Instruction No. 2016-I-25 of December 13, 2016 regarding the transmission of information to the Prudential Control and Resolution Authority by insurance companies

AUTORITÉ DE CONTRÔLE PRUDENTIEL ET DE RÉSOLUTION

Instruction No. 2016-I-25 regarding the transmission to the Prudential Control and Resolution Authority of information by the companies mentioned in point 4 of Article L.310-3-1 of the Insurance Code

The Prudential Control and Resolution Authority, Having regard to Delegated Regulation (EU) No 2015/35 of the European 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 (Solvency II); Having regard to Implementing Regulation (EU) No 2015/2450 of the European Commission of 2 December 2015 defining implementing technical standards with regard to information reporting templates to supervisory authorities under Directive 2009/138/EC of the European Parliament and of the Council; Having regard to Regulation (EU) No 1374/2014 of the European Central Bank of 28 November 2014 on statistical reporting requirements applicable to insurance undertakings (ECB/2014/50); Having regard to the Monetary and Financial Code, in particular Articles L. 612-2 and L. 612-24; Having regard to the Insurance Code, in particular Articles L. 329-1, L. 310-3-1, L. 355-1 and L. 354-2; Having regard to Instruction No. 2016-I-16 of the Prudential Control and Resolution Authority regarding the annual prudential documents to be communicated by entities subject to ACPR supervision under the so-called "Solvency II" regime; Having regard to Instruction No. 2016-I-17 regarding the transmission to the Prudential Control and Resolution Authority of prudential documents by insurance and reinsurance undertakings subject to the so-called "Solvency II" regime; Decides:

Article 1: The following are hereinafter referred to as "third-country branches": the branches of companies mentioned in point 4 of Article L. 310-3-1 of the Insurance Code and operating on the territory of the French Republic within the meaning of paragraph I a) of Article L. 300-1 of the Insurance Code.

Article 2: Third-country branches shall communicate the following information provided for in Article L. 355-1 of the Insurance Code:

• a Solvency and Financial Condition Report (SFCR) including the information provided for in Annex XX of Delegated Regulation (EU) 2015/35;
• a Regular Supervisory Report (RSR) including the information provided for in Annex XX of Delegated Regulation (EU) 2015/35, and presenting in a coherent manner the information referred to in Annexes 1 and 2 of this Instruction;
• an Own Risk and Solvency Assessment (ORSA), including the results of each regular assessment they carry out. This report must be submitted at least annually and immediately following any significant change in their risk profile, in accordance with Articles L. 354-2 and R. 354-3-4 of the Insurance Code;
• the annual and quarterly quantitative statements completed concerning their operations, as provided for in Articles 5, 6 and 9 of this Instruction and completing, where applicable, the information presented in the Regular Supervisory Report;
• a copy of the information communication for the purpose of supervision of the head office of the branch;
• a summary of any significant action taken by the supervisory authorities of the third country concerning the head office of the branch, including confirmation that this company complies with the regulatory solvency requirements of the third country applicable to it;
• where applicable, the location of other branches established by the same company or that it intends to establish within the European Union.

Article 3: Third-country branches shall communicate "monetary" data in euros, in application of ACPR Instruction No. 2016-I-17. Third-country branches shall convert into euros the value of all their assets or liabilities denominated in a currency other than the euro. To do so, they shall use the last available closing exchange rate of the reference period to which the elements whose value must be converted relate. Third-country branches shall convert the value of any revenue or expense into euros using the conversion basis used for the preparation of their accounts. Third-country branches shall convert values into euros by applying the exchange rate from the same source as that used for the financial statements of the company from which they originate.

Article 4: Third-country branches shall transmit the information covered by this Instruction according to the information exchange formats determined by the Prudential Control and Resolution Authority while respecting the following specifications: a) "monetary" data shall be expressed in units without decimals, with the exception of those in statements S.06.02, S.08.01, S.08.02 and S.11.01 which must be expressed in units with two decimals; b) "rate" data shall be expressed in units with four decimals; c) "integer" data shall be expressed in units without decimals.

Article 5: Third-country branches shall communicate annually to the Prudential Control and Resolution Authority the following information concerning their operations:

• the following statements in accordance with Annexes 1 and 2 of this Instruction: o S.01.01.07 – Table of Contents; o S.01.02.07 – Basic Information; o S.02.01.07 – Balance Sheet; o S.02.03.07 – Additional Information on the Branch; o S.06.02.07 – List of Assets; o S.23.01.07 – Own Funds; o S.23.03.07 – Annual Movements in Own Funds; o S.29.01.07 – Surplus of Assets over Liabilities;
• the following statements from Annexes 1 and 2 of Implementing Regulation (EU) 2015/2450 of the Commission defining implementing technical standards with regard to information reporting templates to supervisory authorities under Directive 2009/138/EC of the European Parliament and of the Council: o S.01.03.01 - Basic Information – Ring-fenced funds and portfolios under equalisation reserve; o S.02.02.01 – Assets and liabilities by currency; o S.03.01.01 – Off-balance sheet items – General; o S.03.02.01 – Off-balance sheet items – List of unlimited guarantees received by the company; o S.03.03.01 – Off-balance sheet items – List of unlimited guarantees provided by the company; o S.05.01.01 – Premiums, claims and expenses by line of business; o S.05.02.01 – Premiums, claims and expenses by country; o S.06.03.01 – Undertakings for Collective Investment (UCI) – Transparency approach; o S.07.01.01 – Structured products; o S.08.01.01 – Open positions on derivatives; o S.08.02.01 – Transactions on derivatives; o S.09.01.01 – Information on profits/revenues and losses recorded during the reference period; o S.10.01.01 – Securities lending and repurchase agreements; o S.11.01.01 – Assets held as collateral; o S.12.01.01 – Life and health technical provisions (LHTP); o S.12.02.01 – Life and health technical provisions (LHTP) – By country; o S.13.01.01 – Projection of future gross cash flows; o S.14.01.01 – Analysis of life commitments; o S.15.01.01 – Description of variable annuity guarantees; o S.15.02.01 – Hedging of variable annuity guarantees; o S.16.01.01 - Information on annuities arising from non-life insurance commitments, as well as by currency only in the following case: if on a discounted basis, the best estimate of the claims provisions entitling to an annuity for a given non-life line of business represents more than 3% of the total best estimate of all claims provisions entitling to an annuity, the information by currency should be communicated according to the following breakdown: ▪ amounts in euros; ▪ amounts for any currency representing more than 25% of the best estimate of the claims provisions entitling to an annuity, calculated on a discounted basis, in the original currency of this non-life line of business; or ▪ amounts for any currency representing less than 25% of the best estimate of the claims provisions entitling to an annuity (calculated on a discounted basis) in the original currency of this non-life line of business, but more than 5% of the total best estimate of all claims provisions entitling to an annuity; o S.17.01.01 – Non-life technical provisions; o S.17.02.01 – Non-life technical provisions by country; o S.18.01.01 – Projection of future cash flows (best estimate – non-life); o S.19.01.01 – Non-life claims, as well as by currency only in the following case: if the total gross best estimate in a given non-life line of business represents more than 3% of the gross best estimate of the claims provisions, the information by currency should be communicated according to the following breakdown: ▪ amounts in euros; ▪ amounts for any currency representing more than 25% of the gross best estimate of the claims provisions, in the original currency of this non-life line of business; or ▪ amounts for any currency representing less than 25% of the gross best estimate of the claims provisions in the original currency of this non-life line of business, but more than 5% of the total gross best estimate of the claims provisions in the original currency; o S.20.01.01 – Evolution of the distribution of the claims burden; o S.21.01.01 – Risk profile of the claims distribution; o S.21.02.01 – Underwriting risks in non-life; o S.21.03.01 – Distribution of underwriting risks in non-life – By sum insured; o S.22.01.01 – Impact of long-term guarantee measures and transitional measures; o S.22.04.01 – Information concerning the calculation of the transitional measure on interest rates; o S.22.05.01 – Calculation of the overall impact of the transitional measure on technical provisions; o S.22.06.01 – Best estimate subject to a volatility correction, by country and by currency; o S.24.01.01 – Holdings; o S.25.01.01 – Solvency Capital Requirement (SCR) – for companies using the standard formula; o S.25.02.01 – Solvency Capital Requirement (SCR) – for companies using the standard formula and a partial internal model; o S.25.03.01 – Solvency Capital Requirement (SCR) – for companies using a full internal model; o S.26.01.01 – Solvency Capital Requirement (SCR) – Market risk; o S.26.02.01 – Solvency Capital Requirement (SCR) – Counterparty default risk; o S.26.03.01 – Solvency Capital Requirement (SCR) – Life underwriting risk; o S.26.04.01 – Solvency Capital Requirement (SCR) – Health underwriting risk; o S.26.05.01 – Solvency Capital Requirement (SCR) – Non-life underwriting risk; o S.26.06.01 – Solvency Capital Requirement (SCR) – Operational risk; o S.26.07.01 – Solvency Capital Requirement (SCR) – Simplified calculations; o S.27.01.01 – Solvency Capital Requirement (SCR) – Non-life and health catastrophe risk; o S.28.01.01 – Minimum Capital Requirement (MCR) – Life insurance or reinsurance activity only or non-life insurance or reinsurance activity only; o S.28.02.01 – Minimum Capital Requirement – Life and non-life insurance or reinsurance activities; o S.29.02.01 – Surplus of assets over liabilities – Explained by investments and financial liabilities; o S.29.03.01 – Surplus of assets over liabilities – Explained by technical provisions; o S.30.01.01 – Non-life and life facultative reinsurance – Basic data; o S.30.02.01 – Non-life and life facultative reinsurance – Data on shares; o S.30.03.01 – Reinsurance cession programme – Basic data; o S.30.04.01 – Reinsurance cession programme – Data on shares; o S.31.01.01 – Share of reinsurers (including finite reinsurance and securitisation vehicles); o S.31.02.01 – Securitisation vehicles.

Regarding statements S.25 and S.26, third-country branches shall ensure:

• where applicable, to communicate the detail of ring-fenced funds or portfolios under equalisation reserve;
• if a partial internal model is used, to communicate only the risks covered by the standard formula, unless otherwise decided by the Prudential Control and Resolution Authority;
• if a full internal model is used, the statements do not need to be communicated.

Third-country branches subject to the communication of annual quantitative statistical information intended for the European Central Bank under Regulation (EU) No 1374/2014 of the European Central Bank must communicate in addition to the statements mentioned above the following statements in replacement of the equivalent statements not provided with this information: o SE.01.01.18; o SE.02.01.18; o SE.06.02.18; o E.01.01.16; o E.02.01.16; o E.03.01.16;

Article 6: Unless exempted according to the procedures provided for in ACPR Instructions No. 2016-I-01 and No. 2016-I-02, third-country branches shall communicate quarterly to the Prudential Control and Resolution Authority the following information concerning their operations:

• the following statements in accordance with Annex 1 of this Instruction: o S.01.01.08 – Table of Contents; o S.01.02.07 – Basic Information; o S.02.01.08 – Balance Sheet; o S.06.02.07 – List of Assets; o S.23.01.07 – Own Funds;
• the following statements from Annexes 1 and 2 of Implementing Regulation (EU) 2015/2450 of the Commission defining implementing technical standards with regard to information reporting templates to supervisory authorities under Directive 2009/138/EC of the European Parliament and of the Council: o S.05.01.02 – Premiums, claims and expenses by line of business; o S.06.03.01 – Undertakings for Collective Investment (UCI) – Transparency approach; o S.08.01.01 – Open positions on derivatives; o S.08.02.01 – Transactions on derivatives; o S.12.01.02 – Life and health technical provisions (LHTP); o S.12.01.02 – Life and health technical provisions (LHTP) – By country; o S.17.01.02 – Non-life technical provisions; o S.28.01.01 – Minimum Capital Requirement (MCR) – Life insurance or reinsurance activity only or non-life insurance or reinsurance activity only; o S.28.02.01 – Minimum Capital Requirement – Life and non-life insurance or reinsurance activities.

Third-country branches subject to the communication of quarterly quantitative statistical information intended for the European Central Bank under Regulation (EU) No 1374/2014 of the European Central Bank must communicate in addition to the statements mentioned above the following statements in replacement of the equivalent statements not provided with this information: o SE.01.01.19; o SE.02.01.19; o SE.06.02.18; o E.01.01.16;

Article 7: To complete statement S.02.01.08, requested in accordance with Article 6 of this Instruction, third-country branches may rely on estimates for quarterly submissions. Third-country branches must design estimation procedures for quarterly statements in order to guarantee that the resulting information is reliable and meets the standards provided for in Book III, Title V of the Insurance Code, and that all material information necessary for the understanding of the data is declared. With regard to the information in statements S.12.01.02 and S.17.01.02, third-country branches may apply for quarterly submissions simplified methods for calculating technical provisions concerning their operations. For calculations to be performed quarterly, they may use the result of a previous calculation of the risk margin without explicitly calculating the risk margin each quarter.

Article 8: Third-country branches shall communicate annually to the Prudential Control and Resolution Authority, concerning their operations, the following structured information concerning significant ring-fenced funds, significant portfolios under equalisation reserve and the remaining share:

• the following statements from Annexes 1 and 2 of Implementing Regulation (EU) 2015/2450 of the Commission defining implementing technical standards with regard to information reporting templates to supervisory authorities under Directive 2009/138/EC of the European Parliament and of the Council: o SR.12.01.01 – Life and health technical provisions (LHTP); o SR.17.01.01 – Non-life technical provisions; o SR.25.01.01 – Solvency Capital Requirement (SCR) – for companies using the standard formula; o SR.25.02.01 – Solvency Capital Requirement (SCR) – for companies using the standard formula and a partial internal model; o SR.25.03.01 – Solvency Capital Requirement (SCR) – for companies using a full internal model; o SR.26.01.01 – Solvency Capital Requirement (SCR) – Market risk; o SR.26.02.01 – Solvency Capital Requirement (SCR) – Counterparty default risk; o SR.26.03.01 – Solvency Capital Requirement (SCR) – Life underwriting risk; o SR.26.04.01 – Solvency Capital Requirement (SCR) – Health underwriting risk; o SR.26.05.01 – Solvency Capital Requirement (SCR) – Non-life underwriting risk; o SR.26.06.01 – Solvency Capital Requirement (SCR) – Operational risk; o SR.26.07.01 – Solvency Capital Requirement (SCR) – Simplified calculations; o SR.27.01.01 – Solvency Capital Requirement (SCR) – Non-life and health catastrophe risk;
• the following statements in accordance with Annexes 1 and 2 of this Instruction: o SR.01.01.07 – Table of Contents; o SR.02.01.07 – Balance Sheet.

Regarding statements SR.26 and SR.27, third-country branches shall ensure:

• if a partial internal model is used, to communicate only the risks covered by the standard formula, unless otherwise decided by the Prudential Control and Resolution Authority;
• if a full internal model is used, the statements do not need to be communicated.

Third-country branches shall communicate annually, concerning their operations related to each significant portfolio under equalisation reserve, the following statements from Annexes 1 and 2 of Implementing Regulation (EU) 2015/2450 of the Commission defining implementing technical standards with regard to information reporting templates to supervisory authorities under Directive 2009/138/EC of the European Parliament and of the Council: o SR.22.02.01 – Projection of future cash flows (best estimate – portfolios under equalisation reserve); o SR.22.03.01 – Information on the calculation of the equalisation reserve.

When third-country branches use an internal model to calculate the Solvency Capital Requirement (SCR) concerning their operations, they ensure that the notional SCR for each significant ring-fenced fund, each significant portfolio under equalisation reserve and the remaining share are taken into account in their communication to the Prudential Control and Resolution Authority of statements S.25.02.01 and S.25.03.01.

Article 9: When communicating information concerning the balance sheet, own funds and SCR, third-country branches shall ensure that only assets available for distribution upon their liquidation to pay the insurance claims of their policyholders are included. When communicating information concerning the balance sheet, third-country branches shall list their gross available assets net of privileged claims and prior security rights and declare the net amount of these available assets and the deduction of their privileged claims and prior security rights in statement S.02.03.07.

Article 10: Third-country branches shall communicate to the Prudential Control and Resolution Authority their Solvency and Financial Condition Report (SFCR), their Regular Supervisory Report (RSR), as well as the copy of the information communication for the purpose of supervision of the head office of the branch, the summary of any significant action taken by the supervisory authorities of the third countries concerning the head office of the branch and, where applicable, the location of other branches established by the same company or that it intends to establish within the European Union (hereinafter "other documents"), referred to in Article 2 for the first time for the financial year ending on 30 June 2016 or later, but before 1 January 2017, and at the latest 14 weeks after the end of their financial year, without prejudice to Article 14 of this Instruction.

9 Third-country branches must communicate annually to the Prudential Control and Resolution Authority their Solvency and Financial Condition Report (SFCR) and other documents, and their Regular Supervisor Report (RSR) at least every 3 years after the first submission mentioned in the previous paragraph, unless the Prudential Control and Resolution Authority requires annual communication according to the procedures provided for in Article 312 of Delegated Regulation (EU) 2015/35.

Article 11: Third-country branches must communicate to the Prudential Control and Resolution Authority the information referred to in Articles 5 and 8 at the latest 14 weeks after the end of their fiscal year, without prejudice to Article 15 of this Instruction.

Article 12: Third-country branches must communicate to the Prudential Control and Resolution Authority the information referred to in Article 6 at the latest 5 weeks after the end of the relevant quarter, without prejudice to Article 16 of this Instruction.

Article 13: Third-country branches must communicate to the Prudential Control and Resolution Authority the Internal Risk and Solvency Assessment Report (ORSA) two weeks after its approval.

Article 14: As a transitional measure, for the years 2016, 2017 and 2018, third-country branches provide the information referred to in Article 10 of this Instruction within the following time limits:

• for information relating to the fiscal year ending on 1 January 2016 or after, but before 1 January 2017, at the latest 20 weeks after the end of their fiscal year;
• for information relating to the fiscal year ending on 1 January 2017 or after, but before 1 January 2018, at the latest 18 weeks after the end of their fiscal year, and, regarding the Regular Supervisor Report (RSR), if its communication is requested by the Prudential Control and Resolution Authority in accordance with Article 10;
• for information relating to the fiscal year ending on 1 January 2018 or after, but before 1 January 2019, at the latest 16 weeks after the end of their fiscal year, and, regarding the Regular Supervisor Report (RSR), if its communication is requested by the Prudential Control and Resolution Authority in accordance with Article 10.

Article 15: As a transitional measure, for the years 2016, 2017 and 2018, third-country branches provide the information referred to in Articles 5 and 8 of this Instruction within the following time limits:

10

• for statements concerning their operations relating to the fiscal year ending on 30 June 2016 or after, but before 1 January 2017, at the latest 20 weeks after the end of their fiscal year;
• for statements concerning their operations relating to the fiscal year ending on 1 January 2017 or after, but before 1 January 2018, at the latest 18 weeks after the end of their fiscal year;
• for statements concerning their operations relating to the fiscal year ending on 1 January 2018 or after, but before 1 January 2019, at the latest 16 weeks after the end of their fiscal year.

Article 16: As a transitional measure, for the years 2016, 2017 and 2018, third-country branches provide the information referred to in Article 7 of this Instruction within the following time limits:

• for statements concerning their operations relating to a quarter ending on 1 September 2016 or after, but before 1 January 2017, at the latest 8 weeks after the end of the relevant quarter;
• for statements concerning their operations relating to a quarter ending on 1 January 2017 or after, but before 1 January 2018, at the latest 7 weeks after the end of the relevant quarter;
• for statements concerning their operations relating to a quarter ending on 1 January 2018 or after, but before 1 January 2019, at the latest 6 weeks after the end of the relevant quarter.

Article 17: This Instruction enters into application the day following its publication. Paris, 13 December 2016 For the Insurance Sectoral Sub-College The President, [Bernard DELAS]