Article 297 - Information targeted at market professionals: Capital management and risk profile

information on the objectives of the insurance or reinsurance undertaking in managing its own funds, including information on the time horizon used for business planning and explanations for any material changes to those objectives over the reporting period;

the eligible amount of own funds to cover the Solvency Capital Requirement, classified by tiers, at the end of the reporting period and at the end of the previous reporting period, including an analysis of the material changes in each tier over the reporting period;

the eligible amount of basic own funds to cover the Minimum Capital Requirement, classified by tiers;

where the phasing-in mechanism for extrapolation referred to in Article 77a(2) of Directive 2009/138/EC is applied, a quantification of the impact of not applying the phasing-in mechanism on:

where the matching adjustment referred to in Article 77b of Directive 2009/138/EC is applied, a quantification of the impact of a change to zero of the matching adjustment on:

where the volatility adjustment referred to in Article 77d of Directive 2009/138/EC is used by the undertaking a quantification of the impact of a change to zero of the volatility adjustment on:

where the transitional risk-free interest rate-term structure referred to Article 308c of Directive 2009/138/EC is applied a quantification of the impact of not applying the transitional measure on:

where the transitional deduction referred to in Article 308d of Directive 2009/138/EC is applied a quantification of the impact of not applying the deduction measure on:

a quantification of the combined impact on the undertaking’s financial position of not applying the transitional measures laid down in Article 77a(2), Articles 308c and 308d and, where relevant, Article 111(1), second subparagraph, of Directive 2009/138/EC;

an analysis of significant changes in own funds during the reporting period, including:

a quantitative and qualitative explanation of any material differences between equity as shown in the undertaking’s financial statements and the excess of assets over liabilities as calculated for solvency purposes;

for each material item of ancillary own funds:

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 undertaking;

the amounts of the undertaking’s Solvency Capital Requirement and the Minimum Capital Requirement and the eligible own funds and ratio of coverage for both the Solvency Capital Requirement and the Minimum Capital Requirement at the end of the reporting period, accompanied, where applicable, by a statement that the final amount of the Solvency Capital Requirement is still subject to supervisory assessment;

with regard to risk sensitivity, a description of the methods used, the assumptions made and the outcome of the sensitivity analysis for material risks and events;

where the phasing-in mechanism for extrapolation laid down in Article 77a(2) of Directive 2009/139/EC is applied, a quantification of the impact of non applying that phasing-in mechanism on the Solvency Capital Requirement and the Minimum Capital Requirement;

where the matching adjustment referred to in Article 77b of Directive 2009/138/EC is applied, a quantification of the impact of a change to zero of that matching adjustment on the Solvency Capital Requirement and on the Minimum Capital Requirement;

where the volatility adjustment referred to in Article 77d of Directive 2009/138/EC is used, a quantification of the impact of a change to zero of that volatility adjustment on the Solvency Capital Requirement and on the Minimum Capital Requirement;

where the transitional risk-free interest rate-term structure referred to Article 308c of Directive 2009/138/EC is applied a quantification of the impact of not applying that transitional risk-free interest rate-term structure on the Solvency Capital Requirement and on the Minimum Capital Requirement;

where the transitional deduction referred to in Article 308d of Directive 2009/138/EC is applied a quantification of the impact of not applying that transitional deduction on the Solvency Capital Requirement and on the Minimum Capital Requirement;

the amount of the undertaking’s Solvency Capital Requirement split by risk modules where that undertaking applies the standard formula, and by risk categories where the undertaking applies an internal model and a qualitative description of the material risks captured by the Solvency Capital Requirement calculation;

information on whether the undertaking is using simplified calculations, and for which risk modules and sub-modules of the standard formula;

information on whether and for which parameters of the standard formula that undertaking is using undertaking-specific parameters pursuant to Article 104(7) of Directive 2009/138/EC;

information on the inputs used by the undertaking to calculate the Minimum Capital Requirement;

any material change to the Solvency Capital Requirement and to the Minimum Capital Requirement over the reporting period, and the reasons for any such change.

a statement that the undertaking is using the duration-based equity risk sub-module set out in that Article for the calculation of its Solvency Capital Requirement, after approval from its supervisory authority;

the amount of the capital requirement for the duration-based equity risk sub-module resulting from such use.

a statement on whether the insurance and reinsurance undertaking applies the prudential treatment set out in Article 105a of that Directive for the calculation of its Solvency II capital requirement, and where applicable, the amount of equity investments that are classified as long-term equity investments, and the share of such investments within the equity portfolio;

information on any non-compliance with the conditions laid down in Article 105a(1), second subparagraph, of that Directive during the financial year covered by the report, including all of the following:

a description of the various purposes for which that undertaking is using its internal model;

a description of the scope of the internal model in terms of business units and risk categories;

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;

a description of the methods used in the internal model for the calculation of the probability distribution forecast and the Solvency Capital Requirement;

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;

the risk measure and time period used in the internal model, and where they are not the same as those set out in Article 101(3) of Directive 2009/138/EC, an explanation of why the Solvency Capital Requirement calculated using the internal model provides policy holders and beneficiaries with a level of protection equivalent to that set out in Article 101 of that Directive;

a statement on whether a dynamic volatility adjustment is used in the internal model.

a description of the material risk concentrations to which the insurance or reinsurance undertaking is exposed;

the total amount of the expected profit included in future premiums as calculated in accordance with Article 260(2);

the total amount of the expected profit included in future fees for servicing and management of funds as calculated in accordance with Article 260(2a).

regarding any non-compliance with that undertaking’s Minimum Capital Requirement:

where non-compliance with the undertaking’s Minimum Capital Requirement has not been subsequently resolved, the amount of and the consequences of the non-compliance at the reporting date;

regarding any non-compliance with the undertaking’s Solvency Capital Requirement during the reporting period:

where a non-compliance with the undertaking’s Solvency Capital Requirement has not been subsequently resolved, the amount of and the consequences of the non-compliance at the reporting date.