Reporting

[Note: Provision left blank]

1.

Firms and, where applicable, UK holding companies must submit information to the PRA quarterly using the following templates (as applicable):

1. (a) template IR.01.01.05 of Chapter 9, specifying the content of the submission, following the instructions set out in section IR.01.01 of Chapter 10;
2. (b) template IR.01.02.04 of Chapter 9, specifying basic information on the group and the content of the reporting in general, following the instructions set out in section IR.01.02 of Chapter 10;
3. (c) where, for the calculation of group solvency, the group uses method 1, either exclusively or in combination with method 2, template IR.02.01.02 of Chapter 9, specifying balance sheet information using the valuation in accordance with the valuation principles set out in the Valuation Part, following the instructions set out in section IR.02.01 of Chapter 10;
4. (d) IR.05.03.02 of Chapter 9, specifying information on life income and expenditure, following the instructions set out in section IR.05.03 of Chapter 10;
5. (e) IR.05.04.02 of Chapter 9, specifying information on non-life income and expenditure, following the instructions set out in section IR.05.04 of Chapter 10;
6. (f) subject to Article 27(1)(b), template IR.06.02.04 of Chapter 9, providing an item-by-item list of assets, following the instructions set out in section IR.06.02 of Chapter 10;
7. (g) subject to Article 27(1)(c)(i), where the ratio of collective investments held by the group to total investments is higher than 30%, template IR.06.03.01 of Chapter 9, providing information on the look-through of all collective investments held by the group, following the instructions set out in section IR.06.03 of Chapter 10;
8. (h) subject to Article 27(1)(e), template IR.08.01.04 of Chapter 9, providing an item-by-item list of open positions of derivatives, following the instructions set out in section R.08.01 of Chapter 10; and
9. (i) template IR.23.01.04 of Chapter 9, specifying information on own funds, following the instructions set out in section IR.23.01 of Chapter 10.

2.

For the purposes of point (g) of paragraph 1, where for the calculation of group solvency method 1 is used exclusively, the ratio of collective investments held by the group to total investments must be determined by the sum of items C0010/R0180, collective investment undertakings included in item C0010/R0220 and collective investment undertakings included in item C0010/R0090 of template IR.02.01.02, divided by the sum of items C0010/R0070 and C0010/R0220 of template IR.02.01.02. Where, for the calculation of group solvency, method 1 is used in combination with method 2, or method 2 is used exclusively, the ratio must be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template IR.06.02.04 of Chapter 9.

3.

Templates set out in point (f) and (g) of paragraph 1 must be submitted at Quarter 4 of the financial year only.

With regard to the information referred to in point (c) of Article 23(1), quarterly measurements may rely on estimates and estimation methods to a greater extent than measurements of annual financial data. The measurement procedures for the quarterly reporting must be designed to ensure that the resulting information is reliable and complies with the standards laid down in the laws of the United Kingdom and that all material information that is relevant for the understanding of the data is reported.

1.

Firms and, where applicable, UK holding companies must submit information to the PRA annually using the following templates (as applicable):

1. (a) template IR.01.01.04 of Chapter 9, specifying the content of the submission, following the instructions set out in section IR.01.01 of Chapter 10;
2. (b) template IR.01.02.04 of Chapter 9, specifying basic information on the group and the content of the reporting in general, following the instructions set out in section IR.01.02 of Chapter 10; and
3. (c) where, for the calculation of group solvency, the group uses method 1, either exclusively or in combination with method 2, template IR.01.03.04 of Chapter 9, specifying basic information on the ring-fenced funds and matching adjustment portfolios, following the instructions set out in section IR.01.03 of Chapter 10.

1.

Firms and, where applicable, UK holding companies must submit information to the PRA annually using the following templates (as applicable):

1. (a) template IR.02.01.01 of Chapter 9, specifying balance sheet information using both the valuation in accordance with the valuation principles set out in the Valuation Part and the valuation following the consolidated financial statements, following the instructions set out in section IR.02.01 of Chapter 10;
2. (b) template IR.02.02.01 of Chapter 9, specifying information on assets and liabilities by currency, following the instructions set out in section IR.02.02 of Chapter 10;
3. (c) where any of the following conditions apply, template IR.03.01.04 of Chapter 9, specifying general information on off-balance sheet items, following the instructions set out in section IR.03.01 of Chapter 10:
   1. (i) the amount of either of the following values is higher than 2% of total assets as set out in template IR.02.01.01 of Chapter 9:
      1. (C0020/R0010) Value of guarantee/collateral/contingent liabilities - Guarantees provided by undertakings within the group, including letters of credit plus (C0020/R0300) Value of guarantee/collateral/contingent liabilities - Total collateral pledged plus (C0010/R0400) Maximum value - Total Contingent liabilities;
      2. (C0020/R0030) Value of guarantee/collateral/contingent liabilities - Guarantees received by undertakings within the group, including letters of credit plus (C0020/R0200) Value of guarantee/collateral/contingent liabilities - Total collateral held; or
   2. (ii) any undertaking within the group has provided or received an unlimited guarantee;
4. (d) template IR.03.02.04 of Chapter 9, providing a list of off-balance sheet unlimited guarantees received, following the instructions set out in section IR.03.02 of Chapter 10;
5. (e) template IR.03.03.04 of Chapter 9, providing a list of off-balance sheet unlimited guarantees provided, following the instructions set out in section IR.03.03 of Chapter 10;
6. (f) template IR.05.02.01 of Chapter 9, specifying information on premiums, claims and expenses by country applying the valuation and recognition principles used in the consolidated financial statements, following the instructions set out in section IR.05.02 of Chapter 10;
7. (g) template IR.05.03.02 of Chapter 9, specifying information on life income and expenditure, following the instructions set out in section IR.05.03 of Chapter 10; and
8. (h) template IR.05.04.02 of Chapter 9, specifying information on non-life income and expenditure, following the instructions set out in section IR.05.04 of Chapter 10.

2.

The templates referred to in points (a) and (b) of paragraph 1 must only be submitted by firms and, where applicable, UK holding companies which, for the calculation of group solvency, use method 1, either exclusively or in combination with method 2.

1.

Firms and, where applicable, UK holding companies must submit information to the PRA annually using the following templates (as applicable):

1. (a) [Note: Provision left blank];
2. (b) where the group is exempted from reporting template IR.06.02.04 in relation to the last quarter of the group’s financial year in accordance with a direction given by the PRA under section 138A of FSMA, template IR.06.02.04 of Chapter 9, providing an item-by-item list of assets, following the instructions set out in section IR.06.02 of Chapter 10;
3. (c) where the group:
   1. (i) is exempted from reporting template IR.06.03.01 of Chapter 9 in relation to the last quarter of the group’s financial year in accordance with a direction given by the PRA under section 138A of FSMA; or
   2. (ii) has not reported it quarterly because the ratio of collective investments held by the group to total investments (as referred to in Article 23(1)(g) of this Chapter) is not  higher than 30%,
4. template IR.06.03.01 of Chapter 9, providing information on the look-through of all collective investments held by the group, following the instructions set out in section IR.06.03 of Chapter 10;
5. (d) [Note: Provision left blank];
6. (e) where the group is exempted from reporting template IR.08.01.04 in relation to the last quarter of the group’s financial year in accordance with a direction given by the PRA under section 138A of FSMA, template IR.08.01.04 of Chapter 9, providing an item-by-item list of open positions of derivatives, following the instructions set out in section IR.08.01 of Chapter 10;
7. (f) [Note: Provision left blank];
8. (g) template IR.09.01.04 of Chapter 9, specifying information on income, gains and losses in the reporting period by asset category, following the instructions set out in section IR.09.01 of Chapter 10;
9. (h) where the ratio of the value of underlying securities, on and off-balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, to the total investments is higher than 5%, template IR.10.01.04 of Chapter 9, providing an item-by-item list of securities lending and repurchase agreements on and off-balance sheet, following the instructions set out in section IR.10.01 of Chapter 10; and
10. (i) where the ratio of the value of assets held as collateral to total balance sheet as reported in items C0010/R0500 of template IR.02.01.01 exceeds 10%, template IR.11.01.04 of Chapter 9, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral, following the instructions set out in section IR.11.01 of Chapter 10.

2.

[Note: Provision left blank]

3.

For the purposes of point (h) of paragraph 1:

1. (a) where for the calculation of group solvency method 1 is used exclusively, the ratio must be determined by the sum of the underlying securities, on and off-balance sheet, involved in lending or repurchase agreements, for contracts with maturity dates falling after the reporting reference date, divided by the sum of items C0010/R0070 and C0010/R0220 of template IR.02.01.01 of Chapter 9; and
2. (b) where, for the calculation of group solvency, method 1 is used in combination with method 2, or method 2 is used exclusively, the ratio must be calculated in accordance with the first sentence and adjusted in order to capture the required items of all entities included in the scope of template IR.06.02.04 of Chapter 9.

[Note: Provision left blank]

Firms and, where applicable, UK holding companies must submit information to the PRA annually using template IR.22.01.04 of Chapter 9 specifying information on the impact of the long term guarantees and transitional measures, following the instructions set out in section IR.22.01 of Chapter 10.

1.

Firms and, where applicable, UK holding companies must submit information to the PRA annually using the following templates (as applicable):

1. (a) template IR.23.01.04 of Chapter 9, specifying information on own funds, following the instructions set out in section IR.23.01 of Chapter 10;
2. (b) template IR.23.02.04 of Chapter 9, providing detailed information on own funds by tiers, following the instructions set out in section IR.23.02 of Chapter 10;
3. (c) template IR.23.03.04 of Chapter 9, specifying information on annual movements on own funds, following the instructions set out in section IR.23.03 of Chapter 10; and
4. (d) template IR.23.04.04 of Chapter 9, providing a list of items on own funds, following the instructions set out in section IR.23.04 of Chapter 10.

2.

The templates referred to in points (b) and (c) of paragraph 1 must only be submitted by firms and, where applicable, UK holding companies which, for the calculation of group solvency, use method 1, either exclusively or in combination with method 2.

1.

Firms and, where applicable, UK holding companies which for the calculation of group solvency use method 1, either exclusively or in combination with method 2, must submit information to the PRA annually using the following templates (as applicable):

1. (a) template IR.25.04.04 of Chapter 9, specifying information in relation to the calculation of the group SCR, following the instructions set out in section IR.25.04 of Chapter 10; and
2. (b) where the group uses one or more internal models or a partial internal model for the calculation of the group SCR, template IR.25.05.01 of Chapter 9, specifying information in relation to the calculation of the group SCR, following the instructions set out in section IR.25.05 of Chapter 10.

1.

Firms and, where applicable, UK holding companies must submit information to the PRA annually using the following templates (as applicable):

1. (a) template IR.31.01.04 of Chapter 9, specifying information on outwards reinsurance balance sheet exposures, following the instructions set out in section IR.31.01 of Chapter 10; and
2. (b) [Note: Provision left blank];
3. (c) template IR.30.05.01 of Chapter 9, specifying reinsurer and collateral provider entity information, following the instructions set out in section IR.30.05 of Chapter 10.

1.

Firms and, where applicable, UK holding companies must submit information to the PRA annually using the following templates (as applicable):

1. (a) template IR.32.01.04 of Chapter 9, specifying information on the insurance undertakings and reinsurance undertakings in the scope of the group, following the instructions set out in section IR.32.01 of Chapter 10;
2. (b) template IR.33.01.04 of Chapter 9, specifying information on requirements of insurance undertakings and reinsurance undertakings in the scope of the group, following the instructions set out in section IR.33.01 of Chapter 10;
3. (c) template IR.34.01.04 of Chapter 9, specifying information on financial undertakings other than insurance undertakings and reinsurance undertakings, and on non-regulated undertakings carrying out financial activities, following the instructions set out in section IR.34.01 of Chapter 10;
4. (d) for groups with any third country insurance undertakings or third country reinsurance undertakings, template IR.35.01.04 of Chapter 9, specifying information on technical provisions (or equivalent) of the third country insurance undertakings and third country reinsurance undertakings within the group, following the instructions set out in section IR.35.01 of Chapter 10;
5. (e) template IR.36.01.01 of Chapter 9, specifying information on significant intra-group transactions involving equity-type transactions, debt and asset transfer, following the instructions set out in section IR.36.01 of Chapter 10;
6. (f) template IR.36.02.01 of Chapter 9, specifying information on significant intra-group transactions on derivatives, including the guarantees supporting any derivatives instruments, following the instructions set out in section IR.36.02 of Chapter 10;
7. (g) [Note: Provision left blank]; and
8. (h) template IR.36.04.01 of Chapter 9, specifying information on significant intra-group transactions on internal cost sharing, contingent liabilities (other than derivatives) and off-balance sheet items and other types of intra-group transactions, following the instructions set out in section IR.36.04 of Chapter 10.

1.

In this Article 34, an ‘unsupported ring-fenced fund’ is a ring-fenced fund whose notional SCR is entirely covered by assets allocated to that fund and a ‘supported ring-fenced fund’ is a ring-fenced fund whose notional SCR is not entirely covered by assets allocated to that fund.

2.

Firms and, where applicable, UK holding companies which for the calculation of group solvency use method 1, either exclusively or in combination with method 2, must submit to the PRA annually information in relation to unsupported ring-fenced funds and the remaining part (including any embedded matching adjustment portfolios and supported ring-fenced funds), taking into account only those risks in scope of the method 1 calculation and using the following templates:

1. (a) template IRR.01.01.04 of Chapter 9, specifying the content of the submission, following the instructions set out in section IR.01.01 of Chapter 10;
2. (b) template IRR.02.01.01 of Chapter 9, to be submitted separately for each of the following (as applicable):
   1. (i) the balance sheet information for all unsupported ring-fenced funds in the group (including any embedded matching adjustment portfolios); and
   2. (ii) the balance sheet information for the remaining part (including any embedded matching adjustment portfolios and supported ring-fenced funds),
   3. using both the valuation in accordance with the valuation principles set out in the Valuation Part and the valuation following the consolidated financial statements, and following the instructions set out in section IR.02.01 of Chapter 10; and
3. (c) template IRR.25.04.01 of Chapter 9, to be submitted separately for each of the following (as applicable):
   1. (i) the notional SCR calculation covering all unsupported ring-fenced funds in the group (including any embedded matching adjustment portfolios); and
   2. (ii) the notional SCR calculation covering the remaining part (including any embedded matching adjustment portfolios and supported ring-fenced funds);
   3. following the instructions set out in section IR.25.04 of Chapter 10.

Firms and, where applicable, UK holding companies reporting information on a group which includes more than one firm using an internal model must submit to the PRA annually template AoC.01 setting out the analysis of change referred to in Solvency Capital Requirement – Internal Models 13A, including both quantitative information and a supporting qualitative analysis, in accordance with the instructions set out in section AoC.01 of Chapter 10.

1.

Firms and, where applicable, UK holding companies must report to the PRA significant and very significant intra-group transactions referred to in Group Supervision 16.2(1) and (2) using, as appropriate, templates IR.36.01.01, IR.36.02.01 and IR.36.04.01 of Chapter 9, following the instructions set out in section IR.36.01 to IR.36.04 of Chapter 10.

3.1

A firm must disclose publicly, on an annual basis, a SFCR.

[Note: Art. 51(1) of the Solvency II Directive]

3.2

The information which a firm discloses in its SFCR must:

1. (1) follow the structure set out in in Article 1A of Chapter 3A;
2. (2) include the information referred to in 3.3 to 3.7C and 3.10; and
3. (3) include the information required in 2.3 and must comply with the principles in 2.4.

[Note: Art. 51(1) of the Solvency II Directive and the Solvency II Regulations]

3.3

A firm’s SFCR must contain the following information, either in full or by way of reference to equivalent information, both in nature and scope, disclosed publicly under other legal or regulatory requirements:

1. (1) a description of the business and performance of the firm;
2. (2) a description of the system of governance of the firm and an assessment of its adequacy for the risk profile of the firm;
3. (3) a description of the risk exposure, risk concentration, risk mitigation and risk sensitivity separately for each category of risk of the firm;
4. (4) a description, separately for assets, technical provisions and other liabilities, of the bases and methods used for their valuation, together with an explanation of any major differences in the bases and methods used for the valuation of those assets, technical provisions and other liabilities in financial statements of the firm; and
5. (5) a description of the capital management of the firm, including at least the following:
   1. (a) the structure, amount and quality of own funds of the firm, together with the information specified in 3.5;
   2. (b) the amount of the MCR and SCR of the firm, together with the information specified in 3.6;
   3. (c) information showing and explaining the main differences between the underlying assumptions of the standard formula and the underlying assumptions of any internal model for which the firm has received internal model permission; and
   4. (d) the amount of any non-compliance with the MCR or any significant non-compliance with the SCR during the reporting period, even if subsequently resolved, with an explanation of the origin of that non-compliance and its consequences, as well as any remedial measures taken in respect of that non-compliance; and
6. (6) a clear and concise summary understandable to policyholders. The summary of the report shall highlight any material changes to the matters described in 3.3(1), (2), (4), and (5) over the reporting period.

[Note: Art. 51(1)(a)–(e) of the Solvency II Directive]

3.3A

For the purposes of 3.3(1) the SFCR must include the following information regarding the business and performance of the firm:

1. (1) the firm’s name and legal form;
2. (2) the PRA’s contact details, and where applicable, the name and contact details of the group supervisor of the group to which the firm belongs;
3. (3) the name and contact details of the external auditor of the firm;
4. (4) a description of any controller of the firm;
5. (5) where the firm belongs to a group, details of the firm’s position within the legal structure of the group;
6. (6) the firm’s material lines of business and material geographical areas where it carries out business;
7. (7) any significant business or other events that have occurred over the reporting period that have had a material impact on the firm;
8. (8) qualitative and quantitative information on the firm’s underwriting performance:
   1. (a) at an aggregate level and by material line of business and material geographical areas where it carries out business over the reporting period; and
   2. (b) together with a comparison of the information with that reported on the previous reporting period, as shown in the firm’s financial statements;
9. (9) qualitative and quantitative information regarding the performance of the investments of the firm over the reporting period together with a comparison of the information with that reported on the previous reporting period, as shown in that firm’s financial statements:
   1. (a) information on income and expenses arising from investments by asset class and, where necessary for a proper understanding of the income and expenses, the components of such income and expenses;
   2. (b) information about any gains and losses recognised directly in equity; and
   3. (c) information about any investments in securitisation;
10. (10) a description of other material income and expenses of the firm incurred over the reporting period together with a comparison of the information with that reported on the previous reporting period, as shown in that firm’s financial statements; and
11. (11) a separate section on any other material information regarding the business and performance of the firm.

3.3B

For the purposes of 3.3(2), the SFCR must include the following:

1. (1) information regarding the system of governance of the firm:
   1. (a) the structure of the firm’s management body and governing body, providing a description of their main roles and responsibilities and a brief description of the segregation of responsibilities within these bodies, in particular whether relevant committees exist within them, as well as a description of the main roles and responsibilities of key functions;
   2. (b) any material changes in the system of governance that have taken place over the reporting period;
   3. (c) information on the remuneration policy and practices regarding the management body and governing body, and, unless otherwise stated, employees, including:
      1. (i) principles of the remuneration policy, with an explanation of the relative importance of the fixed and variable components of remuneration;
      2. (ii) information on the individual and collective performance criteria on which any entitlement to share options, shares or variable components of remuneration is based; and
      3. (iii) a description of the main characteristics of supplementary pension or early retirement schemes for the members of the management body and governing body and other key function holders;
   4. (d) information about material transactions during the reporting period with shareholders, with persons who exercise a significant influence on the firm, and with members of the management body and governing body;
2. (2) information regarding the fitness and propriety of persons who perform key functions or certification functions for the firm:
   1. (a) a description of the firm’s specific requirements concerning skills, knowledge and expertise applicable to the persons who effectively run the firm or have other key functions; and
   2. (b) a description of the firm’s process for assessing the fitness and the propriety of the persons who effectively run the firm or have other key functions;
3. (3) information regarding the risk management system of the firm:
   1. (a) a description of the firm’s risk management system comprising strategies, processes and reporting procedures, and how it is able to effectively identify, measure, monitor, manage and report, on a continuous basis, the risks on an individual and aggregated level, to which the firm is or could be exposed; and
   2. (b) a description of how the risk management system, including the risk management function, are implemented and integrated into the organisational structure and decision-making processes of the firm;
4. (4) information regarding the process the firm has adopted to fulfil its obligation to conduct an ORSA:
   1. (a) a description of the process undertaken by the firm to fulfil its obligation to conduct an ORSA as part of its risk management system including how the ORSA is integrated into the organisational structure and decision-making processes of the firm;
   2. (b) a statement detailing how often the ORSA is reviewed and approved by the firm’s  governing body; and
   3. (c) a statement explaining how the firm has determined its own solvency needs given its risk profile and how its capital management activities and its risk management system interact with each other;
5. (5) information regarding the internal controls of the firm:
   1. (a) a description of the firm’s internal controls; and
   2. (b) a description of how the compliance function is implemented;
6. (6) information regarding the internal audit function of the firm:
   1. (a) a description of how the firm’s internal audit function is implemented; and
   2. (b) a description of how the firm’s internal audit function maintains its independence and objectivity from the activities it reviews;
7. (7) a description of how the actuarial function of the firm is implemented;
8. (8) a description of the outsourcing policy of the firm, the firm’s outsourcing of any critical or important operational functions or activities, and the jurisdiction in which the service providers of such functions or activities are located;
9. (9) an assessment of the adequacy of the system of governance of the firm to the nature, scale and complexity of the risks inherent in its business; and
10. (10) any other material information, in a separate section, regarding the system of governance of the firm.

3.3C

For the purposes of 3.3(2), in respect of a firm’s risk profile, and 3.3(3), the SFCR must include the following:

1. (1) Qualitative and quantitative information regarding the risk profile of the firm, in accordance with 3.3C(2) to 3.3C(7), separately for the following categories of risk:
   1. (a) underwriting risk;
   2. (b) market risk;
   3. (c) credit risk;
   4. (d) liquidity risk;
   5. (e) operational risk;
   6. (f) other material risks;
2. (2) Information regarding the risk exposure of the firm, including the exposure arising from off-balance sheet positions and the transfer of risk to special purpose vehicles:
   1. (a) a description of the measures used to assess these risks within the firm, including any material changes over the reporting period;
   2. (b) a description of the material risks that the firm is exposed to, including any material changes over the reporting period; and
   3. (c) a description of how assets have been invested in accordance with Investments 2 to 6  so that the risks mentioned in that Part, and their proper management, are addressed in that description;
3. (3) A description of the material risk concentrations to which the firm is exposed;
4. (4) A description of the techniques used for mitigating risks, and the processes for monitoring the continued effectiveness of these risk-mitigation techniques.
5. (5) With regard to risk sensitivity, a description of the methods used, the assumptions made and the outcome of stress testing and sensitivity analysis for material risks and events.
6. (6) Any other material information, in a separate section, regarding their risk profile of the firm.

3.4

For the purposes of 3.3(4), where a firm applies:

1. (1) a matching adjustment in accordance with the Matching Adjustment Part, the firm must include in the description:
1. (a) a description of the matching adjustment and of the relevant portfolio of insurance and reinsurance obligations and relevant portfolio of assets to which the matching adjustment is applied;
2. (b) a quantification of the impact of a change to zero of the matching adjustment on the firm’s financial position including on the amount of its technical provisions, the SCR, the MCR, basic own funds and eligible own funds to cover the MCR and the SCR; and
3. (c) the disclosure in respect of the firm’s attestation required by Chapter 11 of the Matching Adjustment Part.
2. (2) a volatility adjustment in accordance with Technical Provisions 8, the firm must include in the description:
1. (a) a statement on whether the volatility adjustment referred to in Technical Provisions 8 is used by the firm;
2. (b) quantification of the impact of a change to zero of the volatility adjustment on the firm’s financial position, including on the amount of its technical provisions, the SCR, the MCR, basic own funds and eligible own funds to cover the MCR and the SCR.

[Note: Art. 51(1a) of the Solvency II Directive and the Solvency II Regulations]

3.4A

For the purposes of 3.3(4), the SFCR must include the following:

1. (1) information regarding the valuation of the assets of the firm for solvency purposes:
   1. (a) separately for each material class of assets, the value of the assets, as well as a description of the bases, methods and main assumptions used for valuation for solvency purposes; and
   2. (b) separately for each material class of assets, a quantitative and qualitative explanation of any material differences between the bases, methods and main assumptions used by the firm for the valuation for solvency purposes and those used for its valuation in financial statements;
2. (2) information regarding the valuation of the technical provisions of the firm for solvency purposes:
   1. (a) separately for each material line of business, the value of technical provisions, including the amount of the best estimate and the risk margin, as well as a description of the bases, methods and main assumptions used for its valuation for solvency purposes;
   2. (b) a description of the level of uncertainty associated with the value of technical provisions;
   3. (c) separately for each material line of business, a quantitative and qualitative explanation of any material differences between the bases, methods and main assumptions used by the firm for the valuation for solvency purposes, and those used for their valuation in financial statements;
   4. (d) a statement on:
      1. (i) whether the relevant risk-free interest rate-term structure is applied and a quantification of the impact of not applying the risk-free interest rate transitional measure on the firm’s financial position, including on the amount of technical provisions, the SCR, the MCR, the basic own funds and the amounts of eligible own funds to cover the MCR and the SCR; or
      2. (ii) whether TMTP is applied and a quantification of the impact of not applying TMTP  on the firm’s financial position, including on the amount of technical provisions, the SCR, MCR, the basic own funds and the amounts of eligible own funds to cover the MCR and the SCR;
   5. (e) a description of the following:
      1. (i) the recoverables from reinsurance contracts and special purpose vehicles; and
      2. (ii) any material changes in the relevant assumptions made in the calculation of technical provisions compared to the previous reporting period.
3. (3) information regarding the valuation of the other liabilities of the firm for solvency purposes:
   1. (a) separately for each material class of other liabilities the value of other liabilities as well as a description of the bases, methods and main assumptions used for their valuation for solvency purposes; and
   2. (b) separately for each material class of other liabilities, a quantitative and qualitative explanation of any material differences with the valuation bases, methods and main assumptions used by the firm for the valuation for solvency purposes and those used for their valuation in financial statements.
4. (4) information on the areas set out in Conditions Governing Business 11A in complying with the disclosure requirements of the firm as laid down in 3.4A(1) and 3.4A(3).
5. (5) any other material information, in a separate section, regarding the valuation of assets and liabilities for solvency purposes.

3.5

In addition to the requirements of 3.5A below, the disclosure required by 3.3(5)(a) must include the following:

1. (1) an analysis of any significant change in the structure, amount and quality of own funds of the firm as compared to the previous reporting period of the firm;
2. (2) an explanation of any major differences in relation to the value of elements of own funds items in the financial statements of the firm; and
3. (3) a brief description of the capital transferability of the own funds of the firm.

[Note: Art. 51(2) of the Solvency II Directive]

3.5A

For the purposes of 3.3(5)(a), the SFCR must include the following information regarding the own funds of the firm:

1. (1) information on the objectives, policies and processes employed by the firm for managing its own funds, including information on the time horizon used for business planning and on any material changes over the reporting period;
2. (2) separately for each tier, information on the structure, amount and quality of own funds at the end of the reporting period and at the end of the previous reporting period, including an analysis of the significant changes in each tier over the reporting period;
3. (3) the eligible own funds to cover the SCR, classified by tiers in accordance with Own Funds 3;
4. (4) the eligible own funds to cover the MCR, classified by tiers in accordance with Own Funds 3;
5. (5) a quantitative and qualitative explanation of any material differences between equity share capital as shown in the firm’s financial statements and the excess of assets over liabilities as calculated for solvency purposes;
6. (6) for each basic own fund item that is subject to the transitional arrangements referred to in Transitional Measures 4.1 and 4.2, a description of the nature of the item and its amount
7. (7) for each material item of ancillary own funds, a description of the item, the amount of the ancillary own fund item and, where a method by which to determine the amount of the ancillary own fund item has been permitted in accordance with the firm’s ancillary own fund permission, that method as well as the nature and the names of the counterparty or group of counterparties for the items referred to in Own Funds 2.3(1) to (4);
8. (8) a description of any item deducted from own funds and a brief description of any significant restriction affecting the availability and transferability of own funds within the firm;
9. (9) information regarding deferred taxes that shall contain as a minimum all of the following:
   1. (a) a description of the calculated amount of deferred tax assets without assessing their probable utilisation, and the extent to which those deferred tax assets have been recognised;
   2. (b) for deferred tax assets which have been recognised, a description of the assets likely to be utilised by reference to probable future taxable profit and by reference to the reversion of deferred tax liabilities relating to income taxes levied by the same taxation authority;
   3. (c) with regard to net deferred taxes assets calculated as the difference between the amount of deferred tax assets which has been recognised and the amount of deferred tax liabilities, all of the following information:
      1. (i) confirmation that those net deferred tax assets are available as items of basic own funds classified as Tier 3 in accordance with Own Funds 3F.1(1)(c);
      2. (ii) a description of the amount of those net deferred tax assets that are recognised as eligible own funds, applying the eligibility limits set out in Own Funds 4 and 4A; and
      3. (iii) where the amount of deferred tax assets is material, a description of the underlying assumptions used for the projection of probable future taxable profit for the purposes of Valuation 11.

3.5B

For the purposes of 3.5A(7), the names of the counterparties shall not be disclosed where such disclosure is legally not possible or impracticable or where the counterparties concerned are not material.

3.6

1. (1) the amount of the SCR calculated by the firm using the standard formula or, where the firm has received internal model permission, the amount of the SCR calculated using its internal model and, where applicable in the case of a partial internal model, the standard formula;
2. (2) except for any capital add-on imposed because of an internal model residual deviation, the amount of any capital add-on imposed upon the firm by the PRA together with concise information on the justification given by the PRA for its imposition; and
3. (3) the impact of any undertaking specific parameters the firm is required to use in calculating the standard formula by the PRA together with concise information on the justification given by the PRA for requiring the use of those undertaking specific parameters.

[Note: Art. 51(2) of the Solvency II Directive]

3.6A

For the purposes of the disclosure required by 3.3(5)(b), the disclosure of the amount of the SCR calculated using the firm’s internal model under 3.6(1) and of the SCR split by risk categories under 3.6B(2) may include any capital add-on imposed because of an internal model residual deviation.

3.6B

For the purposes of 3.3(5)(b), the SFCR must include the following information regarding the SCR and the MCR of the firm:

1. (1) the amounts of the firm’s SCR and the MCR at the end of the reporting period;
2. (2) the amount of the firm’s SCR split by risk modules where the firm applies the standard formula, and by risk categories where the firm applies an internal model;
3. (3) information on whether and for which risk modules and sub-modules of the standard formula that firm is using simplified calculations;
4. (4) where the firm has been granted a USP Permission, information on whether and for which standard parameters of the standard formula the firm is using undertaking specific parameters;
5. (5) information on the inputs used by the firm to calculate the MCR;
6. (6) any material change to the SCR and to the MCR over the reporting period, and the reasons for any such change; and
7. (7) information regarding the loss-absorbing capacity of deferred taxes, that shall contain the amount with which the SCR has been adjusted for the loss-absorbing capacity of deferred taxes, and a description of the deferred tax liabilities, carry-back and probable future taxable profit used to demonstrate likely utilisation.

3.7

The disclosure of the SCR required by 3.3(5)(b) must be accompanied, where applicable, with a statement indicating that the final amount of the SCR is subject to supervisory assessment.

[Note: Art. 51(2) of the Solvency II Directive]

3.7A

In addition to the disclosure required by 3.3(5)(c), where an internal model is used to calculate the SCR, the SFCR shall also include the following information:

1. (1) a description of the various purposes for which the firm is using its internal model;
2. (2) a description of the scope of the internal model in terms of business units and risk categories;
3. (3) where a partial internal model is used, a description of the technique which has been used to integrate any partial internal model into the standard formula including, where relevant, a description of alternative techniques used;
4. (4) a description of the methods used in the internal model for the calculation of the probability distribution forecast and the SCR;
5. (5) an explanation, by risk module, of the main differences in the methodologies and underlying assumptions used in the standard formula and in the internal model;
6. (6) the risk measure and time period used in the internal model, and where they are not the same as those set out in Solvency Capital Requirement – General Provisions 3.3, an explanation of how the SCR calculated using the internal model provides policyholders and beneficiaries with a level of protection equivalent to that set out in Solvency Capital Requirement – General Provisions 3; and
7. (7) a description of the nature and appropriateness of the data used in the internal model.

3.7B

In addition to the disclosure required by 3.3(5)(d), the SFCR shall include the following information regarding any non-compliance with the MCR or significant non-compliance with the SCR of the firm:

1. (1) where non-compliance with the firm’s MCR has not been subsequently resolved: the amount of the non-compliance at the reporting date; and
2. (2) where a significant non-compliance with the firm’s SCR has not been subsequently resolved: the amount of the non-compliance at the reporting date.

3.7C

The SFCR shall include any other material information, in a separate section, regarding the capital management of the firm.

3.8

Where a firm, in its SFCR, makes use of, or refers to, public disclosures made by the firm under other legal or regulatory requirements, those disclosures must be equivalent to the information required to be disclosed under 3.3 to 3.7, in both their nature and scope.

[Note: Art. 53(3) of the Solvency II Directive]

3.9

As soon as the SFCR, as well as any updated version of that report, is disclosed by a firm it shall be submitted to the PRA.

3.10

Where a firm discloses publicly, any information or explanation related to their solvency and financial condition whose public disclosure is not required in accordance with this Rulebook, the firm shall ensure that such additional information is consistent with any information provided to the PRA pursuant to 2.1 to 2.5.

4.1

Where a firm is granted a waiver by the PRA permitting the firm not to disclose information otherwise required to be disclosed pursuant to 3.3(1) to (4) and 3.4 in its SFCR, the firm must make a statement to this effect in its SFCR and state whether the non-disclosure is permitted because:

1. (1) the disclosure of that information would enable competitors of the firm to gain a significant, undue advantage; or
2. (2) the firm has obligations to policyholders or other counterparty relationships which bind the firm to secrecy or confidentiality.

[Note: Art. 53(1) and Art. 53(2) of the Solvency II Directive]

4.2

A firm shall notify the PRA as soon as the reason for any non-disclosure, which is the subject of a waiver, as provided for in 4.1, ceases to exist.

5.1

In the event of any major development affecting significantly the relevance of the information disclosed in accordance with:

1. (1) 3.3 to 3.8;
2. (1a) Group Supervision 18; or
3. (2) 4.1;

a firm must disclose publicly appropriate information on the nature and effects of that major development.

[Note: Art. 54(1) of the Solvency II Directive]

5.1A

Where the circumstances described in 5.1 arise, a firm must publish an updated version of their SFCR in accordance with 5.1B. Reporting 3.2 to 3.7C, 3.10, and, where applicable, Articles 7A to 7C, 7F(1) to (2) of Chapter 3A, shall apply to that updated version.

5.1B

Without prejudice to any disclosure which must be immediately provided by a firm in accordance with the requirements of 5.1, 5.2 to 5.5, any updated version of the SFCR must be disclosed as soon as possible after the major development referred to in 5.1A, in accordance with the provisions set out in Article 3B of Chapter 3A.

5.1C

Notwithstanding 5.1A and 5.1B, a firm may decide, for the purposes of Article 3B(5) of Chapter 3A, to disclose appropriate information on the nature and effects of any major development significantly affecting the relevance of their SFCR in the form of amendments supplementing the initial report.

5.2

Without limiting the general application of 5.1, for the purposes of that rule the following will be regarded as a major development:

1. (1) non-compliance with the MCR by the firm and either the PRA considers that the firm will not be able to submit, or the PRA does not receive within one month of the date of observation by the firm of non-compliance with the MCR, a finance scheme in accordance with Undertakings in Difficulty 4.1; and
2. (2) significant non-compliance with the SCR by the firm and the PRA does not receive, within two months from the date when non-compliance with the SCR was first observed by the firm, a recovery plan as required by Undertakings in Difficulty 3.1(2).

[Note: Art. 54(1) of the Solvency II Directive]

5.3

Where the circumstances described in 5.2(1) or 5.2(2) arise, the firm must immediately publicly disclose the amount of non-compliance with the MCR or SCR as the case may be, together with an explanation of the origin and consequences of that non-compliance, and a description of any remedial measures taken.

[Note: Art. 54(1) of the Solvency II Directive]

5.4

Where compliance with the MCR has not been restored by a firm within three months after the first observation of non-compliance by the firm, then the firm must publicly disclose at the end of that three-month period the non-compliance with the MCR, together with an explanation of the origin and consequences of that non-compliance, a description of any remedial measures taken and of any further remedial measures planned.

[Note: Art. 54(1) of the Solvency II Directive]

5.5

Where compliance with the SCR has not been restored by a firm within six months after the first observation of non-compliance by the firm, then the firm must publicly disclose at the end of that six-month period the non-compliance with the SCR, together with an explanation of the origin and consequences of that non-compliance, a description of any remedial measures taken and of any further remedial measures planned.

[Note: Art. 54(1) of the Solvency II Directive]

6.1

A firm must have in place:

1. (1) appropriate systems and structures to fulfil the requirements of 3 to 5; and
2. (2) a written policy ensuring the ongoing appropriateness of any information disclosed:
1. (a) in accordance with the requirements referred to in (1); and
2. (b) on a voluntary basis as further information or explanation related to the SFCR which is not already required to be disclosed.

[Note: Art. 55(1) of the Solvency II Directive]

6.2

A firm must ensure that its SFCR is:

1. (1) subject to approval by its governing body; and
2. (2) not publicly disclosed until the approval referred to in (1) is received.

[Note: Art. 55(2) of the Solvency II Directive]

7.1

A managing agent must, as promptly as possible, submit any information to the Society that is necessary for the Society to comply with its obligations in this Part.

7.2

The information in 7.1 must be submitted in the form that the Society requires.

7.3

The Society must provide to the PRA in electronic format the Lloyd’s templates it receives from each managing agent on behalf of each respective syndicate that the managing agent manages at the same time it submits its templates required by paragraph 6 of Article 21A of Chapter 2A.

8.0

[Deleted]

8.1

[Deleted]

8.2

[Deleted]

8.3

[Deleted]

8.4

[Deleted]

8.5

[Deleted]

8.6

[Deleted]

8.7

[Deleted]

8.8

[Deleted]

8.9

[Deleted]

8.10

[Deleted]

8.11

[Deleted]

8.12

[Deleted]

8.13

[Deleted]

9.1

The following IR.01.01 templates can be found here:

1. (a) template IR.01.01.01, specifying the content of the submission;
2. (b) template IR.01.01.02, specifying the content of the submission;
3. (c) template IR.01.01.04, specifying the content of the submission;
4. (d) template IR.01.01.05, specifying the content of the submission;
5. (e) template IR.01.01.07, specifying the content of the submission;
6. (f) template IR.01.01.08, specifying the content of the submission;
7. (g) template IRR.01.01.01, specifying the content of the submission;
8. (h) template IRR.01.01.04, specifying the content of the submission; and
9. (i) template IRR.01.01.07, specifying the content of the submission.

9.2

The following IR.01.02 templates can be found here:

1. (a) template IR.01.02.01, specifying basic information on the firm and the content of reporting in general;
2. (b) template IR.01.02.04, specifying basic information on the group and the content of the reporting in general; and
3. (c) template IR.01.02.07, specifying basic information on the third country branch and the content of the reporting in general.
   

9.3

The following IR.01.03 templates can be found here:

1. (a) template IR.01.03.01, specifying basic information on ring-fenced funds and matching adjustment portfolios; and
2. (b) template IR.01.03.04, specifying basic information on ring-fenced funds and matching adjustment portfolios.

9.4

The following IR.01.04 templates can be found here:

1. (a) template IR.01.04.07, specifying information regarding the financial position, including solvency, of the third country branch undertaking.

9.5

The following IR.02.01 templates can be found here:

1. (a) template IR.02.01.01, specifying balance sheet information using both the valuation in accordance with the valuation principles set out in the Valuation Part and the valuation following the firm's financial statements (or the consolidated financial statements, as applicable);
2. (b) template IR.02.01.02, specifying balance sheet information using the valuation in accordance with the valuation principles set out in the Valuation Part;
3. (c) template IR.02.01.07, specifying balance sheet information using the valuation in accordance with the valuation principles set out in the Valuation Part and the valuation according to the branch management accounts value for the branch operations;
4. (d) template IR.02.01.08, specifying balance sheet information using the valuation in accordance with the valuation principles set out in the Valuation Part;
5. (e) template IRR.02.01.01, specifying balance sheet information using both the valuation in accordance with the valuation principles set out in the Valuation Part and the valuation following the firm’s financial statements (or the consolidated financial statements, as applicable); and
6. (f) template IRR.02.01.07, specifying balance sheet information using the valuation in accordance with the valuation principles set out in the Valuation Part and the valuation according to the branch management accounts value for the branch operations.

9.6

The following IR.02.02 templates can be found here:

1. (a) template IR.02.02.01, specifying information on assets and liabilities by currency. 

9.7

The following IR.02.03 templates can be found here:

1. (a) template IR.02.03.07, specifying additional branch balance sheet information.

9.8

The following IR.03.01 templates can be found here:

1. (a) template IR.03.01.01, specifying general information on off-balance sheet items; and 
2. (b) template IR.03.01.04, specifying general information on off-balance sheet items.
   

9.9

The following IR.03.02 templates can be found here:

1. (a) template IR.03.02.01, providing a list of off-balance sheet unlimited guarantees received; and 
2. (b) template IR.03.02.04, providing a list of off-balance sheet unlimited guarantees received.

9.10

The following IR.03.03 templates can be found here:

1. (a) template IR.03.03.01, providing a list of off-balance sheet unlimited guarantees provided; and 
2. b) template IR.03.03.04, providing a list of off-balance sheet unlimited guarantees provided. 

9.11

The following IR.05.02 templates can be found here:

1. (a) template IR.05.02.01, specifying information on premiums, claims and expenses by country, applying the valuation and recognition principles used in the firm's financial statements (or in the consolidated financial statements or the branch management accounts for the branch operations, as applicable).

9.12

The following IR.05.03 templates can be found here:

1. (a) template IR.05.03.01, specifying information on life income and expenditure;
2. (b) template IR.05.03.02, specifying information on life income and expenditure; and
3. (c) template IRR.05.03.01, specifying information on life income and expenditure.
4.  

9.13

The following IR.05.04 templates can be found here:

1. (a) template IR.05.04.01, specifying information on non-life income, expenditure and business model analysis; 
2. (b) template IR.05.04.02, specifying information on non-life income and expenditure; and
3. (c) template IR.05.04.07, specifying information on non-life income, expenditure and business model analysis. 

9.14

The following IR.05.05 templates can be found here:

1. (a) template IR.05.05.01, specifying information on life premiums and claims by country.

9.15

The following IR.05.06 templates can be found here:

1. (a) template IR.05.06.01, specifying information on non-life premiums and claims by country.

9.16

The following IR.05.07 templates can be found here:

1. (a) template IR.05.07.01, specifying information on the portfolio of securities.

9.17

The following IR.05.08 templates can be found here:

1. (a) template IR.05.08.01, specifying information on material pooling agreements.

9.18

The following IR.05.09 templates can be found here:

1. (a) template IR.05.09.01, specifying information on calls for contributions and the financial performance of the firm (or third country branch, as applicable).

9.19

The following IR.05.10 templates can be found here:

1. (a) template IR.05.10.01, specifying excess capital generation.

9.20

The following IR.06.02 templates can be found here:

1. (a) template IR.06.02.01, providing an item-by-item list of assets; and
2. (b) template IR.06.02.04, providing an item-by-item list of assets. 

9.21

The following IR.06.03 templates can be found here:

1. (a) template IR.06.03.01, providing information on the look-through of all collective investments held by the firm (or group, as applicable).

9.22

The following IR.08.01 templates can be found here:

1. (a) template IR.08.01.01, providing an item-by-item list of open positions of derivatives; and 
2. (b) template IR.08.01.04, providing an item-by-item list of open positions of derivatives. 

9.23

The following IR.09.01 templates can be found here:

1. (a) template IR.09.01.01, specifying information on income, gains and losses in the reporting period by asset category; and 
2. (b) template IR.09.01.04, specifying information on income, gains and losses in the reporting period by asset category. 

9.24

The following IR.10.01 templates can be found here:

1. (a) template IR.10.01.01, providing an item-by-item list of securities lending and repurchase agreements, on and off-balance sheet; and
2. (b) template IR.10.01.04, providing an item-by-item list of securities lending and repurchase agreements on and off-balance sheet. 

9.25

The following IR.11.01 templates can be found here:

1. (a) template IR.11.01.01, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral; and
2. (b) template IR.11.01.04, providing an item-by-item list of assets held as collateral, consisting of all types of off-balance sheet asset categories held as collateral. 

9.26

The following IR.12.01 templates can be found here:

1. (a) template IR.12.01.01, specifying information on life technical provisions  (or the provisions referred to in Third Country Branches 6.1 (life), as applicable);
2. (b) template IR.12.01.02, specifying information on life technical provisions (or the provisions referred to in Third Country Branches 6.1 (life), as applicable); and
3. (c) template IRR.12.01.01, specifying information on life technical provisions (or the provisions referred to in Third Country Branches 6.1 (life), as applicable).

9.27

The following IR.12.03 templates can be found here:

1. (a) template IR.12.03.01, specifying information on life best estimate (or life branch best estimate, as applicable) liabilities by country.

9.28

The following IR.12.04 templates can be found here:

1. (a) template IR.12.04.01, specifying information on best estimate assumptions for life insurance risks