S.03.01 — Off–balance sheet items — General
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General comments:
This section relates to the annual submission of information for groups.
This template shall include the information referring to off–balance sheet items and the maximum and solvency II value of contingent liabilities in Solvency II balance sheet also. As regards the Solvency II value, the instructions define the items from a recognition perspective. Valuation principles are laid down in Directive 2009/138/EC, Delegated Regulation (EU) 2015/35, Solvency II Technical Standards and Guidelines.
A pool of assets that secure an investment (e.g. the pool of assets that are a collateral for covered bonds) shall not be reported in this template.
Guarantee require the issuer to make specified payments to reimburse the holder for a loss it incurs if a specified debtor fails to make payment when due under the original or modified terms of a debt instrument. These guarantees can have various legal forms, such as financial guarantees, letters of credit, credit default contracts. These items shall not include guarantees stemming from insurance contracts, which are recognised in technical provisions.
A contingent liability is defined as:
- a) a possible obligation that arises from past events and whose existence will be confirmed only by the occurrence or non–occurrence of one or more uncertain future events not wholly within the control of the entity; or
- c) a present obligation that arises from past events even if:
- iii. it is not probable that an outflow of resources embodying economic benefits will be required to settle the obligation; or
- iv. the amount of the obligation cannot be measured with sufficient reliability.
Collateral is an asset with a monetary value or a commitment that secure the lender against the defaults of the borrower. The value of the collateral should be reported as the economic value of the collateral at per reference date (Solvency II value of the assets), not as the risk-adjusted value of a collateral according to Article 197 of the Delegated Regulation.
Only limited guarantees are to be reported in this template. Internal guarantees within the scope of group supervision are not reported in this template excluding information about any provided or received unlimited guarantee.
At group level, the template is applicable for all entities within the scope of group supervision — including other financial sectors and non–controlled participations — for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
For non–controlled participations guarantees provided and guarantees received are included on a proportional basis when method 1 is applied. When method 2 is applied these guarantees are reported with the total amount.
This template shall be reported considering the following specifications, which regards to the instructions in the below table:
- a) the amount of any of the following sums is higher than 2% of Total Assets:
- i. (C0020/R0010) Value of guarantee/collateral/contingent liabilities Guarantees provided by the undertaking, including letters of credit +
Solvency II software
- (C0020/R0300) Value of guarantee/collateral/contingent liabilities Total collateral pledged + (C0010/R0400) Maximum value — Total Contingent liabilities;
- ii. (C0020/R0030) Value of guarantee/collateral/contingent liabilities Guarantees received by the undertaking, including letters of credit + (C0020/R0200) Value of guarantee/collateral/contingent liabilities — Total collateral held; or
- b) the undertaking has provided or received unlimited guarantee.
Undertakings consolidated in accordance with points (d), (e) and (f) of Article 335(1) of Delegated Regulation (EU) 2015/35 are excluded from the calculation of the threshold.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Maximum value — Guarantees provided by the group, including letters of credit |
Sum of all possible cash out–flows related to guarantees if events triggering guarantees were all to happen in relation to guarantees provided by the group to another party. It includes cash–flows related to letter of credit. In case any guarantee is also identified as contingent liability under R0310, the maximum amount shall also be included in this row. |
| C0020/R0010 | Value of guarantee/collateral/co ntingent liabilities — Guarantees provided by the group, including letters of credit |
Solvency II value of the guarantees provided by the group, including letters of credit. |
| C0010/R0030 | Maximum value — Guarantees received by the group, including letters of credit |
Sum of all possible cash in–flows related to guarantees if events triggering guarantees were all to happen in relation to guarantees received by the group from another party to guarantee the payment of the liabilities due by the group (includes letter of credit, undrawn committed borrowing facilities). |
| C0020/R0030 | Value of guarantee/collateral/co ntingent liabilities — Guarantees received by the group, including letters of credit |
Solvency II value of the guarantees received by the group, including letters of credit. |
| C0020/R0100 | Value of guarantee / collateral / contingent liabilities — Collateral held for loans made or bonds purchased |
Solvency II value of the collaterals held for loans made or bonds purchased. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
|---|---|---|
| C0020/R0110 | Value of guarantee / collateral / contingent liabilities — Collateral held for derivatives |
Solvency II value of the collaterals held for derivatives. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0120 | Value of guarantee / collateral / contingent liabilities — Assets pledged by reinsurers for ceded technical provisions |
Solvency II value of the assets pledged by reinsurers for ceded technical provisions. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0130 | Value of guarantee / collateral / contingent liabilities — Other collateral held |
Solvency II value of other collaterals held. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0020/R0200 | Value of guarantee / collateral / contingent liabilities — Total collateral held |
Total Solvency II value of the collaterals held. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0030/R0100 | Value of assets for which collateral is held — Collateral held for loans made or bonds purchased |
Solvency II value of the assets for which the collateral for loans made or bonds purchased is held. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0030/R0110 | Value of assets for which collateral is held — Collateral held for derivatives |
Solvency II value of the assets for which the collateral for derivatives is held. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0030/R0120 | Value of assets for which collateral is held — Assets pledged by reinsurers |
Solvency II value of the assets for which the collateral on assets pledged by reinsurers for ceded technical provisions is held. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| for ceded technical provisions |
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|---|---|---|
| C0030/R0130 | Value of assets for which collateral is held — Other collateral held |
Solvency II value of the assets for which the other collateral is held. Other local/sectoral valuation principles than |
| Solvency II ones may be relevant in this case. | ||
| C0030/R0200 | Value of assets for which collateral is held — Total collateral held |
Total Solvency II value of the assets for which the total collateral is held. |
| Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
||
| C0020/R0210 | Value of guarantee / collateral / contingent liabilities — Collateral pledged for loans received or bonds issued |
Solvency II value of the collaterals pledged for loans received or bonds issued. |
| Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
||
| C0020/R0220 | Value of guarantee / collateral / contingent liabilities — Collateral pledged for derivatives |
Solvency II value of the collaterals pledged for derivatives. |
| Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
||
| C0020/R0230 | Value of guarantee / collateral / contingent |
Solvency II value of the assets pledged to cedants for technical provisions (reinsurance accepted). |
| liabilities — Assets pledged to cedants for technical provisions (reinsurance accepted) |
Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
|
| C0020/R0240 | Value of guarantee / collateral / contingent liabilities — Other collateral pledged |
Solvency II value of the collateral pledged for other collateral. |
| Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
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| C0020/R0300 | Value of guarantee / collateral / contingent liabilities — Total collateral pledged |
Total Solvency II value of the collateral pledged. |
| Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
||
| C0040/R0210 | Value of liabilities for which collateral is pledged — Collateral pledged for loans |
Solvency II value of the liabilities for which the collateral for loans received or bonds issued is pledged. |
| received or bonds issued |
Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
|
|---|---|---|
| C0040/R0220 | Value of liabilities for which collateral is pledged — Collateral pledged for derivatives |
Solvency II value of the liabilities for which the collateral for derivatives is pledged. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0040/R0230 | Value of liabilities for which collateral is pledged — Assets pledged to cedants for technical provisions (reinsurance accepted) |
Solvency II value of the liabilities for which the assets are pledged to cedants for technical provisions (reinsurance accepted). Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0040/R0240 | Value of liabilities for which collateral is pledged — Other collateral pledged |
Solvency II value of the liabilities for which other collateral is pledged. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0040/R0300 | Value of liabilities for which collateral is pledged — Total collateral pledged |
Total Solvency II value of the liabilities for which the collateral is pledged. Other local/sectoral valuation principles than Solvency II ones may be relevant in this case. |
| C0010/R0310 | Maximum value — Contingent liabilities not in Solvency II Balance Sheet |
Maximum possible value, regardless of their probability (i.e. future cash out–flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent liabilities that are not included in those valued in Solvency II Balance Sheet (item C0010/R0740 of S.02.01) |
| Internal contingent liabilities within the scope of group supervision are not reported in this template. This shall relate to Contingent liabilities that are |
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| not material. This amount shall include guarantees reported in R0010 if considered as contingent liabilities. |
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| C0010/R0330 | Maximum value — Contingent liabilities in Solvency II Balance Sheet |
Maximum possible value, regardless of their probability (i.e. future cash out–flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk–free interest rate term structure) of contingent |
| liabilities that are valued in Solvency II Balance Sheet, as defined in Article 11 of the Delegated Regulation (EU) 2015/35. |
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|---|---|---|
| C0010/R0400 | Maximum value — Total Contingent liabilities |
Total maximum possible value, regardless of their probability (i.e. future cash flows required to settle the contingent liability over the lifetime of that contingent liability, discounted at the relevant risk– free interest rate term structure) of contingent liabilities. |
| C0020/R0310 | Value of guarantee/ collateral / contingent liabilities — Contingent liabilities not in Solvency II Balance Sheet |
Solvency II value of the contingent liabilities not in Solvency II Balance Sheet. |
| C0020/R0330 | Value of guarantee / collateral / contingent liabilities — Contingent liabilities in Solvency II Balance Sheet |
Solvency II value of the contingent liabilities in Solvency II Balance Sheet. This value shall only be reported in relation to contingent liabilities for which a value in item C0010/R0330 in S.03.01 was reported. If this value is lower than C0010/R0740 in S.02.01 an explanation shall be provided in the narrative reporting. |
| C0050/R0510 | Unlimited guarantees - received |
Indication if the unlimited guarantees received exists. One of the options in the following closed list shall be used: 0 - no unlimited guarantees received; 1 - Unlimited guarantees received only from group; 2 - Unlimited guarantees received only from outside the group; 3 - Unlimited guarantees received from group and from outside the group. |
| C0050/R0520 | Unlimited guarantees - provided |
Indication if the unlimited guarantees provided exists. One of the options in the following closed list shall be used: 0 - no unlimited guarantees provided; 1 - Unlimited guarantees provided only by group; 2 - Unlimited guarantees provided only by an entity outside the group; |
| 3 - Unlimited guarantees provided by group and by | |
|---|---|
| entity outside the group. |