Circular NBB_2023_10 on reporting information for financial stability purposes

BANQUE NATIONALE DE BELGIQUE
VAN BELGISCHE CENTRAALBANK
EUROSYSTEEM boulevard de Berlaimont 14 - BE-1000 Bruxelles tel. +32 2 221 26 29 numero d'entreprise: 0203.201.340 RPM Bruxelles www.bnb.be

Circular
Brussels, 5 December 2023
Reference:
your contact:
Ingrid Vreven tel. +32 2 221 26 29
Ingrid.vreven@nbb.be
NBB_2023_10

Circular on the reporting of information for financial stability purposes

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 Act of 13 March 2016 on the status and supervision of insurance or reinsurance undertakings.
Belgian entities that are part of a Belgian financial conglomerate within the meaning of Article 340, 2°, of the aforementioned Act of 13 March 2016.
Branches of third-country entities carrying on insurance or reinsurance activities in Belgium.
This circular applies to mutual insurance companies defined in Article 15, 79°, of the aforementioned Act of 13 March 2016. For these entities, "the Bank" should be replaced by "the Office for the Control of Mutual Societies and National Unions of Mutual Societies" as defined in Article 15, 84°, of the same Act. This circular does not apply to insurance undertakings referred to in Articles 275, 276 or 294 of the aforementioned Act of 13 March 2016.

Objective
This circular aims to explain the Bank's guidelines on the information to be communicated for financial stability purposes.

Legal references
The Act: the Act of 13 March 2016 on the status and supervision of insurance or reinsurance undertakings.
Regulation 2015/35: Delegated Regulation (EU) 2015/35 of the Commission of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance.
Implementing Regulation 2023/894: Implementing Regulation (EU) 2023/894 of the Commission of 4 April 2023 defining, for the application of Directive 2009/138/EC of the European Parliament and of the Council, technical standards for the models to be used for the communication, by insurance and reinsurance undertakings to their supervisory authorities, of information necessary for their supervision, and repealing Implementing Regulation (EU) 2015/2450.

Structure
I. Objectives
II. Definitions
III. Supplementary information
IV. Entry into force
V. Guidelines on the reporting of information for financial stability purposes
VI. Link with EIOPA's guidelines on the reporting of information for financial stability purposes

Circular - P. 2/12 NBB_2023_10-5 December 2023

Madam,
Sir,

I. Objectives
This circular aims to ensure a consistent and uniform approach to data collection for financial stability purposes and to provide guidance on how to collect data.
The collected data enable the Bank and the European Insurance and Occupational Pensions Authority (EIOPA) to monitor and assess market developments and to inform other European supervisory authorities, the European Systemic Risk Board (ESRB), as well as the European Parliament, the Council and the Commission of trends, potential risks and vulnerabilities within their respective areas of competence. They also enable EIOPA to regularly and timely provide the ESRB with the information it needs to carry out its tasks. Most of the information obtained for financial stability purposes is consistent with the information obtained under Articles 312 and 422 of the Act. However, the information covered by these guidelines is requested with shorter deadlines and/or increased frequencies. The information will be used for macroprudential analysis.

II. Definitions
In the absence of a definition in these guidelines, the terms have the meaning defined in the legislative acts referred to in the introduction.

III. Supplementary information
This circular falls within the framework of the harmonised implementation of the principles of Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II), as determined by EIOPA's guidelines.

IV. Entry into force
This circular enters into force immediately and applies for the first time on figures as of 31 December 2023.

V. Guidelines on the reporting of information for financial stability purposes
The objective of the best endeavours principle established in Guideline 7 and Guideline 8 is to assist undertakings in providing a level of accuracy considered sufficient for macroprudential purposes, while balancing the work required by undertakings to provide this information, and to provide undertakings with a certain legal certainty regarding its content. Quarterly information on the solvency capital position of undertakings is considered crucial for financial stability purposes. However, it is accepted that a full calculation of the Solvency Capital Requirement (SCR) on a quarterly basis may prove to be an excessive burden for the establishments concerned. Therefore, the objective of these guidelines is to approximately estimate the evolution of the global SCR, by recalculating only the most volatile SCR modules, rather than requiring a full SCR calculation. The method is described in detail in Guideline 9. The "market risk" module may in particular require more frequent recalculation due to the increased volatility of its input parameters. Other SCR modules are considered sufficiently stable to allow extrapolation of annual figures, unless exceptional circumstances require a new calculation in accordance with the Act. The deadline for communicating the information described in these guidelines is two weeks from the deadline for communicating quarterly information by undertakings on an individual basis under Articles 312 and 422 of the Act, as provided in Guideline 14.

Section I: Communication of information to national supervisory authorities by insurance and reinsurance undertakings and groups for financial stability purposes

Guideline 1 - General provisions
Insurance and reinsurance undertakings and branches of third-country insurance undertakings required to communicate information in accordance with these guidelines should communicate data on an individual basis.
Participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies required to communicate information in accordance with these guidelines should communicate consolidated data.
Insurance and reinsurance undertakings belonging to an insurance or reinsurance group communicating information in accordance with these guidelines should not communicate them on an individual basis.
If insurance and reinsurance undertakings belong to an insurance or reinsurance group and their ultimate parent undertaking is an insurance mixed holding company and they do not belong to a group, as defined in Article 343, §2, 1st-3rd, of the Act, the first paragraph concerning the communication of information on an individual basis applies.

Guideline 2 - General criteria to identify reporting entities The criteria to be applied to identify reporting entities are as follows:
a) insurance or reinsurance groups with total assets exceeding 12 billion euros or the equivalent in national currency in the Solvency II balance sheet; b) insurance and reinsurance undertakings and branches of third-country insurance undertakings with total assets exceeding 12 billion euros or the equivalent in national currency in the Solvency II balance sheet and which do not belong to a group communicating information under the previous sub-point. If the second method, as defined in Articles 377-380 of the Act, is applied, either alone or combined with the first method, as defined in Articles 372-373 of the Act, for the calculation of the SCR, the Bank will assess the threshold provided in the previous paragraph taking into account the total assets of the group, including the Solvency II balance sheet and the assets of the entities for which the second method has been applied. Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings to which the Bank has granted a limited obligation to communicate information for supervision purposes, under Articles 313-315 of the Act, are not required to communicate information in accordance with Guideline 11 for insurance and reinsurance groups and in accordance with Guideline 13 for insurance and reinsurance undertakings and branches of third-country insurance undertakings.

Guideline 3 - Currency
All data points of a "monetary" type should be communicated in the presentation currency, as defined in Article 3 of Implementing Regulation 2023/894, requiring the conversion of any other currency into the presentation currency.
When expressing the value of any liability or asset item denominated in a currency other than the presentation currency, the value should be converted into the presentation currency as if the conversion had taken place at the closing rate on the last day for which the appropriate rate was available during the reference period to which the asset or liability item relates. When expressing the value of any income or expense, the value should be converted into the presentation currency using the conversion basis also used for accounting purposes. The conversion into the presentation currency should be calculated by applying the exchange rate from the same source as that used for the financial statements of the insurance or reinsurance undertaking in the case of communication of information on an individual basis or for the consolidated financial statements in the case of communication of information at group level, unless otherwise required by the supervisory authority.

Guideline 4 - Inclusion in the sample according to the size threshold Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings that did not fall within the scope of Guideline 2 but which, at the end of a financial year, report total assets in the Solvency II balance sheet exceeding 13 billion euros or the equivalent in national currency should communicate to the national supervisory authority all quantitative information provided in Guideline 10 and Guideline 11 for insurance and reinsurance groups, and in Guideline 12 and Guideline 13 for insurance and reinsurance undertakings and branches of third-country insurance undertakings from the third quarter of the following financial year. Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings that did not fall within the scope of Guideline 2 but which, at the end of two consecutive financial years, report total assets in the Solvency II balance sheet between 12 and 13 billion euros or the equivalent in national currency should communicate to the national supervisory authority all quantitative information provided in Guideline 10 and Guideline 11 for insurance and reinsurance groups, and in Guideline 12 and Guideline 13 for insurance and reinsurance undertakings and branches of third-country insurance undertakings from the third quarter of the year following the second financial year.

Guideline 5 - Exclusion from the sample according to the size threshold Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings that fall within the scope of Guideline 2 but which, at the end of a financial year, report total assets in the Solvency II balance sheet below 11 billion euros or the equivalent in national currency should no longer communicate to the national supervisory authority the information provided in Guideline 10 and Guideline 11 for insurance and reinsurance groups, and in Guideline 12 and Guideline 13 for insurance and reinsurance undertakings and branches of third-country insurance undertakings from the third quarter of the following financial year, unless modifications are introduced to reduce the gaps described in paragraph 5; d) simplifications that have a significant impact on the communicated data should be communicated to the Bank. Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings should strive to ensure that, to their knowledge, the data does not contain any error or omission that could lead to a significantly different prudential assessment of the establishment. Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings should strive to improve activity procedures to reduce over time the recurrent gaps between communicating information in accordance with these guidelines and regularly communicating information for supervision purposes under the Act.

Guideline 8 - Best endeavours: use of data by national supervisory authorities The Bank recognizes that information communicated for financial stability purposes may change and may not be identical to information regularly communicated for supervision purposes under the Act. However, the Bank may request information on the calculation methods of the communicated data as well as updated data, if deemed necessary.

Guideline 9 - Quarterly information on the SCR Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings should ensure that quarterly information on the SCR provides a good approximate estimate of the true level of the SCR. Quarterly SCR figures can only be updated with the most volatile elements, while extrapolation of annual figures is acceptable for other SCR elements, in accordance with Guideline 7. Given that market risk elements should be the most volatile, insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings should in particular consider recalculating the "market risk" module, or its most volatile components, in order to communicate information on the global SCR on a best endeavours basis. If approximations and simplifications are used, insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies and branches of third-country insurance undertakings should ensure that the communicated data reflects the best assessment of the current financial situation of the reporting entity in accordance with Guideline 7. In accordance with the Act, the Bank may require a full recalculation of the SCR, when elements indicate that the risk profile of an insurance or reinsurance undertaking has changed significantly since the date of the last full recalculation of the SCR and its communication for prudential purposes.

NBB_2023_10-5 December 2023 Circular - P. 7/12

If the communicated information indicates non-compliance with the SCR or the non-compliance with the required minimum capital (MCR), as defined in Articles 510 and 511 of the Law, the Bank recognizes, without prejudice to its related responsibilities and powers, that the information communicated under these guidelines may represent preliminary data that could be subject to revision, in accordance with Guideline 8.

In the cases referred to in the previous point, the Bank may, without prejudice to its related responsibilities and powers, request updated and confirmed information.

Section II: Quantitative Information

Guideline 10 - Quantitative semi-annual information of groups

Participating insurance and reinsurance undertakings, insurance holding companies, or mixed financial holding companies within the scope of Guideline 1 and Guideline 2 should communicate to the Bank every semester the following information:

a) template S.39.01.11 of technical Annex A, specifying information on the result, according to the instructions set out in point S.39.01 of technical Annex B.

b) template S.14.04.11 of technical Annex A, specifying specific information on the liquidity risk of life activities, by product issued by the undertaking, only when the first method, as defined in Articles 372 - 373 of the Law, is applied, either alone or combined with the second method, as defined in Articles 377 - 380 of the Law, according to the instructions set out in point S.14.01 of technical Annex B;

c) template S.14.05.11 of technical Annex A, specifying specific information on the liquidity risk for non-life activities, by product issued by the undertaking, only when the first method, as defined in Articles 372 - 373 of the Law, is applied, either alone or combined with the second method, as defined in Articles 377 - 380 of the Law, according to the instructions set out in point S.14.01 of technical Annex B;

d) template S.38.01.11 of technical Annex A, specifying information on the duration of technical provisions, only when the first method, as defined in Articles 372 - 373 of the Law, is applied, either alone or combined with the second method, as defined in Articles 377 - 380 of the Law, according to the instructions set out in point S.38.01 of technical Annex B.

Guideline 11 - Quantitative quarterly information of groups

Participating insurance and reinsurance undertakings, insurance holding companies, or mixed financial holding companies within the scope of Guideline 1 and Guideline 2 should communicate to the Bank every quarter the following information:

a) template S.01.01.13 of technical Annex A, specifying the content of the information communicated, regardless of the method applied to calculate the solvency of the group, according to the instructions set out in point S.01.01 of technical Annex B;

b) template S.01.02.04 of Annex I of Implementing Regulation 2023/894, specifying basic information on the insurance and reinsurance undertaking and the content of information communication in general, regardless of the method applied to calculate the solvency of the group, according to the instructions in Annex III of Implementing Regulation 2023/894;

c) template S.02.01.01 of Annex I of Implementing Regulation 2023/894, specifying balance sheet information, only when the first method, as defined in Articles 372-373 of the Law, is applied, either alone or combined with the second method, as defined in Articles 377-380 of the Law, according to the instructions set out in Annex III of Implementing Regulation 2023/894;

d) template S.05.01.13 of technical Annex A, specifying information on premiums, claims, and expenses, regardless of the method applied to calculate the solvency of the group, applying the valuation and accounting principles used in the undertaking's financial statements, according to the instructions set out in point S.05.01 of technical Annex B, concerning each activity line defined in Annex I of Regulation 2015/35;

e) template S.06.02.04 of Annex I of Implementing Regulation 2023/894, providing a list of assets by asset, regardless of the method applied to calculate the solvency of the group, according to the instructions in Annex III of Implementing Regulation 2023/894;

f) template S.23.01.13 of technical Annex A, specifying basic information on own funds, regardless of the method applied to calculate the solvency of the group, according to the instructions set out in point S.23.01 of technical Annex B, including basic own funds and auxiliary own funds;

g) template S.25.04.13 of technical Annex A, specifying basic information on the SCR, regardless of the method applied to calculate the solvency of the group, according to the instructions set out in point S.25.04 of technical Annex B;

h) template S.41.01.11 of technical Annex A, specifying information on cessations, only when the first method, as defined in Articles 372-373 of the Law, is applied, either alone or combined with the second method, as defined in Articles 377-380 of the Law, according to the instructions set out in point S.41.01 of technical Annex B.

Guideline 12 - Quantitative semi-annual information of undertakings on an individual basis

Insurance and reinsurance undertakings and branches of insurance undertakings from third countries within the scope of Guideline 1 and Guideline 2 should communicate to the Bank every semester the following information:

a) template S.39.01.11 of technical Annex A, specifying information on the result, according to the instructions set out in point S.39.01 of technical Annex B;

b) template S.38.01.11 of technical Annex A, specifying information on the duration of technical provisions, only when the first method, as defined in Articles 372 - 373 of the Law, is applied, either alone or combined with the second method, as defined in Articles 377 - 380 of the Law, according to the instructions set out in point S.38.01 of technical Annex B;

c) template S.14.04.11 of technical Annex A, specifying specific information on the liquidity risk for life activity, by product issued by the undertaking, only when the first method, as defined in Articles 372 - 373 of the Law, is applied, either alone or combined with the second method, as defined in Articles 377 - 380 of the Law, according to the instructions set out in point S.14.01 of technical Annex B;

d) template S.14.05.11 of technical Annex A, specifying specific information on the liquidity risk for non-life activities, by product issued by the undertaking, only when the first method, as defined in Articles 372 - 373 of the Law, is applied, either alone or combined with the second method, as defined in Articles 377 - 380 of the Law, according to the instructions set out in point S.14.01 of technical Annex B.

Guideline 13 - Quantitative quarterly information of undertakings on an individual basis

Insurance and reinsurance undertakings and branches of insurance undertakings from third countries within the scope of Guideline 1 and Guideline 2 should communicate to the Bank every quarter the following information:

a) template S.01.01.11 of technical Annex A or template S.01.01.15 of technical Annex A in the case of branches of insurance undertakings from third countries, specifying the content of the information communicated, according to the instructions set out in point S.01.01 of technical Annex B;

b) template S.01.02.01 of Annex I of Implementing Regulation 2023/894 or template S.01.02.07 of Annex III of the guidelines on the supervision of branches of insurance undertakings from third countries, specifying basic information on the insurance and reinsurance undertaking and the content of information communication in general, according to the instructions in Annex II of Implementing Regulation 2023/894;

c) template S.25.04.11 of technical Annex A, specifying basic information on the SCR, according to the instructions set out in point S.25.04 of technical Annex B;

d) template S.41.01.11 of technical Annex A, specifying information on cessations, according to the instructions set out in point S.41.01 of technical Annex B.

Section III: Time limits for communicating information and other provisions

Guideline 14 - Time limits for communicating information

Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies, mixed financial holding companies, and branches of insurance undertakings from third countries should communicate all quantitative information provided for in Guideline 10 and Guideline 11 for insurance and reinsurance groups, and in Guideline 12 and Guideline 13 for insurance and reinsurance undertakings and branches of insurance undertakings from third countries within a period of seven weeks from the end of the reference period.

Guideline 15 - Data plausibility checks

The Bank will evaluate the reviewed data by applying the data plausibility checks published by EIOPA[1].

Guideline 16 - Means of communicating information

Only the XBRL protocol will be accepted as a means of communication to the Bank regarding information for financial stability purposes.

Guideline 17 - Formats of information communicated for control purposes

Insurance and reinsurance undertakings, participating insurance and reinsurance undertakings, insurance holding companies, or mixed financial holding companies should communicate information according to the information exchange formats and representations determined by the Bank while respecting the following specifications:

a) data points of type 'monetary' should be expressed in units without decimals, with the exception of those of template S.06.02 which should be expressed in units with two decimals;

b) data points of type 'rate' should be expressed in units with four decimals;

c) data points of type 'integer' should be expressed in units without decimals.

d) all data points are expressed in positive values, with the following exceptions:

(i) when they are of a nature opposite to the natural amount of the element;

(ii) when the nature of the data point allows communicating positive and negative values;

(iii) when a different reporting format is required by the corresponding instructions set in the annexes of Implementing Regulation (EU) 2015/2450.

Guideline 18 - Regular report to the supervisor - Format of information communicated

Insurance and reinsurance undertakings should take into account the data point modeling published by EIOPA when communicating information contained in the quantitative information communication templates.

VI. Link with EIOPA guidelines on information to be communicated for financial stability purposes

EIOPA Guidelines on information to be communicated for financial stability purposes (original version of 14 September 2015)	Circular NBB 2023 10
Guideline 1	Guideline 1
Guideline 2	Guideline 2
Guideline 3	Guideline 3
Guideline 4	Guideline 4
Guideline 5	Guideline 5
Guideline 6	Guideline 6
Guideline 7	Guideline 7
Guideline 8	Guideline 8
Guideline 9	Guideline 9
Guideline 10	Deleted
Guideline 11	Guideline 10
Guideline 12	Guideline 11
Guideline 13	Deleted
Guideline 14	Guideline 12
Guideline 15	Guideline 13
Guideline 16	Guideline 14
Guideline 17	Guideline 15
Guideline 18	Deleted
Guideline 19	Deleted
Guideline 20	Guideline 16
Guideline 21	Guideline 17
Guideline 22	Guideline 18

A copy of this circular is addressed to the commissioner(s), approved auditor(s) of your company.

We ask you to accept, Madam, Sir, the expression of our distinguished sentiments.

Pierre Wunsch
Governor

Annexes: 2

[1] https://www.eiopa.europa.eu/tools-and-data/supervisor-reporting-dpm-and-xbrl