if the segment is protected by non-proportional reinsurance (excess of loss), otherwise empty (the 80% factor of segments 1, 4 and 5 then applies only in that case). Before that date, it applies unconditionally. | Non-life segments (Annex II) | |
Loss in basic own funds under the non-life lapse scenarioBOF − BOF after shock | In euros. Discontinuance of 40 % of the policies whose discontinuance would increase technical provisions, and decrease of 40 % of the future contracts covered by reinsurance (Article 118). 0 if not applicable. | single value | |
Segmentsegment | Segment of Annex II. | Non-life — volumes by segment and region (Annex III) | yes |
Region of Annex IIIregion | Only one row per segment and region. | Non-life — volumes by segment and region (Annex III) | yes |
Premium volume of the segment in the regionV(prem,r,s) | In euros. Volume measure for premium risk of the segment calculated as in Article 116, on the obligations whose risk is situated in the region only (criteria of Article 13, points 13 and 14, of the Directive applied to regions). | Non-life — volumes by segment and region (Annex III) | |
Reserve volume of the segment in the regionV(res,r,s) | In euros. Best estimate for claims provisions of the segment, net of reinsurance, for the obligations whose risk is situated in the region. | Non-life — volumes by segment and region (Annex III) |
Market
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Value of equitiesvalue | In euros. Market value of the equities held, by category (Solvency II balance sheet, template S.06.02). | Equity categories (Articles 168 and 169) | |
Decrease in technical provisions and other offsetting effects under the equity shockTP decrease | In euros. Decrease in technical provisions caused by the equity shock (profit participation). Empty if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | Equity types for aggregation | |
Of which decrease in future discretionary benefits under the equity shockof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | Equity types for aggregation | |
Symmetric adjustment assumed by the undertaking at the valuation date, not yet published by EIOPASA assumption | In %, within the bounds of the text (−10 and +10; −13 and +13 from 30/01/2027). Market assumption for a valuation after the last EIOPA publication (projection, plan); brought within the bounds. Empty: last published value. | single value |
Operational risk
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Life earned premiums during the last 12 monthsEarnlife | In euros, gross of reinsurance. Life earned premiums during the last 12 months. | single value | |
Of which unit-linkedEarnlife-ul | In euros, gross of reinsurance. Part of these premiums relating to unit-linked contracts. | single value | |
Non-life and NSLT health earned premiums during the last 12 monthsEarnnon-life | In euros, gross of reinsurance. Non-life earned premiums during the last 12 months. | single value | |
Life earned premiums during the 12 months prior to the last 12 monthspEarnlife | In euros, gross of reinsurance. Life earned premiums during the 12 months prior to the last 12 months. | single value | |
Of which unit-linkedpEarnlife-ul | In euros, gross of reinsurance. Part of these premiums relating to unit-linked contracts. | single value | |
Non-life earned premiums during the 12 months prior to the last 12 monthspEarnnon-life | In euros, gross of reinsurance. Non-life earned premiums during the 12 months prior to the last 12 months. | single value | |
Life technical provisionsTPlife | In euros, without risk margin and without deduction of the amounts recoverable from reinsurance. Life technical provisions. | single value | |
Of which unit-linkedTPlife-ul | In euros, same rules. Part of the life technical provisions relating to unit-linked contracts. | single value | |
Non-life technical provisionsTPnon-life | In euros, without risk margin and without deduction of the amounts recoverable from reinsurance. Non-life technical provisions. | single value | |
Expenses incurred in respect of unit-linked business during the last 12 monthsExpul | In euros. Expenses of the last 12 months relating to unit-linked contracts. | single value |
Intangible assets
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Value of intangible assetsVintangible | In euros. Value of intangible assets in the Solvency II balance sheet (often nil). | single value |
Adjustments
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Change in deferred taxes after an instantaneous loss (positive amount)ΔID | In euros, positive amount. Decrease in net deferred taxes after an instantaneous loss equal to BSCR + adjustment for technical provisions + operational risk (Article 207). 0 if none. | single value |
Own funds
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Tier 1 basic own fundsT1 | In euros. Basic own funds classified in Tier 1, including restricted items (template S.23.01). | single value | |
Restricted Tier 1 items, included in the Tier 1 enteredT1 restricted | In euros. Items of Article 69(a)(iii) and (v) and (b), and items included in Tier 1 under the transitional provision of Article 308b(9) of the Directive. 0 if none. | single value | |
Tier 2 basic own fundsT2 | In euros. Basic own funds classified in Tier 2 (template S.23.01). | single value | |
Tier 3 basic own fundsT3 | In euros. Basic own funds classified in Tier 3 (template S.23.01). | single value |
Market — interest rate
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Basic own funds before the shockBOF | In euros. Basic own funds (excess of assets over liabilities less deducted items) at the valuation date, before any shock. | single value | |
Basic own funds after the increase in the term structure of interest rates (Article 166)BOF after increase | In euros. Basic own funds recalculated by the undertaking after applying the upward shocked term structure of interest rates to assets and liabilities (Article 166). | single value | |
Basic own funds after the decrease in the term structure of interest rates (Article 167)BOF after decrease | In euros. Basic own funds recalculated by the undertaking after applying the downward shocked term structure of interest rates to assets and liabilities (Article 167). | single value | |
Nature of the positiontype | Assets minus liabilities other than technical provisions of a maturity interval, or best estimate of a line of business, for a currency. | Interest rate, captive — positions by currency (Article 103) | yes |
Amount of the positionMVAL / BE | In euros. | Interest rate, captive — positions by currency (Article 103) | yes |
Maturity interval (assets)interval | For an asset row: its maturity interval, which sets the simple duration. | Interest rate, captive — positions by currency (Article 103) | |
Modified duration (best estimate)durlob | In years. For a best estimate row. | Interest rate, captive — positions by currency (Article 103) | |
Relevant risk-free interest rate at this durationrate | As a decimal (0.025 for 2.5 %). Risk-free rate of the currency of the row at the simple duration (assets) or modified duration (best estimate). | Interest rate, captive — positions by currency (Article 103) | yes |
Market — spread
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Value of bonds and loansMV | In euros. Market value of bonds and loans (including bank deposits, excluding the mortgage loans of Article 191) of the class: credit quality step and modified duration band. The exposures of Article 180 are entered separately; those of paragraph 2 (ECB, Member States, multilateral development banks, international organisations, and exposures guaranteed by them) have a nil factor and are not entered. | Bonds and loans by credit quality step and duration band (Article 176) | |
Value-weighted average modified durationdur | In years. Average modified duration of the securities of the class, weighted by their value; a duration lower than 1 year counts as 1 year. | Bonds and loans by credit quality step and duration band (Article 176) | |
Value of the specific exposuresMV | In euros. Market value of the bonds and loans of Article 180 by category: covered bonds with credit quality step 0 or 1 (paragraph 1); non-EU central governments and central banks in their currency, rated (paragraph 3), regional governments and local authorities of Member States not treated as the central government going to credit quality step 2 (paragraphs 3a and 3b); qualifying infrastructure investments (paragraph 11, step 3 if unrated, paragraph 13) and qualifying infrastructure corporate investments (paragraph 14, step 3 if the entity is unrated, paragraph 16); unrated insurance and reinsurance undertakings not covering their MCR (paragraph 5). | Specific exposures by category, credit quality step and duration band (Article 180) | |
Average modified duration of the specific exposuresdur | In years. Average modified duration of the securities of the category, weighted by their value; a duration lower than 1 year counts as 1 year. | Specific exposures by category, credit quality step and duration band (Article 180) | |
Value of bonds and loans on the insurance undertakingMV | In euros. Bonds and loans on an insurance or reinsurance undertaking without a credit assessment that covers its MCR (Article 180(4)). | Spread — unrated insurance and reinsurance undertakings covering their MCR (Article 180(4)) | yes |
Modified duration of bonds and loans on the insurance undertakingdur | In years. Value-weighted average modified duration; a duration lower than 1 year counts as 1 year. | Spread — unrated insurance and reinsurance undertakings covering their MCR (Article 180(4)) | yes |
Solvency ratio of the insurance undertaking, in %ratio | In %. Eligible own funds ÷ SCR, latest available values. Enter 100 if the undertaking has not yet published its solvency and financial condition report (paragraph 6), if it is an insurer of an equivalent third country meeting its requirements (paragraph 7), or for an unrated credit or financial institution (paragraph 8). | Spread — unrated insurance and reinsurance undertakings covering their MCR (Article 180(4)) | yes |
Value of the secured bond or loanMV | In euros. Bond or loan without a credit assessment whose debtor has provided collateral meeting Article 214; not to be entered also in the classes without a credit assessment. | Spread — unrated bonds and loans secured by collateral (Article 176(5)) | yes |
Modified duration of the secured bond or loandur | In years; a duration lower than 1 year counts as 1 year. | Spread — unrated bonds and loans secured by collateral (Article 176(5)) | yes |
Risk-adjusted value of the collateralrisk-adjusted collateral | In euros. Risk-adjusted value according to Articles 112, 197 and 198. | Spread — unrated bonds and loans secured by collateral (Article 176(5)) | yes |
Decrease in technical provisions and other offsetting effects under the spread shockTP decrease spread | In euros. Decrease in technical provisions caused by the spread shock on bonds and loans, including the exposures of Article 180 (profit participation). 0 if not applicable. Not read if the simplified calculation of Article 104 is used. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | single value | |
Value of securitisation positionsMV | In euros. Value of securitisation positions by category (STS within the meaning of Article 243 of Regulation (EU) No 575/2013, resecuritisation, other; “senior”: senior positions), credit quality step and duration band. Do not enter the positions of Article 180(10) and (10a) (nil factor). The type 1 securitisations before 2019 of Article 178a(1) go to rated senior STS. | Securitisation positions by category, credit quality step and duration band (Article 178) | |
Average modified duration of securitisation positionsdur | In years. Average modified duration of the positions of the category, weighted by their value; a duration lower than 1 year counts as 1 year. | Securitisation positions by category, credit quality step and duration band (Article 178) | |
Decrease in technical provisions and other offsetting effects under the spread shock on securitisationsTP decrease securitisation | In euros. Decrease in technical provisions caused by the shock on securitisation positions (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | single value | |
Loss in basic own funds under the increase in the credit spread of the underlying instrumentsloss spread up | In euros. Increase in percentage points of the credit spread of the underlying instruments according to their credit quality step (parameter table chocs_ecart_cd) or of 5 points if they are unrated (Article 179(1)(a) and (2)). Excluding derivatives of the risk-mitigation policy (paragraph 3) and derivatives on the exposures of Article 180(2) (paragraph 9). 0 if a gain. | single value | |
Loss in basic own funds under the relative decrease of 75 % in the credit spread of the underlying instrumentsloss spread down | In euros. Sudden relative decrease in the credit spread of the underlying instruments (Article 179(1)(b)), same scope as the increase. 0 if a gain. | single value | |
Of which decrease in future discretionary benefits under the spread shockof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | single value | |
Increase in technical provisions of unit-linked contracts with options and guarantees (Article 104)ΔLiabul | In euros. Increase in technical provisions, excluding the risk margin, of contracts where policyholders bear the investment risk with embedded options and guarantees, under the decrease in value of the simplified calculation for bonds and loans. 0 if not applicable. | single value | |
Of which decrease in future discretionary benefits under the spread shock on securitisationsof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | single value |
Market — property
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Value of property assetsproperty value | In euros. Land, buildings, immovable-property rights, and property held for own use (Article 174). Property funds and securities looked through count for their property part. 0 if none. | single value | |
Decrease in technical provisions and other offsetting effects under the property shockTP decrease property | In euros. Decrease in technical provisions caused by the property shock (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | single value | |
Of which decrease in future discretionary benefits under the property shockof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | single value |
Market — currency
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Value of assets sensitive to the currencyassets | In euros. Value of assets whose value depends on the exchange rate of the currency: securities and deposits denominated in the currency, and the currency part of funds looked through. Leave empty the currencies without exposure; the row of the local currency is ignored. | Currency — assets and liabilities by currency | |
Value of liabilities sensitive to the currencyliabilities | In euros. Value of liabilities, including technical provisions, whose value depends on the exchange rate of the currency. | Currency — assets and liabilities by currency | |
Decrease in technical provisions and other offsetting effects under the rise of the currencyTP decrease up | In euros. Decrease in technical provisions caused by the rise of the currency against the local currency (profit participation). Empty if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | Currency — assets and liabilities by currency | |
Of which decrease in future discretionary benefits under the rise of the currencyof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | Currency — assets and liabilities by currency | |
Decrease in technical provisions and other offsetting effects under the fall of the currencyTP decrease down | In euros. Decrease in technical provisions caused by the fall of the currency against the local currency. Empty if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | Currency — assets and liabilities by currency | |
Of which decrease in future discretionary benefits under the fall of the currencyof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | Currency — assets and liabilities by currency |
Market — concentration
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Exposure at default to the single nameE | In euros. Exposure at default: sum of the exposures to all counterparties of the single name (undertakings of the same group = one name), within the calculation base, excluding exposures with a nil risk factor (Article 184(3): ECB, Union central governments and central banks in their currency, multilateral development banks, international organisations, guarantees from them, guaranteed deposits of Article 187(5)). Covered bonds, immovable property and the central governments of Article 187(4) are entered in their own tables. | Concentration — single name exposures | yes |
Weighted average credit quality step of the single namecredit quality step | Average of the credit quality steps of the exposures of the name, weighted by their value (Article 182(4) to (11)); the calculation rounds it up to the next integer. Without a credit assessment: insurer according to its solvency ratio (196 % → 1, 175 % → 2, 122 % → 3, 100 % → 3.82, 95 % → 5, interpolated; 6 if it does not cover its MCR; 3.82 before its first public report), compliant credit institution 3.82, others 5. Simplified calculation of Article 105a used: the eligible unrated bonds count at credit quality step 3. | Concentration — single name exposures | yes |
Exposure eligible for the 15 % threshold (Article 106)Art. 106 | Captive, Article 106 used: credit institution outside the group or group entity managing the cash, with credit quality step 2. Empty otherwise. | Concentration — single name exposures | |
Decrease in technical provisions and other offsetting effects under the concentration shock of the single nameTP decrease | In euros. Decrease in technical provisions caused by the loss on this name (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | Concentration — single name exposures | |
Of which decrease in future discretionary benefits under the concentration shock of the single nameof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | Concentration — single name exposures | |
Exposure at default to the issuer's covered bondsE | In euros. Covered bonds (Directive (EU) 2019/2162) of the same issuer: a name separate from the other exposures to this issuer. | Concentration — covered bonds (Article 187(1)) | yes |
Credit quality step of the covered bondscredit quality step | Weighted average of the credit quality steps of the issuer's covered bonds; threshold of 15 % at steps 0 and 1, ordinary threshold and factor beyond. | Concentration — covered bonds (Article 187(1)) | yes |
Decrease in technical provisions and other offsetting effects under the concentration shock of the covered bondsTP decrease | In euros. Decrease in technical provisions caused by the loss on this name (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | Concentration — covered bonds (Article 187(1)) | |
Of which decrease in future discretionary benefits under the concentration shock of the covered bondsof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | Concentration — covered bonds (Article 187(1)) | |
Exposure at default to the central government or central bankE | In euros. Non-Union central governments and central banks (or outside their national currency for Union ones, which then go to the single name table), denominated and funded in their national currency (Article 187(4)). | Concentration — governments and central banks of Article 187(4) | yes |
Credit quality step of the central governmentcredit quality step | Weighted average of the credit quality steps; from 30/01/2027, moved back one step for exposures in the national currency whose step is 2 or more (Article 182(5)). | Concentration — governments and central banks of Article 187(4) | yes |
Decrease in technical provisions and other offsetting effects under the concentration shock of the central governmentTP decrease | In euros. Decrease in technical provisions caused by the loss on this name (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | Concentration — governments and central banks of Article 187(4) | |
Of which decrease in future discretionary benefits under the concentration shock of the central governmentof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | Concentration — governments and central banks of Article 187(4) | |
Value of the immovable propertyE | In euros. The same building forms a single property (Article 182(1)). | Concentration — immovable property (Article 187(2)) | yes |
Decrease in technical provisions and other offsetting effects under the concentration shock of the immovable propertyTP decrease | In euros. Decrease in technical provisions caused by the loss on this name (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | Concentration — immovable property (Article 187(2)) | |
Of which decrease in future discretionary benefits under the concentration shock of the immovable propertyof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | Concentration — immovable property (Article 187(2)) | |
Value of all assets heldvalue of assets | In euros. Total assets of the prudential balance sheet. | single value | |
Value of the assets excluded from the calculation base for concentrationexcluded assets | In euros. Assets held in respect of unit-linked contracts, intra-group exposures of Article 184(2)(b), participations deducted from own funds (Article 68), exposures of the counterparty default module, deferred tax assets, intangible assets, equities with a negative value. Captive, Article 106 used: add the intra-group asset pooling arrangements covered by legally binding netting agreements. | single value |
Counterparty default — type 1
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Single name of the exposuresingle name | Name common to all exposures to the same group (Article 190); an exposure alone on its counterparty takes its own name. | Counterparty default — type 1 exposures | yes |
Type of the exposuretype | Selects the formula of the loss-given-default (Article 192). | Counterparty default — type 1 exposures | yes |
Credit quality of the counterpartyquality | Credit quality step, or situation of the unrated counterparty (Article 199); a fully guaranteed exposure (Articles 209 to 215) takes the quality of the guarantor. | Counterparty default — type 1 exposures | yes |
Solvency ratio of the counterparty, in %ratio | For an unrated insurer covering its MCR: last published ratio (eligible own funds ÷ SCR), in %. Left empty, it counts as 0 %: highest probability of default. | Counterparty default — type 1 exposures | |
Value of the exposureexposure | In euros. Reinsurance: best estimate of the amounts recoverable and corresponding debts; derivative: value of the derivative; repurchase agreement and securities lending: value of the securities or cash lent; commitment given: nominal value less its balance sheet value; contribution: its amount; others: balance sheet value. Net of the liabilities that may be set off (Article 192(1)). | Counterparty default — type 1 exposures | yes |
Risk-mitigating effectRM | In euros. Reinsurance, securitisation, derivative: underwriting or market capital requirement without the contract less the requirement with the contract, at least 0 (Article 196). Empty otherwise. Not read for reinsurance, securitisations and derivatives if Article 107 or 107a is used: the total effect is allocated. | Counterparty default — type 1 exposures | |
Total risk-mitigating effect to be allocated (Articles 107, 107a)RMre,all / RMtotal | In euros. Article 107: underwriting capital requirement without any reinsurance arrangement or securitisation less the underwriting capital requirement (RMre,all). Article 107a, from 30/01/2027: hypothetical Basic SCR, with nil counterparty default, without the reinsurance arrangements, securitisations and derivatives concerned, less the hypothetical Basic SCR with them, nil default (RMtotal). Allocated between the exposures in proportion to the value of the exposure. | single value | |
Risk-adjusted value of collateralcollateral | In euros. Reinsurance, other derivative, repurchase agreement: risk-adjusted value of collateral (Article 197); cleared or compliant derivative: value of the assets held as collateral. Empty if none. Article 112 used: value of the assets held as collateral. | Counterparty default — type 1 exposures | |
Collateral case (Article 112)case 112 | Article 112 used: the “collateral” cell receives the value of the assets held as collateral; the calculation uses 85 % or 75 % of it depending on the case. Empty: the collateral is not used. | Counterparty default — type 1 exposures | |
Insolvency estate disregarding collateralArt. 197(7) | Choose if, in case of insolvency of the counterparty, the share of the undertaking in the estate does not take into account the collateral it receives (factors F at 100 %). Empty: factors of 50 %, 18 %, 16 % or 90 %. | Counterparty default — type 1 exposures | |
Co-reinsurance arrangement of the exposurepool | Name of the arrangement, identical to that of the members entered. Empty outside co-reinsurance. | Counterparty default — type 1 exposures | |
Type of the co-reinsurance exposuretype | A: reinsurance ceded to a pool, amount entered according to Article 192; B: amount ceded to the member (194(1), BEC; with Article 109, amount ceded to the pool BEU) or to the pool (194(2), BEU); C: amount ceded by the pool to the external counterparty (BECE; with Article 109, share of the undertaking BECEP). Type: reinsurance (192(2)), the recovery rate depends on the encumbered assets. | Counterparty default — type 1 exposures | |
Share of the risk of the undertaking under the co-reinsurance arrangementPU | As a decimal. Types B (194(1)) and C. | Counterparty default — type 1 exposures | |
Share of the risk of the member counterparty under the co-reinsurance arrangementPC | As a decimal. Type B. | Counterparty default — type 1 exposures | |
Underwriting risk covered by the proportional reinsurancej | Article 108: proportional reinsurance whose amounts recoverable are not negative; the risk-mitigating effect is calculated. Empty: effect entered. | Counterparty default — type 1 exposures | |
Best estimate of the obligations, net of amounts recoverable, of the underwriting riskBE | In euros (Article 108(a)). | Underwriting modules (Article 108) | |
Co-reinsurance arrangement of the memberpool | Name of the arrangement, identical to that of the exposures. | Counterparty default — members of type A co-reinsurance arrangements (Article 193) | yes |
Member within or outside the scope of Article 2 of the Directivei / j | Counterparty default — members of type A co-reinsurance arrangements (Article 193) | yes | |
Credit quality of the memberquality | Counterparty default — members of type A co-reinsurance arrangements (Article 193) | yes | |
Last available solvency ratio of the unrated memberSR | In %. | Counterparty default — members of type A co-reinsurance arrangements (Article 193) | |
Eligible own funds of the member within the scope of the DirectiveEOFi | In euros. Members i. | Counterparty default — members of type A co-reinsurance arrangements (Article 193) | |
Share of the total risk of the pool borne by the member outside the scope of the DirectivePj | As a decimal. Members j. | Counterparty default — members of type A co-reinsurance arrangements (Article 193) | |
Only non-life segment covered by the contracts | Article 111a: contract covering only one segment of Annex II. Empty otherwise. | Counterparty default — type 1 exposures | |
Only NSLT health segment covered by the contracts | Article 111a: contract covering only one segment of Annex XIV. Empty otherwise. | Counterparty default — type 1 exposures | |
Volume measure for premium risk of the segment without the contractPshyp | In euros (Article 116(3) or (4), Article 147(3) or (4)). | Counterparty default — type 1 exposures | |
Non-life or health catastrophe capital requirement without the contractSCRCAThyp | In euros (Article 119(2) or Article 160). | Counterparty default — type 1 exposures |
Counterparty default — type 2
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Receivables from intermediaries due for more than three monthsLGDreceivables>3months | In euros. Balance sheet value of the arrears of more than three months. 0 if none. | single value | |
Value of defaulted and renegotiated loansLoan default | In euros. 0 if none. | single value | |
Present value of recoveries on defaulted and renegotiated loansRecoverables default | In euros. Read from 30/01/2027. 0 if none. | single value | |
Value of the mortgage loanLoan | In euros. Retail loan meeting the requirements of Article 191(2) to (13); one row per loan or per group of loans with identical characteristics. | Counterparty default — mortgage loans of Article 191 | yes |
Risk-adjusted value of the mortgageMortgage | In euros. Value of the mortgaged property reduced by the adjustment for market risk (Article 198). | Counterparty default — mortgage loans of Article 191 | |
Guarantee recognised on the loanGuarantee | In euros. Amount the guarantor would pay (Article 192(4)). Empty if none. | Counterparty default — mortgage loans of Article 191 | |
Value of other type 2 exposuresLGD other | In euros. Receivables from intermediaries due for three months or less, policyholder debtors, and, beyond 15 names, deposits with ceding undertakings and called but unpaid commitments (Article 189(3)). 0 if none. | single value | |
Decrease in technical provisions and other offsetting effects under the shock on type 2 exposuresTP decrease | In euros. 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | single value | |
Of which decrease in future discretionary benefits under the shock on type 2 exposuresof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | single value |
Non-life catastrophe
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Premiums to be earned on contracts covering the peril outside the regions of Annex XIIIP | In euros. Gross premiums to be earned over 12 months of the contracts of lines 7, 19 (and 5, 17 for flood and hail) covering the peril in regions outside the European Economic Area, Monaco, Andorra, San Marino, the Vatican and Switzerland. Empty if none. | Natural catastrophe — regions outside Annex XIII | |
Net recoverables for natural catastrophe outside the regions of Annex XIIIrecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles for this scenario, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions outside Annex XIII | |
Number of vehicles insured above the deemed policy limit thresholdNa | Vehicles of lines 4 and 16 whose deemed policy limit exceeds EUR 24 000 000 (EUR 32 400 000 from 30/01/2027): overall limit, otherwise sum of the property damage and bodily injury limits, limit per victim × 10. Proportional reinsurance: weighted by the share of the undertaking. 0 if none. | single value | |
Number of vehicles insured at or below the deemed policy limit thresholdNb | Vehicles of lines 4 and 16 whose deemed policy limit is at most equal to the threshold. 0 if none. | single value | |
Largest net sum insured on a shipSI(hull,v) + SI(liab,v) + SI(pollution,v) | In euros. For ships with an insured value of at least EUR 250 000 (EUR 337 500 from 30/01/2027), lines 6, 18 and 27: hull + liability + oil pollution, net of only the treaties that would pay on this ship; the highest. 0 if none. | single value | |
Largest net sum insured on an oil or gas offshore platformSIp | In euros. Property damage, removal of wreckage, loss of production income, capping of the well and liability, net of only the treaties that would pay on this platform; the highest. 0 if none. | single value | |
Largest net sum insured on an aircraftSIa | In euros. Hull and liability of the aircraft, lines 6, 18 and 27, net of only the treaties that would pay on this aircraft; the highest. 0 if none. | single value | |
Net sum insured of the largest fire risk concentrationsum insured | In euros. Set of buildings located at least partly within a radius of 200 metres, covered for fire or explosion (including terrorist attack) under lines 7 and 19, net of only the treaties that would pay on this set; the highest. 0 if none. | single value | |
Largest of the five total exposures of the type (Article 90c(2) to (5))SCRfire[type] | In euros. For each of the five largest net sums insured of the type, sum insured of all buildings located at least partly within a radius of 200 metres (lines 7 and 19, fire or explosion, including terrorist attack); enter the highest of the five. | Fire — types of buildings (Article 90c) | |
Average sum insured of residential property (Article 90c(6))SIav | In euros. | single value | |
Largest market share by country in residential fire (Article 90c(6))max marketSharec | As a decimal (0.03 for 3 %). Highest of the market shares of the undertaking, country by country, on the obligations of lines 7 and 19 covering residential property. | single value | |
Premiums to be earned of the liability risk groupP(liability,i) | In euros. Gross premiums to be earned over 12 months; multi-risk contracts split by cover. Empty if none. | Catastrophe — liability risk groups (Annex XI) | |
Net recoverables of the liability scenario of the grouprecoverables | In euros. Empty if none. | Catastrophe — liability risk groups (Annex XI) | |
Sum insured of the credit and suretyship exposuresum insured | In euros. The two exposures of lines 9 and 21 with the largest net loss (10 % of the sum insured less recoverables), aggregated by group of entities. Empty if none. | Catastrophe — two largest credit and suretyship exposures (Article 134(2)) | |
Net recoverables on the default of the credit and suretyship exposurerecoverables | In euros. Empty if none. | Catastrophe — two largest credit and suretyship exposures (Article 134(2)) | |
Premiums to be earned of the credit and suretyship linesP lines 9 and 21 | In euros. Gross premiums to be earned over 12 months of lines 9 and 21. 0 if none. | single value | |
Premiums to be earned in non-proportional property reinsurancePnpproperty | In euros. Gross premiums to be earned over 12 months of line 28, excluding reinsurance of lines 9 and 21. 0 if none. | single value | |
Premiums to be earned of the group of other catastrophe risksP | In euros. Gross premiums to be earned over 12 months. Empty if none. | Catastrophe — other risks (Annex XII) | |
Net recoverables of the catastrophe scenariorecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles for this scenario, net of reinstatement premiums. Empty if none. | Catastrophe — net recoverables per scenario | |
Peril or non-proportional property reinsuranceperil | Catastrophe — premiums by peril and region (Annex III) | yes | |
Region of Annex IIIregion | Natural catastrophe: regions 5 to 18 only (the others are not read). Non-proportional property reinsurance: all regions. | Catastrophe — premiums by peril and region (Annex III) | yes |
Premiums of the regionP | In euros. Natural catastrophe: premiums relating to the obligations of the peril in regions outside Annex XIII. Non-proportional property reinsurance: earned premiums of line 28, excluding lines 9 and 21. | Catastrophe — premiums by peril and region (Annex III) | yes |
Natural catastrophe — Europe
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Sum insured for windstormSI(tempete) | In euros. Sum insured of the contracts of lines 7 and 19 (property damage) and 6 and 18 (onshore property in marine, aviation and transport) covering windstorm in the zone. Zone: first two digits of the postal code (département in France; Monaco = 06, Andorra = 09), unless Annex IX sets a specific division. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Lower amount of the weighted sum insured (windstorm)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 121(6)). Empty: weighted sum insured of the formula. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Sum insured for earthquakeSI(seisme) | In euros. Sum insured of the contracts of lines 7 and 19 (property damage) and 6 and 18 (onshore property in marine, aviation and transport) covering earthquake in the zone. Zone: first two digits of the postal code (département in France; Monaco = 06, Andorra = 09), unless Annex IX sets a specific division. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Lower amount of the weighted sum insured (earthquake)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 122(3)). Empty: weighted sum insured of the formula. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Sum insured for floodSI(inondation) | In euros. Sum insured of the contracts of lines 7 and 19 (property damage) and 6 and 18 (onshore property in marine, aviation and transport) covering flood in the zone. Zone: first two digits of the postal code (département in France; Monaco = 06, Andorra = 09), unless Annex IX sets a specific division. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Lower amount of the weighted sum insured (flood)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 123(6)). Empty: weighted sum insured of the formula. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Sum insured for hailSI(grele) | In euros. Sum insured of the contracts of lines 7 and 19 (property damage) and 6 and 18 (onshore property in marine, aviation and transport) covering hail in the zone. Zone: first two digits of the postal code (département in France; Monaco = 06, Andorra = 09), unless Annex IX sets a specific division. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Lower amount of the weighted sum insured (hail)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 124(6)). Empty: weighted sum insured of the formula. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Sum insured for subsidenceSI(affaissement) | In euros. Sum insured of the contracts of lines 7 and 19 covering subsidence of residential buildings in the zone. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Lower amount of the weighted sum insured (subsidence)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 125(2)). Empty: weighted sum insured of the formula. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Sum insured of vehicles for flood and hailSI(motor) | In euros. Sum insured of the contracts of lines 5 and 17 (motor vehicle damage) covering flood or hail in the zone; weighted by the calculation (× 1.5 for flood, × 5 then × 10 for hail). Empty if none. | Natural catastrophe — sums insured by risk zone (Annex IX) | |
Net recoverables in the region: windstorm, scenario Arecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions of Annex XIII | |
Net recoverables in the region: windstorm, scenario Brecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions of Annex XIII | |
Net recoverables in the region: earthquakerecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions of Annex XIII | |
Net recoverables in the region: flood, scenario Arecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions of Annex XIII | |
Net recoverables in the region: flood, scenario Brecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions of Annex XIII | |
Net recoverables in the region: hail, scenario Arecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions of Annex XIII | |
Net recoverables in the region: hail, scenario Brecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions of Annex XIII | |
Net recoverables in the region: subsidencerecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Natural catastrophe — regions of Annex XIII |
Life
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Loss in basic own funds under the life scenarioBOF − BOF after shock | In euros. Basic own funds before the shock less basic own funds recalculated after the shock, including technical provisions, the shock being applied only to the contracts whose technical provisions it increases (excluding the risk margin). Empty if not applicable; a gain is entered as a negative amount or left empty. | Life — losses in basic own funds per scenario (Articles 137 to 143) |
Life — simplified calculations
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Expected average mortality rate, weighted by the sum insured (Article 91)q | As a decimal (0.005 for 0.5 %). Average for all insured persons and all future years, weighted by the sum insured. | single value | |
Modified duration of payments on death (Article 91)n | In years. Modified duration of the payments on death included in the best estimate. | single value | |
Capital at risk of year k (Article 91)CARk | In euros. For each year k up to the duration n: sum, over the contracts with a positive capital at risk, of the amount paid during year k on death and the present value of the amounts paid after year k on immediate death, less the best estimate of year k, net of reinsurance; at least 0 per contract. | Life and SLT health — projection years k (Articles 91 and 97) | |
Risk-free spot rate for maturity k (Article 91)ik | As a decimal (0.025 for 2.5 %). Annualised spot rate for maturity k of the relevant risk-free interest rate term structure (Article 43). Empty: 0. | Life and SLT health — projection years k (Articles 91 and 97) | |
Average mortality rate over the next 12 months, weighted by the sum insured (Article 92)q | As a decimal (0.01 for 1 %). | single value | |
Modified duration of payments to beneficiaries (Article 92)n | In years. | single value | |
Best estimate of obligations subject to longevity riskBElong | In euros. Contracts of Article 138(2). | single value | |
Capital at risk on death or disability (Article 93)CAR1 | In euros. Sum, over the contracts with a positive capital at risk, of the amount currently paid on death or disability and the present value of the future amounts on immediate death or disability, less the best estimate, net of reinsurance. | single value | |
Capital at risk after twelve months (Article 93)CAR2 | In euros. Same definition as CAR1, in twelve months. | single value | |
Disability-morbidity rate over the next 12 months (Article 93)d1 | As a decimal. Weighted by the sum insured. | single value | |
Disability-morbidity rate over the following 12 months (Article 93)d2 | As a decimal. Weighted by the sum insured. | single value | |
Modified duration of payments on disability-morbidity (Article 93)n | In years. | single value | |
Expected termination rates over the next 12 months (Article 93)t | As a decimal. | single value | |
Best estimate of obligations subject to disability-morbidity riskBEdis | In euros. | single value | |
Expenses incurred in servicing life obligations other than health during the last year (Article 94)EI | In euros. | single value | |
Modified duration of the cash flows of the best estimate of these obligations (Article 94)n | In years. | single value | |
Weighted average inflation rate of the best estimate (Article 94)i | As a decimal (0.02 for 2 %). Weighted by the present value of the expenses incurred in servicing existing life obligations. | single value | |
Average lapse rate of policies with a positive surrender strain (Article 95(1))lup | As a decimal. | single value | |
Average period over which policies with a positive surrender strain run off (Article 95(1))nup | In years. | single value | |
Sum of positive surrender strains (Article 95(1))Sup | In euros. Surrender strain: amount payable on lapse, net of amounts recoverable from policyholders or intermediaries, less the technical provisions without a risk margin (paragraph 3). | single value | |
Average lapse rate of policies with a negative surrender strain (Article 95(2))ldown | As a decimal. | single value | |
Average period over which policies with a negative surrender strain run off (Article 95(2))ndown | In years. | single value | |
Sum of negative surrender strains, in absolute value (Article 95(2))Sdown | In euros, entered as a positive amount. | single value | |
Total capital at risk of policies with a positive capital at risk (Article 96)sum CARi | In euros. Sum, over the contracts with a positive capital at risk, of the amount currently paid on death and the present value of the future amounts on immediate death, less the best estimate, net of reinsurance. | single value |
Simplified calculations — Article 89a
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Capital requirement of the module at the date of the full calculation (Article 89a(1))SCRk0 | In euros. Result of the full calculation of the module or sub-module at the reference date at which it was established that it meets the conditions of Article 109(2) and (3) of the Directive; this calculation is no more than three years old. Fill in only the modules concerned. | Modules and sub-modules with insignificant risk (Article 89a) | |
Volume measure of the module at the date of the full calculationVolumek0 | In euros. Volume measure specific to the undertaking, justified to the supervisory authority. | Modules and sub-modules with insignificant risk (Article 89a) | |
Volume measure of the module at the valuation dateVolumekt | In euros. Same volume measure, at the valuation date. | Modules and sub-modules with insignificant risk (Article 89a) |
Health
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Loss in basic own funds under the health scenarioBOF − BOF after shock | In euros. Basic own funds before the shock less basic own funds recalculated after the shock, including technical provisions, the shock being applied only to the contracts whose technical provisions it increases (excluding the risk margin). Empty if not applicable. | Health — losses in basic own funds per scenario (Articles 150, 152 to 159) | |
Volume measure for premium risk of business subject to the equalisation systemV(prem,s,HRES) | In euros. Part of the volume measure for premium risk of the segment subject to the equalisation system, calculated as in Article 147. Only the medical expense segment has a set standard deviation (Implementing Regulation 2015/2013); elsewhere the input has no effect. | NSLT health — segments (Annex XIV) | |
Volume measure for reserve risk of business subject to the equalisation systemV(res,s,HRES) | In euros. Part of the best estimate for claims provisions of the segment subject to the equalisation system (Article 147). | NSLT health — segments (Annex XIV) | |
Segmentsegment | Segment of Annex XIV. | NSLT health — volumes by segment and region (Annex III) | yes |
Region of Annex IIIregion | Only one row per segment and region. | NSLT health — volumes by segment and region (Annex III) | yes |
Premium volume of the segment in the regionV(prem,r,s) | In euros. Volume measure for premium risk of the segment calculated as in Article 147, on the obligations whose risk is situated in the region only (criteria of Article 13, points 13 and 14, of the Directive applied to regions). | NSLT health — volumes by segment and region (Annex III) | |
Reserve volume of the segment in the regionV(res,r,s) | In euros. Best estimate for claims provisions of the segment, net of reinsurance, for the obligations whose risk is situated in the region. | NSLT health — volumes by segment and region (Annex III) |
Health — simplified calculations
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Expected average mortality rate, weighted by the sum insured (Article 97)q | As a decimal (0.005 for 0.5 %). Average for all insured persons and all future years, weighted by the sum insured. | single value | |
Modified duration of payments on death (Article 97)n | In years. | single value | |
Capital at risk of year k (Article 97)CARk | In euros. Sum, over the contracts with a positive capital at risk, of the amount paid during year k on death and the present value of the future amounts on immediate death, less the best estimate of year k, net of reinsurance; at least 0 per contract. For each year k up to the duration n. | Life and SLT health — projection years k (Articles 91 and 97) | |
Risk-free spot rate for maturity k (Article 97)ik | As a decimal (0.025 for 2.5 %). Relevant risk-free interest rate term structure (Article 43). Empty: 0. | Life and SLT health — projection years k (Articles 91 and 97) | |
Average mortality rate over the next 12 months, weighted by the sum insured (Article 98)q | As a decimal. | single value | |
Modified duration of payments to beneficiaries (Article 98)n | In years. | single value | |
Best estimate of health obligations subject to longevity riskBElong | In euros. | single value | |
Medical payments during the last year (Article 99)MP | In euros. Payments in respect of medical expense insurance or reinsurance obligations. | single value | |
Modified duration of the cash flows of the best estimate of medical expenses (Article 99)n | In years. | single value | |
Weighted average inflation rate of medical payments (Article 99)i | As a decimal. Weighted by the present value of the medical payments of the best estimate. | single value | |
Capital at risk on death or disability (Article 100)CAR1 | In euros. Sum, over the contracts with a positive capital at risk, of the amount currently paid on death or disability and the present value of the future amounts on immediate death or disability, less the best estimate, net of reinsurance; at least 0 per contract. | single value | |
Capital at risk after twelve months (Article 100)CAR2 | In euros. Same definition as CAR1, in twelve months. | single value | |
Disability-morbidity rate over the next 12 months (Article 100)d1 | As a decimal. Weighted by the sum insured. | single value | |
Disability-morbidity rate over the following 12 months (Article 100)d2 | As a decimal. Weighted by the sum insured. | single value | |
Modified duration of payments on disability-morbidity (Article 100)n | In years. | single value | |
Expected termination rates over the next 12 months (Article 100)t | As a decimal. | single value | |
Best estimate of income protection obligations subject to disability-morbidity riskBEdis | In euros. | single value | |
Expenses incurred in servicing health obligations during the last year (Article 101)EI | In euros. | single value | |
Modified duration of the cash flows of the best estimate of these obligations (Article 101)n | In years. | single value | |
Weighted average inflation rate of the best estimate (Article 101)i | As a decimal. Weighted by the present value of the expenses incurred in servicing existing health obligations. | single value | |
Average lapse rate of policies with a positive surrender strain (Article 102(1))lup | As a decimal. | single value | |
Average period over which policies with a positive surrender strain run off (Article 102(1))nup | In years. | single value | |
Sum of positive surrender strains (Article 102(1))Sup | In euros. Surrender strain: amount payable on lapse, net of amounts recoverable from policyholders or intermediaries, less the technical provisions without a risk margin (paragraph 3). | single value | |
Average lapse rate of policies with a negative surrender strain (Article 102(2))ldown | As a decimal. | single value | |
Average period over which policies with a negative surrender strain run off (Article 102(2))ndown | In years. | single value | |
Sum of negative surrender strains, in absolute value (Article 102(2))Sdown | In euros, entered as a positive amount. | single value |
NSLT health
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Premiums to be earned over 12 months of the health segmentPs | In euros, net of reinsurance (Article 147(5)). Empty if none. | NSLT health — segments (Annex XIV) | |
Earned premiums during the last 12 months of the health segmentP(last,s) | In euros, net of reinsurance. Empty if none. | NSLT health — segments (Annex XIV) | |
Future premiums of existing contracts beyond 12 months, health segmentFP(existing,s) | In euros, expected present value. Empty if none. | NSLT health — segments (Annex XIV) | |
Future premiums of contracts to be written beyond 12 months, health segmentFP(future,s) | In euros: expected present value after the first 12 months (contracts of one year or less) or 30 % of it (contracts of more than one year). Empty if none. | NSLT health — segments (Annex XIV) | |
Best estimate for provisions for claims outstanding of the health segmentV(res,s) | In euros, net of reinsurance. Empty if none. | NSLT health — segments (Annex XIV) |
Health catastrophe
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Benefits in a mass accident: death, by country of residenceE(deces,s) | In euros. Sum of the benefits of the insured persons resident in the country (income protection and workers' compensation contracts, and medical expenses for treatment), annuities at their best estimate (Article 161(3)). Empty if none. | Health catastrophe — mass accident by country (Annex XVI) | |
Benefits in a mass accident: permanent disablement, by country of residenceE(handicap_permanent,s) | In euros. Sum of the benefits of the insured persons resident in the country (income protection and workers' compensation contracts, and medical expenses for treatment), annuities at their best estimate (Article 161(3)). Empty if none. | Health catastrophe — mass accident by country (Annex XVI) | |
Benefits in a mass accident: disablement lasting 12 months, by country of residenceE(handicap_12_mois,s) | In euros. Sum of the benefits of the insured persons resident in the country (income protection and workers' compensation contracts, and medical expenses for treatment), annuities at their best estimate (Article 161(3)). Empty if none. | Health catastrophe — mass accident by country (Annex XVI) | |
Benefits in a mass accident: medical treatment, by country of residenceE(traitement,s) | In euros. Sum of the benefits of the insured persons resident in the country (income protection and workers' compensation contracts, and medical expenses for treatment), annuities at their best estimate (Article 161(3)). Empty if none. | Health catastrophe — mass accident by country (Annex XVI) | |
Net recoverables on the mass accident of the countryrecoverables | In euros. Empty if none. | Health catastrophe — mass accident by country (Annex XVI) | |
Number of persons in the largest accident risk concentration of the countryCc | Number of insured persons working in the same building (income protection, workers' compensation), the highest in the country (Article 162(3)). Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Average benefit per person of the largest concentration: deathCE(deces,c) | In euros per person: sum of the benefits of the insured persons of this concentration divided by their number. Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Average benefit per person of the largest concentration: permanent disablementCE(handicap_permanent,c) | In euros per person: sum of the benefits of the insured persons of this concentration divided by their number. Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Average benefit per person of the largest concentration: disablement lasting 12 monthsCE(handicap_12_mois,c) | In euros per person: sum of the benefits of the insured persons of this concentration divided by their number. Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Average benefit per person of the largest concentration: medical treatmentCE(traitement,c) | In euros per person: sum of the benefits of the insured persons of this concentration divided by their number. Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Net recoverables on the accident concentration of the countryrecoverables | In euros. Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Number of insured persons with medical expense insurance covering infectious diseases, by countryNc | Insured persons resident in the country, excluding workers' compensation. Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Expected cost per insured person in a pandemic: hospitalisationCH(hospitalisation,c) | In euros: expected number of treatments per insured person × average cost of a treatment, including medical inflation (1 treatment by default for hospitalisation, 2 for consultation). Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Expected cost per insured person in a pandemic: medical practitioner consultationCH(consultation,c) | In euros: expected number of treatments per insured person × average cost of a treatment, including medical inflation (1 treatment by default for hospitalisation, 2 for consultation). Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Expected cost per insured person in a pandemic: no formal medical careCH(aucun,c) | In euros: expected number of treatments per insured person × average cost of a treatment, including medical inflation (1 treatment by default for hospitalisation, 2 for consultation). Empty if none. | Health catastrophe — accident concentration and pandemic by country (Articles 162, 163) | |
Income protection exposure in a pandemicE | In euros. Sum, over the income protection insured persons (excluding workers' compensation), of the benefits payable in case of permanent disability caused by an infectious disease (Article 163(2)). 0 if none. | single value | |
Net recoverables on the pandemicrecoverables | In euros. 0 if none. | single value |
Minimum capital requirement
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Technical provisions without a risk margin of the segment, net of reinsuranceTP(nl,s) | In euros. Best estimate net of the amounts recoverable from reinsurance and special purpose vehicles (excluding those of Article 41(3) and (5)), floor 0; before the transitional deduction (variant V3). Empty if none. | MCR — non-life and NSLT health segments (Annex XIX) | |
Written premiums, net of reinsurance, during the last 12 months of the segmentPs | In euros, floor 0. Empty if none. | MCR — non-life and NSLT health segments (Annex XIX) | |
Life technical provisions without a risk margin, net of reinsurance, by categoryTP(life,i) | In euros, floor 0 per category; before the transitional deduction (variant V3). Empty if none. | MCR — life technical provisions (Article 251) | |
Total capital at risk of life contractsCAR | In euros. Sum over life contracts of: amount payable on death or disability (plus present value of future payments not covered), net of reinsurance, less the net best estimate, floor 0 per contract. 0 if none. | single value | |
Gross written premiums of the undertakingpremiums | In euros, last financial year. 0 if none. | single value | |
Gross written premiums of non-life classes 1 (accident) and 2 (sickness)premiums | In euros, last financial year. 0 if none. | single value | |
Gross written premiums in lifepremiums | In euros, last financial year. 0 if none. | single value | |
Non-life technical provisions of the segment relating to life activitiesTP(nl,s) life activities | In euros. Part of the non-life technical provisions of the segment (already entered in total) relating to life insurance activities (classes of Annex II of the Directive). Empty if none. | MCR — non-life and NSLT health segments (Annex XIX) | |
Non-life premiums of the segment relating to life activitiesP(s) life activities | In euros. Part of the net written premiums of the segment (already entered in total) relating to life insurance activities. Empty if none. | MCR — non-life and NSLT health segments (Annex XIX) | |
Life technical provisions relating to non-life activitiesTP(life,i) non-life activities | In euros. Part of the life technical provisions (already entered in total) relating to non-life insurance activities (classes of Annex I of the Directive), for example non-life annuities. Empty if none. | MCR — life technical provisions (Article 251) | |
Capital at risk relating to non-life activitiesCAR non-life activities | In euros. Part of the capital at risk entered relating to non-life activities. 0 if none. | single value | |
Capital add-on allocated to non-life activitiesAddonnl | In euros. 0 if none. | single value | |
Capital add-on allocated to life activitiesAddonl | In euros. 0 if none. | single value |
Technical provisions — loss-absorbing capacity
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Technical provisions without risk margin in relation to future discretionary benefitsFDB | In euros. Cap of the adjustment for the loss-absorbing capacity of technical provisions (Article 206(1)(c)). 0 if none. | single value | |
Loss-absorbing capacity of future discretionary benefits under the scenarioΔFDB | In euros, positive. Part of the loss entered absorbed by the decrease in future discretionary benefits (management actions of Article 23, restrictions of Article 206(3)): loss before absorption less loss entered. Empty if none. | Loss-absorbing capacity of future discretionary benefits — scenarios entered in own funds (Article 206) | |
Loss-absorbing capacity of future discretionary benefits under the life scenarioΔFDB | In euros, positive. Part of the loss entered absorbed by the decrease in future discretionary benefits (management actions of Article 23, restrictions of Article 206(3)): loss before absorption less loss entered. Empty if none. | Life — losses in basic own funds per scenario (Articles 137 to 143) | |
Loss-absorbing capacity of future discretionary benefits under the health scenarioΔFDB | In euros, positive. Part of the loss entered absorbed by the decrease in future discretionary benefits (management actions of Article 23, restrictions of Article 206(3)): loss before absorption less loss entered. Empty if none. | Health — losses in basic own funds per scenario (Articles 150, 152 to 159) | |
Loss-absorbing capacity of future discretionary benefits for the instantaneous loss of the amount of the capital requirementΔFDB | In euros, positive. Decrease in future discretionary benefits that would result from the instantaneous loss of the amount of the calculated capital requirement, the loss being due to the risk it reflects (management actions of Article 23, restrictions of Article 206(3)). Empty if none. | Loss-absorbing capacity of future discretionary benefits — lump-sum requirements (Article 206(2)(c) and (d)) |
Variant V3 — transitional deduction
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Technical provisions at 01/01/2016 under the current regimeTP 01/01/2016 | In euros. Technical provisions, net of the amounts recoverable from reinsurance and special purpose vehicles, calculated at 01/01/2016 according to Article 76 of the Directive (or recalculated at the date of the last recalculation allowed by the supervisory authority). | Transitional deduction — homogeneous risk groups (Directive, Article 308d) | yes |
Technical provisions on the day before 01/01/2016 under the previous regimeTP previous regime | In euros. Technical provisions net of reinsurance calculated according to the provisions in force on the day before the application of the Directive (or at the date of the last recalculation). | Transitional deduction — homogeneous risk groups (Directive, Article 308d) | yes |
Share of the deduction applied by the undertakingshare applied | As a decimal. Empty: transitional share of the year (Directive, Article 308d(2)). | Transitional deduction — homogeneous risk groups (Directive, Article 308d) | |
Limit of the deduction set by the supervisory authoritylimit | In euros (Directive, Article 308d(3)). Empty if none. | Transitional deduction — homogeneous risk groups (Directive, Article 308d) | |
Risk marginRM | In euros. Risk margin of technical provisions (Article 37), before the transitional deduction. | single value | |
Deferred taxes relating to the transitional deductionDT deduction | In euros, positive for a deferred tax liability arising from the deduction. 0 if none. | single value |
Variant V1 — undertaking-specific parameters
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Parameter replaced by the premium risk method (non-life)premiums | Net standard deviation: data net of reinsurance; gross: gross data, the adjustment factor for non-proportional reinsurance applies (Article 218(1); the gross standard deviation and the specific factor are not replaced together). Empty: standard parameter. | Non-life segments (Annex II) | |
Reserve risk method (non-life)reserve | Empty: standard parameter. | Non-life segments (Annex II) | |
Method for the non-proportional reinsurance factor (non-life)NP | Recognisable excess of loss contract on claims (method 1) or on losses (method 2) (Article 218(2)). Empty: standard parameter. | Non-life segments (Annex II) | |
Parameter replaced by the premium risk method (NSLT health)premiums | Net standard deviation: data net of reinsurance; gross: gross data, the adjustment factor for non-proportional reinsurance applies (Article 218(1); the gross standard deviation and the specific factor are not replaced together). Empty: standard parameter. | NSLT health — segments (Annex XIV) | |
Reserve risk method (NSLT health)reserve | Empty: standard parameter. | NSLT health — segments (Annex XIV) | |
Method for the non-proportional reinsurance factor (NSLT health)NP | Recognisable excess of loss contract on claims (method 1) or on losses (method 2) (Article 218(2)). Empty: standard parameter. | NSLT health — segments (Annex XIV) | |
Specific increase in the amount of annuity benefits usedrevision | Annuities not exposed to any material inflation risk (Article 218(1)(b) and (d)). | Undertaking-specific parameters — revision risk sub-modules (Articles 141 and 158) | |
Average number of annuity increases per financial year estimated by the undertakingN̄ | Read if PI7 = estimate provided by the undertaking. | Undertaking-specific parameters — revision risk sub-modules (Articles 141 and 158) | |
Average change in annuity benefits estimated by the undertakingX̄ | In euros. Read if PI7 = estimate provided by the undertaking. | Undertaking-specific parameters — revision risk sub-modules (Articles 141 and 158) | |
Standard deviation of the number of annuity increases entered by the undertakingσN | Read if PI8 = standard deviation entered by the undertaking, when the estimated standard deviation does not exceed the square root of the average number. | Undertaking-specific parameters — revision risk sub-modules (Articles 141 and 158) | |
Loss in basic own funds under the life revision scenario recalculated with the specific increaserevision loss | In euros. Specific increase shown in a warning after a first calculation. Empty: loss of the standard calculation. | single value | |
Loss in basic own funds under the health revision scenario recalculated with the specific increaserevision loss | In euros. Specific increase shown in a warning after a first calculation. Empty: loss of the standard calculation. | single value | |
Non-life segments | Choose the non-life segment or the health segment of the row. | Undertaking-specific parameters — premium risk method: one row per segment and accident year (Annex XVII B) | |
NSLT health segments | Undertaking-specific parameters — premium risk method: one row per segment and accident year (Annex XVII B) | ||
Earned premiums of the accident yearxt | In euros; net or gross of reinsurance depending on the parameter replaced (Annex XVII B(2)(c) and (d)). | Undertaking-specific parameters — premium risk method: one row per segment and accident year (Annex XVII B) | yes |
Aggregate losses of the accident year after the first development yearyt | In euros: payments and best estimate of claims outstanding, including expenses, catastrophe claims removed (B(1) and (2)). | Undertaking-specific parameters — premium risk method: one row per segment and accident year (Annex XVII B) | yes |
Non-life segments | Undertaking-specific parameters — reserve risk method 1: one row per segment and financial year (Annex XVII C) | ||
NSLT health segments | Undertaking-specific parameters — reserve risk method 1: one row per segment and financial year (Annex XVII C) | ||
Best estimate of claims outstanding at the beginning of the financial yearxt | In euros, net of reinsurance, including expenses. | Undertaking-specific parameters — reserve risk method 1: one row per segment and financial year (Annex XVII C) | yes |
Best estimate at the end of the financial year of the claims outstanding at its beginning, plus the payments of the year on these claimsyt | In euros, net of reinsurance, including expenses. | Undertaking-specific parameters — reserve risk method 1: one row per segment and financial year (Annex XVII C) | yes |
Non-life segments | Undertaking-specific parameters — reserve risk method 2: one row per segment, accident year and development year (Annex XVII D) | ||
NSLT health segments | Undertaking-specific parameters — reserve risk method 2: one row per segment, accident year and development year (Annex XVII D) | ||
Accident yeari | Numbered from 0 for the first accident year. | Undertaking-specific parameters — reserve risk method 2: one row per segment, accident year and development year (Annex XVII D) | yes |
Development yearj | 0 for the accident year. | Undertaking-specific parameters — reserve risk method 2: one row per segment, accident year and development year (Annex XVII D) | yes |
Cumulative payments of the accident year up to the development yearC(i,j) | In euros, net of reinsurance, including expenses. | Undertaking-specific parameters — reserve risk method 2: one row per segment, accident year and development year (Annex XVII D) | yes |
Non-life segments | Undertaking-specific parameters — non-proportional reinsurance: one row per segment or homogeneous risk group covered (Annex XVII F1, F2) | ||
NSLT health segments | Undertaking-specific parameters — non-proportional reinsurance: one row per segment or homogeneous risk group covered (Annex XVII F1, F2) | ||
Retention of the contractb1 | In euros. | Undertaking-specific parameters — non-proportional reinsurance: one row per segment or homogeneous risk group covered (Annex XVII F1, F2) | yes |
Limit of indemnity of the contractb2 | In euros. Empty: no limit. | Undertaking-specific parameters — non-proportional reinsurance: one row per segment or homogeneous risk group covered (Annex XVII F1, F2) | |
Volume measure for premium risk of the homogeneous risk groupV(prem,h) | In euros (Article 116(3)). Empty: weight 1. | Undertaking-specific parameters — non-proportional reinsurance: one row per segment or homogeneous risk group covered (Annex XVII F1, F2) | |
Number of reporting years of the historylength | Undertaking-specific parameters — non-proportional reinsurance: one row per segment or homogeneous risk group covered (Annex XVII F1, F2) | yes | |
Homogeneous risk grouph | Name of a row of the table of excess of loss contracts. | Undertaking-specific parameters — non-proportional reinsurance: one row per claim (method 1) or per financial year (method 2) | yes |
Ultimate claim amount (method 1) or aggregate annual losses (method 2)Yi | In euros, estimated in the reporting year, without the expenses incurred in servicing (F1(2), F2(2)). | Undertaking-specific parameters — non-proportional reinsurance: one row per claim (method 1) or per financial year (method 2) | yes |
Revision risk sub-modulesous-module | Undertaking-specific parameters — revision risk: one row per beneficiary and financial year (Annex XVII E) | yes | |
Beneficiaryi | Undertaking-specific parameters — revision risk: one row per beneficiary and financial year (Annex XVII E) | yes | |
Financial yeart | Numbered from 1. | Undertaking-specific parameters — revision risk: one row per beneficiary and financial year (Annex XVII E) | yes |
Annuity benefits received by the beneficiary during the financial yearA(i,t) | In euros, gross of reinsurance, including expenses. | Undertaking-specific parameters — revision risk: one row per beneficiary and financial year (Annex XVII E) | yes |
P2 — net volumes
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Gross written premiums of the last 12 monthswritten premiums | In euros, gross of reinsurance. Used for the MCR premiums. | P2 — non-life (Annex II) and NSLT health (Annex XIV) segments | |
Gross earned premiums of the last 12 monthsearned premiums | In euros, gross of reinsurance. | P2 — non-life (Annex II) and NSLT health (Annex XIV) segments | |
Gross premiums to be earned over the next 12 monthspremiums to be earned | In euros, gross of reinsurance (Article 116(3)). | P2 — non-life (Annex II) and NSLT health (Annex XIV) segments | |
Gross future premiums of existing contracts, beyond 12 monthsfuture premiums, existing | In euros, expected present value, gross of reinsurance. | P2 — non-life (Annex II) and NSLT health (Annex XIV) segments | |
Gross future premiums of contracts written within 12 months, beyond 12 monthsfuture premiums, future contracts | In euros, expected present value, gross of reinsurance. | P2 — non-life (Annex II) and NSLT health (Annex XIV) segments | |
Gross best estimate of the claims provisionsgross BE claims | In euros, gross of recoverables. | P2 — non-life (Annex II) and NSLT health (Annex XIV) segments | |
Gross best estimate of the premium provisionsgross BE premiums | In euros, gross of recoverables; used for the MCR technical provisions. | P2 — non-life (Annex II) and NSLT health (Annex XIV) segments | |
Amounts recoverable from excess of loss treaties on the claims provisionsXL recoverables | In euros, adjusted for expected losses due to counterparty default (Directive, Article 81); quota share amounts excluded (calculated by P2). | P2 — non-life (Annex II) and NSLT health (Annex XIV) segments | |
Treaty typetype | Quota share or excess of loss; columns that do not apply are greyed out. | P2 — reinsurance treaties of the volumes | |
Segments covered by the treatysegments | Codes separated by commas: N1 to N12 (non-life, Annex II), S1 to S4 (NSLT health, Annex XIV). | P2 — reinsurance treaties of the volumes | |
Ceded share of the quota shareceded share | As a decimal (0.30 for 30%), the same for all covered segments. | P2 — reinsurance treaties of the volumes | |
Excess of loss premium of the last 12 monthspast premium | In euros, for all covered segments; spread in proportion to retained premiums. | P2 — reinsurance treaties of the volumes | |
Excess of loss premium of the next 12 monthsnext premium | In euros, for all covered segments; spread in proportion to retained premiums. | P2 — reinsurance treaties of the volumes | |
Non-proportional reinsurance in place on the covered segmentsnon-proportional | In place: the 80% factor of segments N1, N4 and N5 applies (Article 117(3), from 30/01/2027). Empty otherwise. | P2 — reinsurance treaties of the volumes |
P3 — register of reinsurers
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Group of the reinsurergroup | Single name exposure (Article 190): name shared by the reinsurers of a same group. Empty: the name of the reinsurer. | P3 — reinsurers | |
Credit quality of the reinsurercredit quality | Credit quality step, or situation of the unrated reinsurer (Article 199). | P3 — reinsurers | |
Solvency ratio of the reinsurer, in %ratio | Unrated reinsurer covering its MCR: last published ratio (eligible own funds ÷ SCR), in %. | P3 — reinsurers | |
Reinsurance with an undertaking whose assets are encumberedencumbered assets | Encumbered: type “reinsurance with an undertaking whose assets are encumbered” (Article 192(2)). Empty otherwise. | P3 — reinsurers | |
Risk-adjusted value of the collateral received from the reinsurercollateral | In euros, all treaties together (Article 197). Empty if none. | P3 — reinsurers | |
Reinsurer of the placementreinsurer | Choice among the rows of the table of reinsurers. | P3 — treaty placements | |
Placed treatytreaty | Name of the treaty; the placed shares of a same treaty do not exceed 100%. Empty: single placement. | P3 — treaty placements | |
Share of the treaty accepted by the reinsurerplaced share | As a decimal (0.25 for 25%). | P3 — treaty placements | |
Amounts recoverable from the treaty, at 100%recoverables | In euros, best estimate at 100% of the treaty, before adjustment for default (Article 192). | P3 — treaty placements | |
Risk-mitigating effect of the treaty, at 100%risk mitigation | In euros (Article 196). Empty: 0. | P3 — treaty placements |
P1 — natural catastrophe reinsurance
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Order of application of the treatyrank | 1 for the first treaty applied; each treaty applies to the loss net of lower-ranked treaties. Two treaties covering the same peril cannot share a rank. | P1 — natural catastrophe reinsurance treaties | |
Treaty typetype | Quota share or per-event excess of loss; columns that do not apply to the chosen type are greyed out. | P1 — natural catastrophe reinsurance treaties | |
Treaty covering the peril: windstormwindstorm | Covered: the treaty applies to losses from this peril. Empty: not covered. | P1 — natural catastrophe reinsurance treaties | |
Treaty covering the peril: hailhail | Covered: the treaty applies to losses from this peril. Empty: not covered. | P1 — natural catastrophe reinsurance treaties | |
Treaty covering the peril: floodflood | Covered: the treaty applies to losses from this peril. Empty: not covered. | P1 — natural catastrophe reinsurance treaties | |
Treaty covering the peril: earthquakeearthquake | Covered: the treaty applies to losses from this peril. Empty: not covered. | P1 — natural catastrophe reinsurance treaties | |
Treaty covering the peril: subsidencesubsidence | Covered: the treaty applies to losses from this peril. Empty: not covered. | P1 — natural catastrophe reinsurance treaties | |
Regions covered by the treatyregions | Codes of the Annex XIII regions separated by commas (FR, BE). Empty: all the regions selected in the setup. | P1 — natural catastrophe reinsurance treaties | |
Ceded share of the quota shareceded share | As a decimal (0.30 for 30%). | P1 — natural catastrophe reinsurance treaties | |
Per-event limit of the quota sharelimit | In euros, on the 100% loss of the event, all covered regions together. Empty: no limit. | P1 — natural catastrophe reinsurance treaties | |
Per-event retention of the excess of lossretention | In euros, applied to the loss in each region. | P1 — natural catastrophe reinsurance treaties | |
Per-event limit of the excess of loss layerlimit of the layer | In euros, above the retention; shared between the covered regions. | P1 — natural catastrophe reinsurance treaties | |
Placed share of the excess of lossplaced share | As a decimal (1 for a fully placed treaty). | P1 — natural catastrophe reinsurance treaties | |
Number of reinstatements of the layerreinstatements | Empty: no reinstatement; the layer is used only once over the sequence of events of the scenario. | P1 — natural catastrophe reinsurance treaties | |
Reinstatement ratereinstatement rate | As a decimal of the initial premium (1 for a reinstatement at 100%). Empty: free reinstatements. | P1 — natural catastrophe reinsurance treaties | |
Initial premium of the excess of lossinitial premium | In euros, for the placed share; basis of the reinstatement premiums, deducted from the recoverables. | P1 — natural catastrophe reinsurance treaties |
P4 — risk-mitigating effect
| Data | What to enter | Entered by | Required |
|---|---|---|---|
Method of the risk-mitigating effectmethod | Full: one hypothetical calculation per treaty. Simplified: a single calculation without any treaty, allocated in proportion to recoverables; proportionality attestation (Article 88) required in the settings. | single value |
Add-on calculations (P)
Some data can be provided by an add-on calculation (“detailed entry Pn” badge at the top of a column): net natural catastrophe, volumes net of reinsurance, register of reinsurers, risk-mitigating effect. Their inputs, calculation and limits are described in the page Add-on calculations.
Results
Reading the results
“Run the calculation” shows the coverage ratio, the SCR, the MCR and the eligible own funds, then the tree of modules, with one column per ticked variant.
Click a row of the tree: the “Detail” block shows the formula written with the symbols of the text, the article, each component with its value and the parameter table read. Components are clickable, down to the data entered.
A reopened session is shown without results and is recalculated; downloading, uploading and deleting sessions: Sessions and token.
SCR tree
| Result | Formula | Article |
|---|---|---|
Solvency Capital Requirement SCR | BSCR + SCROperational + Adj | Dir. 103 |
Basic Solvency Capital Requirement BSCR | assumption(nBSCR ; "gross") | Dir. 103(a) |
Net Basic Solvency Capital Requirement (loss-absorbing capacity of future discretionary benefits) nBSCR | aggregate(Corr(i,j) ; keyed(module_bscr ; marche : SCRmarket ; defaut : SCRdefault ; vie : SCRlife ; sante : SCRhealth ; non_vie : SCRnon-life)) + SCRintangible | 206(2) |
Market risk module SCRmarket | if(SCRup > SCRdown ; SCRmarket(up) ; if(SCRup < SCRdown ; SCRmarket(down) ; if(PI1 = "highest requirement" ; max(SCRmarket(up) ; SCRmarket(down)) ; min(SCRmarket(up) ; SCRmarket(down))))) | 164(2) |
Counterparty default risk module SCRdefault | if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_default" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_default" ] ; SCRk0 [ module_89bis = "SCR_default" ] ÷ Volumek0 [ module_89bis = "SCR_default" ] × Volumekt [ module_89bis = "SCR_default" ]) ; sqrt(SCRdef,1 ^ 2 + 1,5 × SCRdef,1 × SCRdef,2 + SCRdef,2 ^ 2)) | 189(1), 89a |
Life underwriting risk module SCRlife | read(scope [ module_bscr = "vie" ] ; type of undertaking) × (if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_life" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_life" ] ; SCRk0 [ module_89bis = "SCR_life" ] ÷ Volumek0 [ module_89bis = "SCR_life" ] × Volumekt [ module_89bis = "SCR_life" ]) ; aggregate(Corr(i,j) ; keyed(sous_module_vie ; mortalite : SCRmortality ; longevite : SCRlongevity ; invalidite : SCRdisability-morbidity ; depenses : SCRexpenses ; revision : SCRchoc [ choc_vie = "revision" ] ; cessation : SCRlapse ; catastrophe : SCRlife-catastrophe)))) | 136, 89a, Dir. 105 |
Health underwriting risk module SCRhealth | if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_health" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_health" ] ; SCRk0 [ module_89bis = "SCR_health" ] ÷ Volumek0 [ module_89bis = "SCR_health" ] × Volumekt [ module_89bis = "SCR_health" ]) ; aggregate(CorrH(i,j) ; keyed(sous_module_sante ; non_slt : SCRNSLTh ; slt : SCRSLTh ; catastrophe : SCRhealthCAT))) | 144, 89a |
Non-life underwriting risk module SCRnon-life | read(scope [ module_bscr = "non_vie" ] ; type of undertaking) × (if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_non_life" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_non_life" ] ; SCRk0 [ module_89bis = "SCR_non_life" ] ÷ Volumek0 [ module_89bis = "SCR_non_life" ] × Volumekt [ module_89bis = "SCR_non_life" ]) ; aggregate(CorrNL(i,j) ; keyed(sous_module_nv ; primes_reserve : SCRnl prem res ; catastrophe : SCRnl CAT ; cessation : SCRnl lapse)))) | 114(2), 89a, Dir. 105 |
Intangible asset risk SCRintangible | if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_intangible" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_intangible" ] ; SCRk0 [ module_89bis = "SCR_intangible" ] ÷ Volumek0 [ module_89bis = "SCR_intangible" ] × Volumekt [ module_89bis = "SCR_intangible" ]) ; intangible factor × Vintangible) | 203, 89a |
Operational risk module SCROperational | min(cap as a share of the BSCR × BSCR ; Op) + unit-linked expense share × Expul | 204(1) |
Basic capital requirement for operational risk Op | max(Oppremiums ; Opprovisions) | 204(2) |
Operational risk based on earned premiums Oppremiums | life premium factor × (Earnlife − Earnlife-ul) + non-life premium factor × Earnnon-life + max(0 ; life premium factor × (Earnlife − growth threshold × pEarnlife − (Earnlife-ul − growth threshold × pEarnlife-ul))) + max(0 ; non-life premium factor × (Earnnon-life − growth threshold × pEarnnon-life)) | 204(3) |
Operational risk based on technical provisions Opprovisions | life provisions factor × max(0 ; (TPlife − TPlife-ul) × TP factor) + non-life provisions factor × max(0 ; TPnon-life × TP factor) | 204(4) |
Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes Adj | AdjTP + AdjDT | 205 |
Adjustment for the loss-absorbing capacity of technical provisions AdjTP | − max(min(BSCR − nBSCR ; FDB) ; 0) | 206(1) |
Adjustment for the loss-absorbing capacity of deferred taxes AdjDT | − ΔID | 207(1) |
MCR tree
| Result | Formula | Article |
|---|---|---|
Minimum Capital Requirement MCR | max(MCRcombined ; AMCR) | 248(1) |
Combined Minimum Capital Requirement MCRcombined | min(max(MCRlinear ; 25 % × SCR) ; 45 % × SCR) | 248(2) |
Absolute floor of the Minimum Capital Requirement AMCR | if(type of undertaking = "life" ; AMCRl ; if(type of undertaking = "non-life" ; AMCRnl ; if(type of undertaking = "reinsurance" ; AMCR reinsurance ; if(type of undertaking = "captive reinsurance" ; AMCR captive reinsurance ; if(premiums ≤ 10 % × premiums ; AMCRl ; if(premiums ≤ 10 % × premiums ; if(PI5 = "amount(d)(ii)" ; AMCRl ; AMCRnl) ; AMCRnl + AMCRl)))))) | 248(1), 253 |
Warnings
| Level | Message |
|---|---|
| alert | The SCR is not covered by the eligible own funds. |
| alert | Local currency BGN at a valuation date after the adoption of the euro by Bulgaria (01/01/2026): the currency shock is nil. Choose EUR (QS15). |
| alert | The SCR is covered only with the transitional measures: the undertaking informs the supervisory authority and submits a phasing-in plan (Directive, Article 308e). |
| warning | Article 105a not applicable: less than 80 % of bonds and loans have a credit assessment. Bonds “eligible under Article 105a” are treated as bonds without a credit assessment. |
| warning | Article 107a selected before its date of application (30/01/2027): not applied; Article 107 applies if it is ticked, otherwise the risk-mitigating effects entered. |
| warning | Article 89a selected before its date of application (30/01/2027): not applied; the modules are calculated with the standard formula. |
| warning | Simplified calculations of Articles 90, 103, 105 or 106 selected although the undertaking is not a captive meeting the conditions of Article 89 (QS04): they are not applied. |
| warning | Tier 1 is below the minimum share of the SCR (Article 82(1)). |
| warning | Type A co-reinsurance with full liability and no member entered: risk-sharing factor taken equal to 1; loss-given-default understated if the pool's solvency ratio is below 100 %. |
| warning | Undertaking-specific parameters: a chosen method does not have the minimum history (5 years; 5 development years for the triangle): the standard parameter is used for this segment. |
| warning | Undertaking-specific parameters: the gross standard deviation and the adjustment factor for non-proportional reinsurance are not replaced together for a segment (Article 218(1)): the standard factor is used. |
| info | Geographical diversification factor equal to 1 (QS21): premium and reserve risk and the catastrophe losses calculated on premiums are overstated for a portfolio spread over several regions. |
| info | Bonds are entered as “eligible under Article 105a” although this simplified calculation is not selected: they are treated as bonds without a credit assessment. |
| info | Symmetric adjustment for the valuation date not yet published by EIOPA: the calculation uses the last published value, SA at last SA publication. Another assumption can be entered in the market data. |
| info | Symmetric adjustment for the valuation date not yet published by EIOPA: the calculation uses your assumption, SA; last published value: SA at last SA publication. |
| info | Standard formula calculated on all its modules, with the simplified calculations of Articles 89a to 112b offered in the settings; Article 90b is applied when entering the data. |
| info | Undertaking-specific parameter for health revision risk: specific increase SUSP (instead of 4 %); the revision scenario loss recalculated with it replaces that of the standard calculation when it is entered. |
| info | Undertaking-specific parameter for life revision risk: specific increase SUSP (instead of 3 %); the revision scenario loss recalculated with it replaces that of the standard calculation when it is entered. |
Modules applied according to the type of undertaking
s2calc applies the formulas of the Delegated Regulation as they are written; the type of undertaking (setup) determines the modules calculated. The life underwriting risk module applies to life and composite undertakings, the non-life underwriting risk module to non-life and composite undertakings (Directive 2009/138/EC, Article 105(2) and (3): each reflects the risk of the obligations of its business). Reinsurance and captive reinsurance undertakings, whose type does not distinguish life from non-life, take both modules, like a composite undertaking. The market, counterparty default and health modules apply to all types; the health module only covers the health obligations declared in the setup. Within an applied module, a floor set by the text applies even without exposure (for example the minimum loss of the motor vehicle liability scenario, Article 129).