Circular NBB_2016_02 / Supplementary reporting of figures obtained using the standard formula for companies with an approved (partial) internal model

NBB_2016_02 – 5 January 2016 Circular – p. 1/2 Boulevard de Berlaimont 14 – BE-1000 Brussels tel. +32 2 221 38 12 – fax +32 2 221 31 04 company number: 0203.201.340 RPM Brussels www.bnb.be

Circular
Brussels, 5 January 2016
Reference: NBB_2016_02
Your contact:
Dieter Hendrickx / Nicolas Colpaert tel. +32 2 221 34 29 / 35 02 – fax +32 2 221 31 04 dieter.hendrickx@nbb.be / nicolas.colpaert@nbb.be

Supplementary reporting of figures obtained using the standard formula for companies with an approved (partial) internal model

Scope
Belgian insurance or reinsurance undertakings; Insurance or reinsurance undertakings that are part of a Belgian group within the meaning of Article 339, 2° of the Law of 13 March 2016 on the status and supervision of insurance or reinsurance undertakings; Belgian undertakings that are part of a Belgian financial conglomerate within the meaning of Article 340, 1° of the aforementioned Law of 13 March 2016; Branches of third-country undertakings carrying out insurance [or reinsurance] activities in Belgium.

This circular applies to mutual insurance companies defined in Article 15, 79° of the aforementioned Law of 13 March 2016. For these undertakings, "the Bank" should be replaced by "the Office for the Control of Mutualities and National Mutualities Unions" as defined in Article 15, 84° of the same Law.

This circular does not apply to insurance undertakings referred to in Articles 275, 276 or 294 of the aforementioned Law of 13 March 2016.

Objective
This circular concerns the supplementary reporting of figures obtained using the standard formula for companies with an approved (partial) internal model.

Legal references
The Law: the Law of 13 March 2016 on the status and supervision of insurance or reinsurance undertakings.

Circular – p. 2/2 NBB_2016_02 – 5 January 2016

Madam,
Sir,

Pursuant to Article 654, paragraph 1, of the Law, the Bank has stipulated that until 31 December 2017, all insurance undertakings must, for the determination of the lower and upper limits of the Minimum Capital Requirement (MCR), rely on the Solvency Capital Requirement calculated in accordance with the standard formula. Consequently, all insurance undertakings, including those using a (partial) internal model, must correctly calculate the Solvency Capital Requirement according to the standard formula.

Under the aforementioned provision, the Bank prescribes that, pursuant to Article 167, paragraph 7, of the Law, all insurance undertakings and groups using an internal model (partial) approved by the Bank are required to communicate annually, in addition to the Solvency Capital Requirement calculated according to the internal model, the Solvency Capital Requirement correctly calculated in application of the standard formula, at least until 31 December 2017 inclusive. This will enable the Bank, upon entry into force of the new prudential regime, to obtain an objective comparison based on the Solvency Capital Requirement calculated according to the standard formula. At the end of this period, the Bank will assess whether this supplementary reporting should be maintained or not.

The undertaking is specifically expected to integrate the following quantitative elements calculated on the basis of the standard formula:
S.25.01 - Solvency Capital Requirement
S.26.01 - Solvency Capital Requirement - Market risk S.26.02 - Solvency Capital Requirement - Counterparty default risk S.26.03 - Solvency Capital Requirement - Life underwriting risk S.26.04 - Solvency Capital Requirement - Health underwriting risk S.26.05 - Solvency Capital Requirement - Non-life underwriting risk S.26.06 - Solvency Capital Requirement - Operational risk S.27.01 - Solvency Capital Requirement - Non-life and Health NSLT catastrophe risk

To this end, these reports will be named separately in OneGate, and in the appropriate cell, "Article 112" will be marked "Yes" by default. For the reporting relating to the reference date of 1 January 2016 ("reporting day-one"), the only information to be provided as supplementary data is the quantitative reporting element S.25.01. The necessary technical documentation can be found via "http://www.nbb.be/OneGate", then "documentation" and finally "INS domain reports - XBRL reports: SII_D1S, SII_QES, SII_QRG ...".

A copy of this circular is sent to the auditor(s), approved auditor(s) of your establishment.

Please accept, Madam, Sir, the expression of my distinguished sentiments.

Jan Smets
Governor