Summary of EIOPA post public consultation regarding Solvency II changes

At this moment EIOPA expects to finalize the ITS package, describing the changes in the Solvency II reporting, in February 2022. Due to concerns of the industry, EIOPA is proposing to delay the implementation date of the ITS amendments by 1 year, which means they will become effecting for the reporting of 2023 year-end data. Furthermore, it is possible to further postpone the implementation dates for some of the templates.

The following templates were explicitly discussed:

• S.04.03, S.04.04, S.04.05 – EIOPA has shared that the information required in the new templates is useful and essential, also in light of EIOPA’s strategic priority to enhance the supervision of the cross-border business. Therefore, EIOPA considers keeping the templates and to analyze an introduction of a threshold in S.04.05.
• S.05.01 – the template will be kept unchanged. However, EIOPA will clarify the instructions on it, as well as what IFRS Group accountants should do under Solvency II.
• S.14.03 – A threshold will be included
• S.29 – EIOPA is considering not implementing the changes proposed in the draft ITS, and will further analyze the template
• Internal Model Reporting – EIOPA will provide further instructions to the proposed templates. The data in the templates will only need to be reported in case the model supports the production of such data in a sensible manner.

Sustainable Finance

• Sustainable investments: require reporting of the ratio of all undertakings within scope of NFRD and other undertakings subject to Solvency II subject to a materiality threshold + postpone reporting to 2025, based on YE 2024 data, to allow for taxonomy KPI to be available. Materiality threshold is still under consideration.
• Investments exposed to transition risk and physical risk: EIOPA will consult on application guidance for climate-risk materiality assessment and scenario analysis and engage with undertakings to test the guidance during Q1-Q2 2022. The transition and/or physical risk metric will not need to be reported where the undertaking explains in its ORSA report why the risk is not material.
• S.14.01 – Keep in the premiums breakdown, in particular to collect information on premium written by credit institutions, but it proposes to further simplify and reduce granularity on other aspects.
• S.14.02 – The template will be simplified in comparison to what is in the Draft ITS
  Group Level Reporting
• S.04.03/04/05 – EIOPA is analyzing two options – to keep S.05.02 based on consolidation accounts from the solo and not apply S.04.03/04/05 or, alternatively to keep in line with the original proposal to remove S.05.02 and apply S.04.03/04/05
• S.32 – it is possible that column C0081
• S.36 and S.37 – possibility of reducing duplication of information is under consideration together with clarifications of the definitions/instructions, template S.37 is under revision

Financial Stability Reporting

• Liquidity information (S.14.04/05): reduce the frequency to semi-annual (instead of quarterly) and granularity of the templates in order to reduce the burden for undertakings. Namely S.14.04 (Life) is to be reported at unit linked and index linked contracts (instead of product level) and S.14.05 (non-life) is to be reported for the non-life business as a whole (instead of product category).
• Duration information (S.38.01): to require the effective duration only where material optionalities are present in the technical provisions.
• Profit & Loss (S.39.01): as some information on P&L was already part of the financial stability templates the additional high-level breakdown should not add excessive additional burden to the undertakings. Guidelines will be provided in relation to both the Insurance Accounting Directive and IFRS.

The Roadmap of Taxonomy releases has not yet being published, at which point there will be more clarity for the exact release dates that can be expected.

The full list of changes that EIOPA already had under consultation can be found below:

• Small amendments to the ITS of S.02.01, S.05.01, S.12.01, S.17.01, S.23.01, S.25.01, S.28.01,
• S.28.02
• S.05.02 – removed for solo reporting
• S.08.02, S.25.02, S.25.03 – The template will be removed
• S.04.05 – Premiums, claims and expenses by country – the template has been added
• S.06.03 Look-through approach for Collective Investment Undertakings – there will be no changes to the shape or the current threshold despite previous EIOPA announcements
• S.06.04 Sustainable investments and climate change-related risks to investments – EIOPA proposes the implementation of the template to be postponed
• S.14.02 Non-life business – new S.14.02 template on Non-life business to report product by product information in line with the reporting of S.14.01 for life products

Considering cross-selling and taking into account the fact that the sales of add-on products is common for non-life insurance products, rather than asking insurance undertakings to split the data in different product categories, for each product category insurance undertakings can report two rows:

• One row where all the data should be reported when the main coverage/product is sold as standalone; and
• One row where all the data should be report when the main product is sold with one or more addon coverages.

The proposal defines product categories leveraging as much as possible to existing classes of non-life insurance:

• Eight product categories refer to specific products and are defined accordingly; and
• The remaining product categories (19) are ‘catch all’ categories matching 1 to 1 insurance classes or sub-classes.
• S.22.01 Impact of long term guarantees and transitional measures – include SCR and MCR ratios in the template, including the publicly disclosed templates
• S.29s Variation analysis – EIOPA proposes to keep the templates as they are while splitting
  life- and non-life templates regarding the analysis of the variation of the Best Estimate. In addition, EIOPA proposes to introduce a new template specific for non-life S.29.05 (the already consulted S.29.06) and generally supported by industry and supervisors and to delete the non-life cells in S.29.03, S.29.04 for pure non-life insurers. Composite insurers with no clear material/ dominant activity shall submit S.29.03 and S.29.04 for their life business, as well as the new non-life template for their non-life business. Composite insurer with a clear material business activity shall only submit the templates for their respective material business activity
• ERIP – In templates S.12.01 and S.17.01 additional information will be collected on expected profit in future premiums (‘EPIFP’), by line of business and gross of reinsurance and taxes (i.e. without considering their impact)
• LAC DT – Additional templates are proposed.
• Internal models – Additional templates are proposed.

Group reporting

• In S.23.04.04 Tables 10 & 11 are slightly amended.
• Templates S.32:
• Clarifications on the scope: a list of all undertakings in the scope of the group
• A new column for the identification of the direct participating undertaking that could support future analysis on the visualisation of the group structure by using the data in S.32
• Additional information on whether each undertaking is covered by the internal model and the type of volatility adjustment used for the purpose of the group solvency capital requirements
• S.36.00 – a new template to be added will provide an overview of all IGTs by main categories and sectors.
• S.36.05 P&L – a new template L information associated with IGTs in a separate template
• S.37.01 will be less granular
• S.37.02 and S.37.03 – new template for all exposures reported by main drivers s (currency, sector, country, asset class and rating).

Financial stability reporting

• S.02.01. template now corresponds to the annual prudential reporting (S.02.01.01)
• S.05.01.13 – amendments from S.05 prudential reporting has been incorporated
• S.14.04.11 and S.14.05.11 – new templates have been added, repeatedly for life and non-life business, to collect information on liquidity at product and product category level
• S.38.01.01 – the template will collect both Effective and Modified duration
• Third Country Branches reporting – amendments are introduced to the Guidelines for Third Country Branches reporting, to reflect the amendments proposed for the ITS. No specific amendments to Third Country Branches reporting are proposed.