1.The regular supervisory report shall contain all of the following information regarding the own funds of the insurance or reinsurance undertaking:
information on the policies and processes employed by the undertaking for managing its own funds;
information on the material terms and conditions of the main items of own funds held by the undertaking;
the expected developments of the undertaking’s own funds over its business planning time period given the undertaking’s business strategy, taking into account appropriately stressed capital plans;
whether there is any intention to repay or redeem any own-fund item or whether there are plans to raise additional own funds;
information regarding deferred taxes, including:
a description of the calculated amount of deferred tax assets without an assessment of their probable utilisation, and the extent to which those deferred tax assets have been recognised;
for deferred tax assets which have been recognised, a description of the amounts being recognised as 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 tax authority;
a detailed description of the underlying assumptions used for the projection of probable future taxable profit for the purposes of Article 15;
an analysis of the sensitivity of the net deferred tax assets to changes in the underlying assumptions referred to in point (iii), where net deferred tax assets shall be calculated as the difference between:
the amount of deferred tax assets calculated in accordance with Article 15;
the amount of deferred tax liabilities against which the deferred tax assets may be set off by taking into account detailed scheduling.
2.The regular supervisory report shall contain all of the following information regarding the Solvency Capital Requirement and the Minimum Capital Requirement of the insurance or reinsurance undertaking:
the expected developments of the undertaking’s anticipated Solvency Capital Requirement and Minimum Capital Requirement over its business planning time period given the undertaking’s business strategy, where the same information is not included in the ORSA Supervisory Report;
an estimate of the undertaking’s Solvency Capital Requirement, determined in accordance with the standard formula, where the supervisory authority has required the undertaking to provide such estimate pursuant to Article 112(7) of Directive 2009/138/EC, or where no such estimate was required in the year of adoption of the regular supervisory report, the most recent available calculation, accompanied by an indication of the reference year of that calculation;
a description on the approach taken for the calculation of the capital requirements for immaterial risks of the SCR standard formula, including a brief description of the modules or sub-modules which are subject to such approach and of the volume measures that have been used to calculate the immaterial risks;
for the future profit projected for the purposes of the loss-absorbing capacity of deferred taxes in accordance with Article 207 of this Regulation:
a description, and the relevant amount of each of the components used to demonstrate a positive value of the increase in deferred tax assets;
a detailed description of the underlying assumptions used for the projection of probable future taxable profit for the purposes of Article 207;
an analysis of the sensitivity of the value of the adjustment to changes in the underlying assumptions referred to in point (ii);
the volume and nature of the loan portfolio of the insurance or reinsurance undertaking.
3.Where an internal model is used to calculate the Solvency Capital Requirement, the regular supervisory report shall also contain:
the results of the review of the sources of profits and the causes of losses, as required by Article 123 of Directive 2009/138/EC, for each major business unit;
a description of how the categorisation of risk chosen in the internal model explains those sources of profits and causes of losses.
4.Where undertaking-specific parameters are used to calculate the Solvency Capital Requirement, or a matching adjustment is applied to the relevant risk-free interest term structure, the regular supervisory report shall also state whether there have been changes to the information in the application for approval concerning undertaking-specific parameters or matching adjustment.
5.The regular supervisory report shall contain all of the following information regarding the holding of long-term equity investments as referred to in Article 105a of the Directive 2009/138/EC:
a statement of whether the insurance or reinsurance undertaking applies the prudential treatment set out in Article 105a of that Directive, and where that is the case, the amount and characteristics of equity investments that are classified as long-term equity investments, including:
the geographical location of those equity investments;
the share of such equity investments within the equity portfolio;
a description of how the insurance or reinsurance undertaking complies with the conditions laid down in Article 105a(1), second subparagraph of Directive 2009/138/EC;
a description of the methods used to demonstrate the ability to avoid forced sales in accordance with Article 171a of this Regulation.
The regular supervisory report shall also contain the information laid down in the third subparagraph, where one of the following conditions is met:
long-term equity investments represent more than 4 % of total assets held by insurance or reinsurance undertakings;
the insurance or reinsurance undertaking would not comply with the Solvency Capital Requirement without applying Article 105a of Directive 2009/138/EC.
The information referred to in the second subparagraph shall be the following:
a quantification of the impact on the value of the market risk module of non-application of Article 105a of Directive 2009/138/EC to any equity investment;
information on the actions that the insurance or reinsurance undertaking would take in case of breach of, or persisting non-compliance with, the conditions laid down in Article 105a(1), second subparagraph, of Directive 2009/138/EC.
6.With respect to the liquidity risk, the regular supervisory report shall contain:
information about the expected profit included in future premiums and the expected profit included in future fees for servicing and management of funds as calculated in accordance with Article 260 (2) and (2a) respectively of this Regulation for each line of business;
the result of the qualitative assessment referred to in Article 260(1), point (d)(ii);
a description of the methods and main assumptions used to calculate the expected profit included in future premiums.
The regular supervisory report shall also contain information on any material liquidity risk exposure to financing transactions or agreements, including factoring, in which the insurance or reinsurance undertaking has entered directly or indirectly.
7.With respect to risk concentration the regular supervisory report shall contain:
information on the material risk concentrations to which the undertaking is exposed to;
an overview of any future risk concentrations anticipated over the business planning time period in line with that undertaking’s business strategy;
an explanation on how the risk concentrations referred to in point (a) and (b) will be managed.
8.The regular supervisory report shall contain all of the following information regarding the risk exposure of the insurance or reinsurance undertaking, including the exposure arising from off-balance sheet positions and the transfer of risk to special purpose vehicles:
where the undertaking sells or re-pledges collateral, within the meaning of Article 214 of this Regulation, the amount of that collateral, valued in accordance with Article 75 of Directive 2009/138/EC;
where the undertaking has provided collateral, within the meaning of Article 214:
the nature of the collateral;
the nature and value of assets provided as collateral;
the corresponding actual and contingent liabilities created by the collateral arrangement;
information on the material terms and conditions associated with the collateral arrangement;
where the undertaking sells variable annuities, information on guarantee riders and hedging of the guarantees;
a description of the financing transactions, including factoring, in which the insurance or reinsurance undertaking has entered directly or indirectly, and the corresponding amounts of the off-balance sheet liabilities.
9.The regular supervisory report shall contain all of the following information regarding the risk-mitigation techniques of the insurance or reinsurance undertaking:
a description of the techniques used to mitigate risks;
a description of any material risk-mitigation techniques that the undertaking is considering purchasing or entering into over the business planning time period given the undertaking’s business strategy, and the rationale for and effect of such risk mitigation techniques;
where the insurance or reinsurance undertaking holds collateral, within the meaning of Article 214 of this Regulation, information on the material terms and conditions associated with the collateral arrangement.
10.The regular supervisory report shall contain qualitative and quantitative information about the material risks not captured by the Solvency Capital Requirement calculation and not captured in the previous paragraphs, where the same information is not covered by the ORSA supervisory report.
11.The regular supervisory report shall contain all of the following information about the risk sensitivity of the insurance or reinsurance undertaking, where the same information is not covered by the ORSA supervisory report:
a description of the stress tests and scenario analysis referred to in Article 259(3), carried out by the undertaking including its outcome;
a description of the methods used and the main assumptions underlying the stress tests and scenario analysis referred to in Article 259(3).
12.The regular supervisory report shall contain information about any reasonably foreseeable risk of non-compliance with the undertaking’s Minimum Capital Requirement or Solvency Capital Requirement, and the undertaking’s plans for ensuring that compliance with each is maintained, where the same information is not included in the ORSA supervisory report.
13.The regular supervisory report shall contain any other material information about the capital management and risk profile of the insurance or reinsurance undertaking.
14.For the purposes of paragraphs 6 and 8, ‘factoring’ shall mean a contractual agreement between a business (the ‘assignor’) and a financial entity (the ‘factor’) in which the assignor assigns or sells its receivables to the factor in exchange for the factor providing the assignor with one or more of the following services with regard to the receivables assigned:
an advance of a percentage of the amount of the assigned receivables, generally short-term, uncommitted and without automatic roll-over;
receivables management, collection and credit protection, whereby, in general, the factor administers the assignor’s sales ledger and collects the receivables in the factor’s own name.