QRRT RBC Technical Specifications

Bhadra 19, 2081 (04-09-2024)

Nepal Insurance Authority

Quantitative Regulatory Reporting Templates for

the Risk-Based Capital (QRRT RBC)

Technical Specifications

Bhadra 19, 2081

September 4, 2024

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 QRRT RBC Technical Specifications
Bhadra 19, 2081 (04-09-2024)

Contents
General instructions. ......................................................................................................... 4
Process for the submission of the QRRT RBC templates to NIA ............................................. 5
00.01 _Index .................................................................................................................... 6

00.02 _Errors .................................................................................................................... 7

RFR_curves (and allowed spreads for the valuation of assets) ......................................... 8

01.01_ID ....................................................................................................................... 11
01.02 ............................................................................................................................ 11
02.01_BS ....................................................................................................................... 13
Assets ........................................................................................................................ 13
Liabilities .................................................................................................................... 24
Equity ........................................................................................................................ 28
02.02_RBC..................................................................................................................... 29
02.03_ACR..................................................................................................................... 31
03.01 ............................................................................................................................ 32
03.02 ............................................................................................................................ 32
03.03 ............................................................................................................................ 45
Assets other than investments...................................................................................... 45
Off-balance sheet items ............................................................................................... 46
04.01 ............................................................................................................................ 47
04.02_Reins ................................................................................................................... 47
05.01_DI ....................................................................................................................... 52
05.01_AR....................................................................................................................... 53
05.02_DI ....................................................................................................................... 54
05.02_AR....................................................................................................................... 55
05.03_01 and 05.03_02 .................................................................................................. 56
05.04 ............................................................................................................................ 57
05.05_01 and 05.05_02 .................................................................................................. 58
06.01 ............................................................................................................................ 59
06.02 ............................................................................................................................ 61
06.03 ............................................................................................................................ 62

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06.04 ............................................................................................................................ 63
06.05_CF ....................................................................................................................... 64
06.06 ............................................................................................................................ 65
07.01 ............................................................................................................................ 68
07.02 ............................................................................................................................ 68
08.01 – 08.02 ................................................................................................................ 69
09.01 ............................................................................................................................ 70
09.02 ............................................................................................................................ 71
Annexure I. Short identification provided by NIA to report in template 00.01_Index ............. 72
Annexure II. Guideline for RBC Valuation Note .................................................................. 74
Annexure III. Statement of valuation results ..................................................................... 81
Annexure IV. Statement of Specimen Policy Values. .......................................................... 82

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General instructions.
1. This document contains the technical specifications for insurers and reinsurers licensed in
Nepal, excluding micro insurers1, to fill in the Quantitative Regulatory Reporting Templates
under the Risk-Based Capital framework (hereinafter, QRRT RBC) and submit to Nepal
Insurance Authority (hereinafter, NIA).
2. For the time being, the QRRT RBC refers to the individual activities of insurers and
reinsurers licensed in Nepal. Where it is relevant to a group supervision or a conglomerate
supervision, NIA will complete the individual QRRT RBC with the necessary information
tailored on a case by case basis.
3. NIA interprets that the QRRT RBC content referred to investments and these Technical
Specifications on investments materialize the legal provision set out in the last incise of
paragraph (79) Annexure V of the Risk Based Capital and Solvency Directive (2078).
4. Throughout these specifications and the QRRT RBC the expressions “technical provisions”
and “technical reserves” are used as synonyms.
5. Technical reserves shall be reported without applying the transitional provisions on policy
reserves (paragraphs (93) to (97) Annexure VII of the Risk Based Capital and Solvency
Directive (2078)), unless otherwise requested explicitly in the templates.
6. Information reported referred to the valuation of assets and liabilities shall provide the
valuation in the solvency balance sheet. Valuation in the financial statements shall be
provided where explicitly required, such as, for example, in template 02.01_BS (column
C0010), template 03.02 (columns C0180, C0190 and C0200) and template 03.03, first
table (column C0030).

For the sake of integrity, the excel file with the QRRT RBC templates is provided with
protection in those cells that contain formulas or move information from one template
to another. The reporting entity shall not break these protections, otherwise NIA shall
reject the submission with unprotected sheets or where there is evidence that protected
cells have been changed.
Furthermore, the reporting entity shall neither change the layout of the templates nor
insert or delete rows or columns (otherwise the submission shall not be admitted).
Nevertheless, the reporting entity may widen columns where required for visibility of
large amounts. In some templates the entity may also increase the height of rows.
All initial controls/errors should be cleared before submitting the information
(please, refer to sheet 00.02_Errors).

1
NIA will provide micro insurers (either life or non-life) with the relevant regulatory reporting templates
and technical specifications.

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7. The reporting entity shall quantify the information of the templates according to its
knowledge and estimates at the reference date. Material events occurred or information
received after that date, shall not be considered in the templates but reported in a
separate qualitative report, explaining the source and impact of the event or information,
or any other background relevant for the assessment of the solvency position of the
reporting entity.
8. For any technical, actuarial or financial queries contact NIA at the following email address
[email protected], specifying in the matter: “QRRT. Sheet nn.nn.
Range/Cell yyyy….”.
9. In case of typos or errors, NIA will update either the QRRT RBC excel file or the Technical
Specifications word file, including a log of templates changed in each version. Before
submitting the information, the reporting entity should verify that the version used is the
last available on the NIA website. The version of the QRRT RBC is identified in sheet
00.01_Index, cell I5 (item R0009) of the excel file and in the first page of the Technical
Specifications.
10. Unless otherwise specified, the economic amounts shall be reported in Nepalese Rupees
(NPR units).
11. Colour coding of cells.
□ Cells filled with blue colour are automatically calculated or contain NIA inputs.
□ Cells filled with yellow colour transport inputs from one template to another.
□ Cells filled with pink colour identify cells that the reporting entity must fill in, but
only certain inputs are admitted (cells with validations). Validations should not be
changed because it will likely lead to misleading outcomes or errors in the sequence
of calculations.
Blue and yellow cells are blocked. Therefore, the reporting entity does not need to fill
in those cells, but only white and light pink coloured cells.
12. When the reporting entity carries out activities outside Nepal or invests in assets expressed
in currencies other than NPR, the economic data in foreign currencies referred to a certain
date (such as technical provisions or investments valuation) shall be converted into NPR
applying the exchange rate at that date. Where the economic data refers to a period (such
as premiums during the year or cash flows of an investment) the conversion into NPR
shall be based on the exchange rates at transaction date, or where this is not practicable,
at the average exchange rate during the period.
13. Understanding of categories ‘gross’ and ‘net’.
Category ‘gross’ (such as ‘gross technical provisions’, ‘gross premiums’…) refer to the sum of
direct insurance and accepted reinsurance, unless otherwise stated or unless the category is
used in a template only referred to direct insurance business or only referred to accepted
reinsurance activities.
Category ‘net’ refers to direct insurance plus accepted reinsurance minus ceded and
retroceded reinsurance, unless otherwise stated or unless the category is used in a template
only referred to direct insurance business or only referred to accepted reinsurance activities.

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Process for the submission of the QRRT RBC templates to NIA

14. The reporting entity shall consider three files as part of the submission process:
(1) The QRRT RBC excel file with the templates to fill in by the reporting entity. All
initial controls/errors should be cleared before submitting the information (please,
refer to sheet 00.02_Errors).
The excel file shall be named as follows: Short NIA identification – [FY reported
+ A] – Short name of the reporting entity, as provided in Annexure I of these
Technical Specifications.
For example, for a non-life insurer with short NIA identification ‘GI077’,
the QRRT RBC for financial year ending Ashad 2081, should be reported
with the following label: GI077 – 2081A – short name of the reporting
entity.xlsx.
(2) RBC Valuation Note which shall have at least the content as per Annexure III.
The note shall be certified by the appointed actuary and shall be countersigned by
the Chief Executive Officer of the insurer or reinsurer. The link to the RBC Valuation
Note shall be provided in R0200 of 01.01_ID.
(3) In addition to the QRRT RBC and the RBC Valuation Note, the insurer or reinsurer
may send a report informing on the issues found when filling in the templates that
might provide material information for a correct understanding of the data reported,
such as additional information relevant for the purpose.
In the example above, this additional file should be reported with the following
label (short name is not needed): GI077 – 2081A – Additional info.xlsx
15. The submission of templates is mandatory with reference to Ashad-end 2081 with
exception of the following templates:
- Mandatory since Ashad-end 2082 onwards, templates 05.05_01 and 05.05_02.
- Mandatory since Ashad-end 2083 onwards, the upper part of templates 05.03_01
and 05.03_02 (ranges B14:I32 and K14:R21)2, and templates 05.04, 06.04, 09.01.
16. The Board of the reporting entity shall approve the templates and submit to NIA within
the time prescribed in para (57) and (58) of the Risk Based Capital and Solvency Directive,
2022.

2
The lower tables of templates 05.03_01 and 05.03_02, below the referred ranges, are mandatory
from Ashadh-end 2081 onwards.

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00.01 _Index
1. The reporting entity shall fill in,
R0001 - its registration number, which is the short code assigned by the NIA, such as
LI9999, GI9999, etc. (refer to Annexure I of these Technical Specifications).
R0002 - its complete legal name,
R0003 - the type of activity,
R0004 - whether the reporting entity
(a) has carried out accepted non-life reinsurance during the financial year, or
(b) At the end of the reported financial year, there are remaining non-life technical
provisions, from previously non-life accepted reinsurance although not having
been accepted during the current year.
In both cases R0004 shall be reported as ‘Yes’, otherwise as ‘No’,
R0005 – like R0004 but referred to accepted life reinsurance.
2. After filling these cells, the sheet automatically specifies in column D the templates that
the entity must fill in and submit (except templates 07.01 and 07.02 – intra-group
transactions and exposures, which are required only where exposures to subsidiaries or
associated entities is declared in the balance sheet).
3. The reporting entity shall not submit the QRRT RBC until the control of errors is cleared.
Press on cell I10 to go to the list of remaining errors to fix (sheet 00.02_Errors).

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00.02 _Errors
1. The reporting entity shall not submit the QRRT RBC until the control of errors of this sheet
is cleared. Scroll down in this sheet to go to the errors of the relevant sheet.
2. The reporting entity can access the formula of each control in columns H and I (C0040
and C0050) and to a guiding message in column J – C0060.
3. The reporting entity shall verify that the relevant reconciliations among related templates
are met. In particular, the amounts informed in template 02.01_BS shall reconcile with:
- the information on investments reported in template 03.02,
- the information on assets other than investments reported in template 03.03,- the
information on non-life technical provisions reported in templates 05.01_DI and
05.01_AR. Furthermore, templates 05.02_DI and 05.02_AR should be reconciled with
templates 05.01_DI and 05.01_AR respectively,
- the information on life technical provisions in templates 06.01, 06.02 and 06.5_CF,
- the information on reinsurance in template 04.02_Reins.
4. Errors for templates 05.nn only refer to non-life insurers, and reinsurers, where relevant.
Errors for templates 06.nn only refer to life insurers, and reinsurers, where relevant.

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RFR_curves (and allowed spreads for the valuation of assets)

1. This sheet provides the Nepalese risk-free interest rate curve that the reporting entity
must apply for the valuation of technical provisions in the non-stressed balance sheet, and
the stressed upwards and downwards curves that must apply in the calculation of the
technical provisions for the purpose of establishing the capital requirement corresponding
to interest rates risk.
2. The discounting factors provided assume that the cash flows during each future year will
be distributed uniformly during the year.
3. The reporting entity may develop monthly or quarterly projections of the cash flow of its
insurance contracts and therefore apply the consistent discounting factors, provided that
such discounting factors once transformed on an annual basis are according to the interest
rates curves of this sheet.
4. Where the insurer owns an asset with fixed cash flows and the asset lacks a reliable
market price or there are not sufficient similar assets with a reliable market price, the RFR
interest rates curves may be used for the valuation of the asset owned by the insurer by
discounting its cash flows, provided that the insurer increases the RFR interest rates with
an adequate spread according to the credit quality of the issuer or counterparty.
5. Those reporting entities having implemented ORSA may determine the relevant spreads
when the following conditions are met:
□ The calculation of the spreads is based on internationally accepted criteria which
is documented and approved by the Board of the insurer, and
□ There is an annual review (including at least back testing) of the appropriateness
of the methodology and its outcomes when applied to the asset of the insurer.
The annual review shall be carried out by a person independent from the one
that is responsible of the application of the methodology in its day-to-day
operation, and
□ The internal audit verifies that the outcomes of the methodology are monitored,
controlled, and reported according to the ORSA policy and any other internal rule
of functioning of the entity.

6. If the reporting entity is unable to determine the spread as mentioned in point no 5 or the
methodology applied for determining the spread does not meet the conditions mentioned
above, NIA will accept that the reporting entity apply a mark-to-model approach by
applying the spreads published in the official website of NIA along with the Risk Free Rates
(simple addition of the spread to each risk-free interest rate at each maturity).

Technical note: The non-stressed spreads are calculated as 75% of the simple
average of the fundamental spreads from 1 to 10 years for financial institutions, as
published by EIOPA for India with reference to end June 2024 (EIOPA excel file
PD_CoD, sheet INR, range L10:S20). For cash flows of assets with a term longer

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than 10 years from the date of reference of the reporting, the 10 years spreads shall
apply.

The 25% of reduction of the spread is applied to consider the difference

among the Indian risk-free rates and the Nepali ones.
The stressed spreads apply to the valuation of assets in the two scenarios considered
for the calculation of the capital requirement corresponding interest rates risk. The
spreads are calculated by increasing/decreasing the non-stressed spreads in 30 per
cent.
The 30 per cent is the stress set out for the central tranche of maturities
(4 to 7 years) in paragraph (44) Annexure III of the Risk-Based Capital
Directive.
Example of application of the stressed spreads: (Spreads to be provided by
NIA along with the publication of the Risk-Free Rate)
Let’s consider a scenario where the non-stressed risk-free interest rate
for the 3 years term is 5.70 per cent. Let’s consider a non-traded asset
with a single cash inflow at 3 years term and belonging to asset class 4.
The non-stressed solvency valuation of that asset (i.e. the valuation to
reflect in the solvency balance sheet, template 02.01_BS) may be
calculated with a mark-to-model approach, discounting the cash flow of
the asset with a discount rate equal to:
[1 + (0.0570 + 0.0149) ] ^(-3).
Note that for simplicity the spread 0.0149 applies to all maturities.
The upwards stressed solvency valuation of that asset (i.e. one of the
two valuations to carry out to calculate the capital requirement regarding
interest rate risk) may be calculated with a mark-to-model approach,
discounting the cash flow of the asset with a discount rate equal to:
[1 + ( 0.0570 x 1.55 + 0.0149 x 1.30) ] ^(-3).
Note that the stress set out for a 3 years term is 55 per cent
(paragraph (44) Annexure III of the Risk-Based Capital and
Solvency Directive).
Note also that 0.0149 * 1.30 = 0.0194, the upwards stress
relfected in the table above (once rounded).
For simplicity and given that the spreads are calculated as a single
average of 1 to 10 years terms, a uniform 30 per cent spread stress
is applied to all maturities and spreads
The downwards stressed solvency valuation of that asset (i.e. the other
valuation to carry out to calculate the capital requirement regarding the

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interest rate risk) may be calculated with a mark-to-model approach,

discounting the cash flow of the asset with a discount rate equal to:
[1 + ( 0.0570 x 0.45 + 0.0149 x 0.70) ] ^(-3).

For a fully transparent information of the process to calculate the spreads, as

summarized above, please refer to the information regularly published in the
official website of NIA.

To consider market movements, NIA shall update the spreads every year
according to the criteria of this technical note.

Additional example of application of the spreads published by the NIA for the
mark-to-model valuation of assets with fixed predefined cash flows.

Let’s consider

a scenario where the non-stressed risk-free interest rate for the 2-

years term is 5.42 per cent and for the 8-years term is 5.97 per cent,
a non-traded financial asset belonging to credit quality class 5 and
providing two predefined fixed cash inflows at 2- and 8-years term,
and
that NIA spreads for such financial asset and credit quality is 2.30
per cent. Note that for simplicity the spread 2.30 per cent applies to
all maturities.
Therefore, the methodology applied means that the corporate interest rates
curves are obtained as a parallel shift upwards of the Nepali risk-free curve.
The amount of the shift depends on whether the counterpart is a financial or
non-financial entity and on the credit quality of the counterpart. NIA will
regularly publish the spreads applicable at each end of month according to
the methodology described in the Technical Specifications.

Considering all above, the non-stressed solvency valuation of that asset (i.e.
the valuation to reflect in the solvency balance sheet, template 02.01_BS)
may be calculated with a mark-to-model approach, discounting the 2- and
8-years term cash flows of the asset with the following discount rates
respectively:
[ 1 + (0.0542 + 0.0230) ] ^(-2) and [ 1 + (0.0597 +
0.0230) ] ^(-8).
The upwards and the downwards stressed solvency valuations of that asset
(the two valuations to carry out to calculate the capital requirement
regarding interest rate risk) may be calculated with a mark-to-model
approach, applying the following formula:
Stressed_interest_rate_tenor(t) =
risk_free_interest rate_tenor(t) x ( 1 ± stress_tenor(t) para. 44
Directive)
+ spread_credit_quality x ( 1 ± 0,30 )

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Note that assets whose valuation is dependent on the level of interest rates
and credit spreads, are exposed on the one hand to default risk (captured in
the credit risk module, paragraphs 35 to 40 of the Risk-Based Capital and
Solvency Directive 2078) and on the other hand to adverse changes of value
due to the level and volatility of the credit spreads over the risk-free interest
rates term structures. The latter risk may be material and is captured in the
market risk module, interest rates risk submodule, by stressing the credit
spreads in the manner described in this item.
Therefore, the upwards stressed solvency valuation will discount the 2- and
8-years term cash flows of the asset with the following discount rates
respectively:
[ 1 + ( 0.0542 x ( 1 + 0.55 ) + 0.0230 x ( 1 + 0.30 ) ) ] ^(-2).
[ 1 + ( 0.0597 x ( 1 + 0.15 ) + 0.0230 x (1 + 0.30 ) ) ] ^(-8)
Note that the stress set out for a 2-years term is 55 per cent (paragraph
(44) Annexure III of the Risk-Based Capital and Solvency Directive). And the
stress set out in that legal provision for an 8-year terms is 15 per cent.
And consistently, the downwards stressed solvency valuation will discount
the 2- and 8-years term cash flows of the asset with the following discount
rates respectively:
[ 1 + ( 0.0542 x ( 1 - 0.55 ) + 0.0230 x ( 1 - 0.30 ) ) ] ^(-2).
[ 1 + ( 0.0597 x ( 1 - 0.15 ) + 0.0230 x (1 - 0.30 ) ) ] ^(-8)

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01.01_ID
1. The reporting entity shall fill in all the fields of this template. Otherwise, the control of
errors shall trigger an error for each cell left empty.
2. R0200 and R0210 - Where the actuarial valuation report is certified by an actuarial firm,
row R0200 shall reflect the name of the actuarial firm, while row R0210 shall reflect the
name of the natural person acting on behalf of the firm.
If an individual actuary provides the certification, cell R0200 shall report the name
of the individual concerned and cell R0210 shall be informed as “Not applicable”.
3. Row R0220 shall reflect the actuarial association where the firm or the natural person are
recognized as qualified members to issue the certification of the actuarial report.
4. Row R0280 shall provide the link to the relevant URL or remote access address where NIA
can download the complete RBC Valuation Note.
5. Rows R0300 to R0360 shall be filled in applying similar criteria regarding the external
auditor which should certify the financial position of the reporting entity at the year end
of reference of the information.

01.02

1. For the only purpose of this template the following definitions shall apply:

- Non-technical staff positions. Those who do not require a technical knowledge of

the insurance business.
- Medium level staff positions. Those requiring a technical knowledge on some areas
of the insurance activity, but without the responsibilities of the high-level positions.
- High level positions. Those with responsibilities of departments, critical services, or
major project management, including Chief Officers and key function holders.
Reporting entities shall implement this classification on the best effort basis.
2. Row R0220. Data on new staff shall reflect new persons that have entered during the
reference year to be part of the staff of the reporting entity, regardless of whether the
employment contract is permanent or not. Data on new staff shall avoid double counting
the same person.
Where the same person was not part of the staff at the beginning of the year and
during the year she/he changes the type of employment contract or she/he is part
of several employment contracts during the same year, she/he shall be counted as
new staff only once.
Where the same person was part of the staff at the beginning of the year, to avoid
double counting she/he shall not be counted as new staff entered during the year,
even in case of changes in her/his employment contract during the year.

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3. Consistently, persons belonging to the staff at the beginning of the year and merely
changing its type of employment contract and remaining at the end of the year shall not
be counted as new personnel entering or exiting the staff of the entity during the reference
year.
4. Table 01.02.D. Terminations of contracts with intermediaries do not need to be reported,
since they are implicitly derived from columns C0010, C0020 and C0030 of this table.
5. In table 01.02.D. the meaning of the different categories of intermediaries shall be
interpreted according to the regulation on intermediaries in force.
6. Furthermore, in table 01.02.D.the figures of new intermediaries entered during the
financial year will not be reduced with terminations (terminations are implicitly derived
from the three first columns of the table).
7. Table 01.02.E. When the reporting entity carries out activities outside Nepal or invests in
assets expressed in currencies other than NPR, the economic data in foreign currencies
referred to a certain date (such as technical provisions or investments valuation) shall be
converted into NPR applying the exchange rate at that date. Where the economic data
refers to a period (such as premiums during the year or cash flows of an investment) the
conversion into NPR shall be based on the exchange rates at the moment of each
transaction, or alternatively at the average exchange rate during the period.
8. Pay special attention to the consistency of the information provided in the different tables
of this template. The inconsistencies are identified in the list of errors for template 01.02
formulated in sheet 00.02_Errors.

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02.01 _BS

Assets

1. Assets of insurers and reinsurers shall be valued in the solvency balance sheet at market
value as defined in accordance with the provisions of Insurance Act, Nepal Financial
Reporting Standards, Actuarial Principles and Financial Statements Directives (paragraph
(7) Annexure II of the Risk Based Capital and Solvency Directive (2078). The valuation
of assets and liabilities shall be undertaken in a reliable, decision useful and transparent
manner.
2. Where the market value of an asset is not observable in a deep, liquid and transparent
market, the reporting entity may, unless otherwise stated, derive the market value of that
asset or liability,
either referring to the market value of other sufficiently similar assets or liabilities
traded in deep, liquid and transparent markets, provided appropriate adjustments
are applied with an appropriate level of prudence to take into account any relevant
difference between the reference assets/liabilities and the original asset/liability,
or applying a mark-to model approach3. Mark-to-model shall also consider the time
value of money (discounting of future cash flows) where the asset/liability is
expected to be realized beyond one year. Furthermore, in the case of assets, mark-
to-model shall consider a credit risk adjustment adequate to the expected losses in
case of default or downgrade of the counterpart.
Examples of assets and liabilities where the alternative two approaches referred above
are not allowed are, among others:
- technical provisions, which should be valued according to the specific regulations
of Annexure II of the Risk Based Capital and Solvency Directive (2078),
- investments in subsidiaries and associated entities, as those entities are defined in
Nepal Financial Reporting Standards (NFRS) and the international accounting and
financial reporting standards,
- items that should be valued at nil as specified below.
3. Where the valuation in the solvency balance sheet differs from the valuation for tax
effects, current and deferred tax assets and liabilities shall be recognized in the solvency

3
Expression ‘mark-to-model’ applies to the valuation of assets/liabilities without a directly observable
market value and without existing any similar asset/liability with a directly observable market value to
use as a valuation reference (with the appropriate amendments).
‘Mark-to-model’ applies financial formulas and inputs which deliver a valuation sufficiently reliable and
near to what would be the market value of the asset/liability. The valuation model should benefit from
general accepted recognition and back-testing on its reliability.
Example of ‘mark-to-model’ is the valuation of the asset/liability discounting future cash flows with interest
rates appropriate to the uncertainty of the cash flows and the credit risk of the counterpart.

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balance sheet according to the Risk Based Capital and Solvency Directive (2078) and
where not opposed to it, according to the Nepal Financial Reporting Standards (NFRS).
4. In case of investments in collective investment undertakings (mutual funds) the reporting
entity shall keep the information about the assets underlying in the instrument (look
through approach) to be provided to NIA in a case-by-case request.
5. In case of investments in special purpose vehicles, funds such as private equity and
venture capital funds and other types of investments in the capital or fund of the issuer,
the asset class of such investments shall be the class of assets with higher risk factor
percentage as mentioned in para 43(4) of the Risk Based Capital and Solvency Directive,
2022 unless NIA prescribes the asset class and SCR for such investments.
6. In case of investments made in any instruments for which the class of assets and risk
factor are not specified in the Risk Based Capital and Solvency Directive, 2022, NIA shall
provide the clarification and guidance for determining the SCR of such investments.
7. Assets corresponding to unit/index-linked insurance contracts shall be reported according
to the following:
□ ‘Unit portion’ refers to the pure investment component of the unit/index-linked
insurance contract, which identifies in a concrete manner the assets whose
market value determines the benefits of the contract for the policyholder
(contractual assets).
□ The insurer shall earmark the investments corresponding to the unit portion
of the unit/index-linked insurance contract, without any possibility of changing
the earmarking (earmarked investments).
□ It is considered that the earmarked investments replicate the contractual
assets when they are identical or there is an historical correlation of at least
85% during the last two years. For this purpose, both the earmarked
investments and the contractual assets must be traded in deep, liquid and
transparent markets.
□ Earmarked investments corresponding to the unit portion of unit/linked
insurance contracts that do not replicate the contractual assets as defined
above shall not be reported in row R0310, but in the other rows of the asset
side according to its nature.
□ The insurer does not need to earmark assets corresponding to the non-unit
portion of the unit/index linked insurance contracts. If the insurer earmarks
those assets on a voluntary basis, they shall not be reported in row R0310,
but in the other rows of the asset side according to its nature.

8. In case a portion of the assets or investments pertains to unit-linked insurance, and the
remaining portion does not pertain to unit-linked insurance, the value of the assets
corresponding to the unit-linked insurance and the value of the assets not corresponding
to the unit-linked insurance must be separately disclosed in the different templates.

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9. For the only purpose of the solvency balance sheet the following shall apply.

Row Referenc
templat e NFRS Definitions and specifications
e based FS

Goodwill.
Goodwill shall be valued at nil in the solvency balance sheet
R0010 Note 4 since it should be deducted from capital as per paragraph
(66)(1) Annexure IV Risk Based Capital and Solvency Directive
(2078).

Deferred acquisition costs.

Deferred acquisition costs shall be valued at nil in the solvency
R0020 Note 14 balance sheet since those costs are not recognized as an asset
- Annexure II Risk Based Capital and Solvency Directive
(2078).

Intangible assets.
Intangible assets, including computer software intangibles,
Note 4
R0030 (other than shall be valued at nil in the solvency balance sheet since it
goodwill) should be deducted from capital as per paragraph (66)(1)
Annexure IV of the Risk Based Capital and Solvency Directive
(2078).

Deferred tax assets.

These assets shall be valued at nil in the solvency balance
R0040 Note 7 sheet since it should be deducted from capital as per
paragraph (66)(2) Annexure IV of the Risk Based Capital and
Solvency Directive (2078).

Pension benefit surplus.

R0050 Total of net surplus related to employees' pension schemes or

employees’ gratuity scheme, where allowed to be an asset
according to Nepal accounting standard NAS19.

R0060
Note 5 Property, plant & equipment held for own use.
R0080

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Where the same property is partially for own use, the part for
own use shall be reported in row R0060 and the rest in R0080.
Property plant and equipment shall be recognised as per Nepal
Accounting Standard (NAS-16)
Revaluation model shall be considered an acceptable proxy for
valuation on an economic value basis if the valuation available
is recent.
If the value available is not recent and differs materially
from that which would be determined using fair value at
the balance sheet date, an economic value should be
determined.
Valuation of real estate shall be undertaken by professionally
qualified appraisal firms. Valuation shall be carried out every
three years, or shorter in case of material changes in the
property market of the asset.
Furniture, fixtures and leasehold property shall be valued at
nil in the solvency balance sheet.
When a single property is partially for own use of the insurer
and partially as an investment, insurers have freedom to select
the segregation method among both purposes provided it is
based on objective and robust criteria, which shall be kept
unless sufficient documented justification for its improvement.

Investments in properties (other than for own use).

Where the same property is partially for own use, the part for
own use shall be reported in row R0060 and the rest in row
R0080.
These assets shall be recognised as per Nepal accounting
standard NAS40.
Investment in properties shall be measured initially at cost,
R0080 Note 6 including transaction costs. After initial recognition
investments in properties shall be valued in the solvency
balance sheet at fair value reflecting market condition at the
reporting date.
Valuation of investments in properties shall be undertaken by
professionally qualified appraisal firms. Valuation shall be
carried out every three years, or shorter in case of material
changes in the property market of the asset.

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Leasehold properties shall be valued at nil in the solvency

balance sheet.

Investments in subsidiaries.
This item refers to any type of investment in subsidiaries but
excluding those investments in subsidiaries covering
unit/index linked life insurance business of the reporting
entity, which shall be informed in row R0310 of the balance
sheet template.
An entity shall be qualified as a subsidiary of the reporting
entity according to Nepal Financial Reporting Standards
(NFRS) Investments in subsidiaries shall be valued at market
value from quoted prices. If a quoted price is not available,
the reporting entity shall apply the adjusted equity method as
defined in Nepal Financial Reporting Standards (NFRS) For the
valuation of investments in subsidiaries, the reporting entity
cannot use either other mark-to-model approaches or quoted
R0090 Note 8 prices of similar assets, even appropriately adjusted.
Credits or debts with subsidiary entities other than
investments shall be reported in the corresponding items of
balance sheet.
As an example, row R0090 shall not include the technical
provisions, deposits or any balance derived from intra-
group reinsurance. Such magnitudes shall be included in
the corresponding rows of the asset or liability side of
the balance sheet.
The details of intra-group accepted, ceded and retroceded
reinsurance shall be reported in template 04.02_Reins and
templates 07.01 and 07.02 on intra-group transactions and
exposures.

Investments in associates.
Specifications above for investments in subsidiaries (R0090)
R0100 Note 9 shall apply mutatis mutandis to investments in associated
entities (i.e. replacing the reference to subsidiaries by
associated entities).

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Equities.
Equities shall be valued in the solvency balance sheet at
market value (fair value) according to Nepal Financial
R0110 to Reporting Standards (NFRS-9)
Note 10
R0140 ‘Equities - listed in stock exchange other than licensed by
SEBON’’ (R0130) refers to equities traded in foreign licensed
stock exchange markets.

Bonds.

R0150 Note 10 Bonds shall be valued in the solvency balance sheet at market
value (fair value) according to Nepal Financial Reporting
Standards (NFRS 9)

Government bonds.

R0160 Note 10 This item shall include both the bonds directly issued by the
Government of Nepal and those bonds issued by institutions
and entities belonging to the Government.

Fixed-income bonds (with no option).

Commonly issued bonds, other than government bonds, with
R0180 Note 10 predefined coupon dates and rates of payment (which may be
constant or not) and predefined redemption value and
maturity date. Neither holder nor issuer have any option to
change their amounts or dates.

Structured notes.
Hybrid securities, combining a fixed income pattern (return in
a form of fixed payments) with one or more derivative
components (such as Credit Default Options, Equity
options,…)
R0210 Note 10
Fixed income securities that are issued by sovereign
governments do not belong to this category.
The combination of a fixed-income pattern and derivatives
referred to interest rates (which are reflected as part of Bonds)
are all excluded from this category.

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Collateralised securities.
Securities whose value and payments are derived from a
portfolio of underlying assets. This item includes Asset Backed
R0220 Note 10 Securities (ABS), Mortgage Backed securities (‘MBS),
Commercial Mortgage Backed securities (CMBS),
Collateralised Debt Obligations (‘CDO’), Collateralised Loan
Obligations (‘CLO’), Collateralised Mortgage Obligations
(‘CMO’).

Collective Investment Undertakings (CIUs) (also named as

mutual investment funds).
Basket of assets whose property is fully apportioned to
R0230 Note 10 participants in this form of investment. The CIU has no own
funds, and the holder bears the whole investment risk. The
CIU is managed by an authorized and supervised asset
management firm.

Deposits other than cash equivalents.

Time deposits in banks, other commercial institutions, or
R0250 Note 10 government entities (such as NIFRA among others).
Trade-able securities and bank accounts of immediate liquidity
shall be reported in the other respective items.

Loans and mortgages.

R0270
to Note 11 Where the market value of these assets is not directly
R0300 observable, the reporting entity may apply a prudent mark-to-
model valuation.

Assets replicating the unit portion of index-linked and unit-

linked contracts.
R0310
Refer to Assets corresponding to unit/index-linked insurance
contracts in 02.01_BS of this document

Reinsurance recoverables.
R0330
R0340 (1) The value of reinsurance recoverables in the solvency
R0350 balance sheet shall be as per Annexure II of the Risk Based
R0360 Note 12 Capital and Solvency Directive (2078).
and

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note 13 The criteria of audited NFRS based financial statements

may be secondarily applied, if that criteria does not
oppose Annexure II.
(2) Technical reserves shall be reported in template 02.01_BS
without applying the transitional provisions on policy
reserves or claims reserves (secs (93) to (97) Annexure VII
Risk Based Capital and Solvency Directive (2078)).
These items shall include the sum of the unearned
Note 12 premium reserve, the outstanding claims reserve and any
and other technical reserves derived from ceded or retroceded
note 13 reinsurance.
Information on technical reserves after having obtained
previous authorization of the NIA to apply the transitional
provisions, shall be reported only in templates 05.01_DI,
05.02_AR and 06.01.
(3) Technical provisions of ceded/retroceded reinsurance shall
be reduced in the relevant amount to reflect the losses derived
from the expected probability of the reinsurer’s failure (refer
below to the Technical Specifications for template 04.02_Reins
– columns 280 and C0290 for a more detailed explanation).
(4) Technical provisions and other receivables of non-
qualifying ceded/retroceded reinsurance shall be valued at nil
in the solvency balance sheet, while liabilities corresponding
to such reinsurance shall be reflected in the solvency balance
sheet.
“Non-qualifying reinsurance” or “reinsurance non
admissible to reduce the RBC” refers to those reinsurance
coverages that cannot be considered as an admissible
mitigating technique to reduce the Risk-Based Capital
requirement, according to the regulations issued by the
NIA.
In absence of such regulation all cessions and
retrocessions shall be considered as qualified or admissible
to reduce the Risk Based Capital, except
- those falling within paragraph (66)(6) Annexure IV
of the Risk Based Capital and Solvency Directive or
- having a rating below B.
Notwithstanding, cessions and retrocessions to local
reinsurers shall always be qualified or admissible.

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(5) Financial reinsurance shall not be reported in the items

referred to reinsurance, but in the relevant items referred to
financial instruments.
Financial reinsurance is defined as contracts whose main
effect is financing one of the parts of the contract
(usually the cedant entity). This definition applies
regardless of labelling the contract as reinsurance and
regardless of the counterpart being a reinsurer. The
definition includes both the cases where there is no
transfer of risk from the cedant entity to the reinsurer
and the contracts where the risk transferred is negligible
or immaterial.
Financial reinsurance shall not be allowed to reduce
either the risk exposure or the capital requirement.
Financial reinsurance shall Increase the available capital
resources.

Reinsurance receivables
Note 12
and Amounts already due to be received from reinsurers, other
R0370
note than technical provisions and deposits (which shall be
13 reflected in rows R0330 to R0350).

Current tax assets (net)

They shall be recognized in the solvency balance sheet
R0380 Note 21 according to the Risk Based Capital and Solvency Directive
(2078) and secondarily, where not opposed to that Directive,
the Nepal Financial Reporting Standards (NFRS).

Insurance, coinsurance and intermediaries receivables.

R0390 These assets may be valued in the solvency balance sheet as
to Note 13 per audited NFRS based financial statements, provided they
R0420 consider an adequate credit risk adjustment for expected
losses and, where relevant, the time value of money.

Own shares owned by the insurer (e.g. received as payment

R0430
for credits).

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Amounts due in respect of own equity items called up but not

yet paid in.
Uncalled own shares shall not be reflected either as assets or
liabilities, while called but yet unpaid own shares shall be
reflected in line R0440 of the asset side of the balance sheet.
R0440
The valuation of this item shall take into account the
probability of shareholders not attending the already called
payment. For that purpose, the experience, the capacity of the
shareholders to attend the payment and the forecast of the
solvency position of the insurer/reinsurer shall be considered.

Cash and cash equivalents.

It is considered admissible to value these assets in the
R0450 Note 16 solvency balance sheet as per audited NFRS based financial
statements, provided they consider an adequate credit risk
adjustment for expected losses and, where relevant, the time
value of money.

Any other assets, not elsewhere shown.

These assets may be valued in the solvency balance sheet as
per audited NFRS based financial statements, provided they
Notes 14 consider an adequate credit risk adjustment for expected
and 15 less losses and, where relevant, the time value of money.
deferred
R0460 Notwithstanding,
acquisition
cost □ for solvency purposes, interest accrued shall be added to
Note 5 the solvency valuation of the asset, even when such
interests are shown separately in the financial statements,
□ leasehold assets not elsewhere shown shall be valued at
nil in the solvency balance sheet.

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Liabilities

10. Unless otherwise stated, the valuation of liabilities other than technical provisions as per
audited NFRS based financial statements shall be considered compliant with Chapter 4 of
the Risk Based Capital and Solvency Directive (2078).
11. Insurers have freedom to select the method of calculation of the Margin Over Best
Estimate (MOBE) among the generally accepted methods to calculate the market price of
the uncertainty embedded in the portfolios of insurance obligations of the insurer.
12. Calculation of the margin over the best estimate (MOBE).

□ The reporting entity may opt for calculating a single MOBE at entity level only
where following conditions are simultaneously met:
i) the Board of the insurer has approved a methodology to allocate the MOBE
at entity level into the different lines of business according to objective and
rational criteria, respecting the prohibition of cross subsidy, and
ii) the application of this option and the criteria of allocation shall be described
and justified in the valuation report, in particular how the prohibition of
cross subsidy is respected.

□ The MOBE for non-life insurance may be calculated as ten percent of net
technical provision for the line of business ‘Engineering’ and ‘Cattle and Crops’.
For rest of the non-life lines of business the MOBE may be calculated as five
percent of the net technical provisions.

NIA shall reassess the technical specifications regarding the MOBE considering the
experience during the transition period of implementation of the Risk-Based Capital and
Solvency Directive (2078).

Reference
Row
NFRS Definitions and specifications
template
based FS

Technical provisions (technical reserves)

R0480 Technical provisions shall be reported in template 02.01_BS

without applying the transitional provisions on policy
to
Note 19 reserves or claims reserves (paragraphs (93) to (97),
R0640 Annexure VII, of the Risk Based Capital and Solvency Directive
(2078)).
Information on technical reserves after having obtained
previous authorization of the NIA to apply the transitional

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provisions, shall be reported only in templates 05.01_DI,

05.02_AR and 06.01.

Best Estimate Direct insurance participating life insurance.

Where the insurer is not able to calculate the best estimate
for future discretionary benefits according to paragraphs (17)
to (20) Annexure II of the Risk-Based Capital and Solvency
Directive, the calculation of that best estimate shall be
simplified as the sum of:
- the unallocated surplus of participating business that is
expected to allocate in the future to policyholders, and
R0560 Note 19
- the unrealized gains expected to be allocated in the
future to policyholders. At least 90 per cent of the
unrealized gains shall be consider as future discretionary
benefits.
Row R0560 shall include both the best estimate corresponding
benefits and guarantees provided and already allocated to
policyholders (including the surplus distribution already
allocated to policyholders), and the best estimate of future
discretionary benefits.

Technical provisions - index-linked and unit-linked life

insurance contracts.
The amount of this row in the liability side of the balance sheet
may not equal the amount of row R0310 in the asset side
where:
R0610
The insurer invests the premiums of the unit/index linked
contracts in assets different than the assets specified in the
insurance contract to quantify the benefits of the policy
holders4, and/or
The unit/linked contract provides some financial or
biometric guarantees to the policy holder, and the insurer

4
For example, the insurance contract may refer to the benefits of the contract to the value of an index
or basket of assets at the moment of paying the benefit. Nevertheless, the insurer might have invested
the premiums of the contract only in some of the assets considered in the index or basket. Therefore,
some differences might be among the value of the index or the basket and the valuation of the assets
where the insurer actually has invested the premiums.

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Bhadra 19, 2081 (04-09-2024)

allocates to such guarantees, investments whose valuation

in the asset side differs from the valuation of the guarantees
in the liability side of the balance sheet.
Refer to point 7 of 02.01_BS of this document for the
treatment of assets corresponding unit/index-linked insurance
contracts.

Debts owed to credit institutions.

The valuation in the solvency balance sheet of the
R0740 Note 22 settlement value of these liabilities shall not consider either
the own credit standing of the reporting insurer/ reinsurer
at the inception of the debt or any change of its credit
standing at a later stage.

Other financing debts

Any other debt corresponding to financing of the reporting
entity, including subordinated debts and preference shares
R0750 that should be presented as liabilities according to Nepal
accounting standard NAS32.
to Note 24
The valuation in the solvency balance sheet of the
R0780
settlement value of these liabilities shall consider the own
credit standing of the reporting insurer/reinsurer at the
inception/issuance of the debt but shall not consider any
change of its credit standing at a later stage.

Current tax liabilities.

R0800 Note 21 The treatment according to Nepal accounting standard

NAS12 shall be considered an acceptable proxy for
valuation in the solvency balance sheet.

Provisions other than technical provisions

R0810 Note 18 Other non-technical provisions shall be valued according to
Nepal accounting standard NAS37.

Contingent liabilities

R0820 Under NFRS based financial statements, contingencies are

disclosed by way of a note to the financial statements and
no provision is made in the balance sheet.

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Under the solvency balance sheet, the contingent liability

shall be reflected as a liability when the two following
conditions are met:
- it is possible to estimate the value of the contingent
liability, and
- the liability has more than a 50% chance of being
realized.
In such cases, a probability weighted best estimate of the
consequences of the contingency shall be included as a
liability in the balance sheet.

Pension benefit obligations.

R0830 The valuation of these liabilities according to Nepal

accounting standard NAS19 shall be considered compliant
with the Risk Based Capital and Solvency Directive (2078).

Deferred tax liabilities.

R0840 Note 7 The valuation of these liabilities according to Nepal

accounting standard NAS12 shall be considered compliant
with the Risk Based Capital and Solvency Directive (2078).

Any other liabilities not elsewhere shown.

R0850 Note 23 The valuation of these liabilities according to Nepal Financial

Reporting Standards (NFRS) shall be considered compliant
with the Risk Based Capital and Solvency Directive (2078).

Equity
6. Note that while some items may be reported as liabilities in the financial statements
balance sheet, nevertheless they may be considered in template 02.03_ACR within the list
of tier 1 or tier 2 items of Available Capital Resources, where allowed by the relevant
regulations.
7. In the other way, not all items reported as equity in the financial statements balance sheet
are automatically considered as Available Capital Resources (template 02.03_ACR).

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02.02 _RBC
1. It is recommended to fill in templates 02.02_RBC and 02.03_ARC in the last step, once
the other templates have been reported. In this way most of the calculations of these two
templates shall have been fulfilled automatically.
2. The reporting entity shall provide the information required in the following rows:
- R0121 to R0122 (columns C0010 to C0070 except C0050, C0080 and C0090),
- R0123 and R0124 (columns C0010 to C0110),
- R0131 to R0133 (columns C0010 to C0060),
- R0302 to R0307 (columns C0010, C0020),
- R0411 and R0414 (column C0210), only reinsurers accepting life risks,
- R0421_C0010 and R0421_C0040 and
- R0501_C0030.
The rest of data of this template is automatically calculated.
3. Where the calculation of the Risk-Based Capital for a given risk requires the reassessment
of the technical provisions (e.g. interest rate risks, life risk and non-life risk) the stressed
scenarios shall only apply to the best estimate, considering that the margin over the best
estimate (MOBE) does not vary with the stress.
4. Rows R0121 and R0122. Columns referring to assets:
The calculation of the capital requirement for interest rates risk shall stress all the assets
of the solvency balance sheet.
As a rule, all assets with fixed cash flows will be sensitive to changes in interest
rates, including assets combining fixed cash flows and variable cash flows. Assets
with variable cash flows whose variability depends on interest rates logically shall
also be sensitive to changes in interest rates.
The sensitivity of an asset to changes in interest rates shall be assessed both on an
ongoing basis of the insurer and in case of a transfer of the assets.
For example: In a situation where the portfolio of term deposits with banks needs
to be transferred to another insurer, the pricing of the portfolio transfer will
not be the maturity/redemption value (even when transferring hold-to-
maturity assets).
Therefore, in case of medium and long-term fixed-income assets, they are interest
rate sensitive, term deposits with banks included.
This approach prevents an asymmetrical treatment of assets and liabilities and
guarantees that the interest rate risk is assessed on sound economic basis having
in mind the ALM the insurer applies.

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For assets not sensitive to changes in the interest rates (both on an ongoing basis
of the insurer and in case of a transfer of the assets) their valuation in the stressed
upwards and downwards scenario shall not change compared to the non-stressed
solvency balance sheet.
5. Row R0124. Insurers are allowed to report non discounted non-life liabilities only when
the cash flows corresponding to technical provisions are expected to occur during the next
year (which means that the effect of discounting is negligible) or when the medium and
long-term cash outflows are immaterial and so is the effect of discounting.
6. For the sake of simplicity, non-life insurers whose cash outflows derived from technical
provisions are expected to be paid during the next year, may report in sheet 02.02_RBC
range R0124_C0010 to R0124_C0040, the undiscounted amounts corresponding to the
valuation of the technical provisions in the solvency balance sheet.
7. Row R0421. As part of a sound pricing technique, it is expected that the insurer will have
information on the expected cost of each coverage provided in the insurance contract. It
might occur that such information refers to a bucket of risks, being earthquake coverage
a part of such bucket without differentiated information.
The insurer has freedom to select the method to estimate the information related
to earthquake coverage, provided the method is based on objective and robust
criteria, and it is kept unless justified document reason to improve. In particular, the
method shall consider the pluriannual features of the earthquake events, and
therefore the need to calculate the technical provisions with an appropriate
pluriannual accumulation method.

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02.03 _ACR
1. It is recommended to fill in templates 02.02_RBC and 02.03_ARC in the last step, after
the other templates have been reported. In this way most of the calculations of these two
templates shall have been fulfilled automatically.
2. Rows R0008 to R0014 shall include in negative, the value in the solvency balance sheet
of those assets that should not increase the Available Capital Resources, such as among
others, the net effect on available capital resources of financial reinsurance (as defined
above in the technical specifications for template 02.01_BS) and the assets listed in
number 7 of paragraph (66) Annexure IV of the Risk-Based Capital and Solvency Directive
(2078).
Technical note: For the sake of simplicity, the deductions set out in numbers 1, 2
and 6 of paragraph (66) Annexure IV of the Risk-Based Capital and Solvency
Directive (2078) have been implemented by valuing at nil the items listed in such
numbers.
3. Row R0011 is formulated to consider as least the dividends agreed or expected to be paid
during the financial year following the reported financial year. Since this cell is not
protected the reporting entity may include other deductions.
Further than the dividends referred above, the reporting entity should include in this
row also the surplus allocated to shareholders which is not available to absorb losses
on a going-concern basis and in winding-up basis (e.g. because it is expected to be
distributed according to the expectations disclosed by the insurer or its regular
practices in this regard).
Any other asset not available to absorb losses on a going-concern basis and in
winding-up basis should be included in this row as well.
4. The reporting entity shall verify that there is no amount in rows R0202 or R0203 (reduction
of life/non-life technical reserves due to transitional paragraphs (93) to (97) Annexure VII
of the Risk Based Capital and Solvency Directive, 2078) unless having obtained prior
approval of the NIA.
Note that both cells transport the information introduced in templates 06.01 and
05.01_DI, 05.01_AR and therefore the amounts of technical reserves after the
application of transitional provisions should be reported in those templates.
5. Row R0124. The expected dividend during the financial year following the one reported
shall be prudently estimated according to the dividends policy adopted by the Board of
the reporting entity, the criteria applied in the previous years for the distribution of
dividends, and any other relevant internal procedure or background of the reporting
entity.
This row shall report both dividends expected to be paid in cash and in any other form
of payment meaning a decrease of the net asset value of the reporting entity.
6. Rows R0121 to R0124 shall be reported with positive amounts, while in R011 shall reflect
in negative at least the amount reflected in R0124 (further than the items prescribed in
the technical specification on row R0011.

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03.01
This is not a supervisory reporting template.
1. The reporting entity does not need to fill in this sheet. It is offered to the reporting entity
as a tool to facilitate the reconciliation of the information reported in template 03.02 with
the data informed in templates 02.01_BS and 02.02_RBC.
5. Sheet 00.02_Errors provides information on the main mismatches among the subtotals of
template 03.02 and the corresponding data declared in the balance sheet (template
02.01_BS).
6. Sheet 03.01 is open to changes, in such a way that by amending the design of the dynamic
pivot tables, the reporting entity may look for the origin of the discrepancies among
template 03.02 and other templates.
7. When extending the size of the dynamic tables, the entity should be aware that some
overlaps among dynamic tables might occur. In case of overlaps, sheet 03.01 allows for
moving the existing tables or creating new dynamic tables.

03.02
1. The reporting entity shall provide the information for each individual investment included
in the balance sheet (template 02.01_BS, rows R0060 to R0310 and R0450 of the asset
side, therefore excluding information of row R0430).
2. The entity shall not leave empty intermediate rows in the list of investments.
3. Investments should be reported with the maximum degree of granularity
considering the features of the assets and of the counterparties (i.e. grouping
investments in the same row should be avoided).
Nevertheless, in case of not having enough rows in template 03.02, participants are
encouraged to group their exposures in the same type and subtype of assets
(columns C0020 and C0030), to the same counterparty (columns C0080 to C0110),
with the same features and similar duration (C0240). To this effect, grouping by
duration may be performed as follows: assets with 0 to 2 years duration with the
same counterparty, assets with 2 to 4 years duration, and assets with 4 to 6 years
duration, and so on.
4. The reporting entity does not need to fill in the blue headed columns of template 03.02.
The reporting entity may move the mouse on those columns to consult the formulas
applied but cannot change its content. The same applies to the last columns to the right
where the entity may consult how the capital requirement corresponding to each
investment is calculated.
5. The relevant subtotals of template 03.02 should match the amounts reported in the above
referred rows of template 02.01_BS.

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6. Sheet 00.02_Errors provides information on the main mismatches among the subtotals of
template 03.02 and the corresponding data declared in the balance sheet (template
02.01_BS). The reporting entity may manage the dynamic tables of sheet 03.01 to look
at the details of any eventual mismatch.
7. It is advised to fill in this template from the left to the right columns, informing all columns,
in particular, those coloured pink and those coloured white.
8. For the purpose of the QRRT RBC template the expression ‘Credit quality’ refers to the
credit scale according to the source that the insurer uses for its investment risk
management. Therefore, the credit quality may have a scale different from the asset
classes set out in paragraph (36) of Annexure III of the Risk-Based Capital and Solvency
Directive (2078).
The QRRT RBC templates map the credit quality of each asset to the relevant asset
class set out in the solvency regulation.
In the case of asset class 5, to provide more risk sensitive information, the QRRT
RBC breaks down the credit qualities included in such asset class 5 (distinguishing
sub-classes 5, 6, 7 and 8).

Relationship.
For the purpose of this template, the definitions of ‘subsidiary’ and
‘associated’ entity in the NFRS Based Financial Statements Directives
shall apply, considering that ‘subsidiary’ and ‘associated’ refers to the
subsidiaries and associated entities of the reporting entity. Secondarily
C0010 the definitions of the international accounting and financial reporting
standards may be applied.
Loans on policies or staff shall be reported in this column as ‘Not related’.
In absence of this column most of the calculations and controls may be
broken.

Subtype of asset.

C0030 In this column the bonds issued by entities belonging to the government
such as among other Hydropower Investment & Development Co. Ltd
HIDCL) shall be reported as ‘Bonds government entities’.

This column shall distinguish among

on the one hand the earmarked assets that replicate the
C0060
contractual assets of the unit/index linked insurance contract,
on the other part, the rest of investments,

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- earmarked assets that do not replicate the contractual

assets of the unit/index linked insurance contracts,
- any other investment.
For the understanding of this specification, refer to the preliminary
technical specifications for template 02.01_BS

Type of ID of the asset.

This column should be filled in for all investments (it should not be
empty).
In case of securities with an identifier, this column shall reflect the type
C0070 of identifier (e.g. whether it is an ISINs identification, a CUSIP
identification, an identification provided by SEBON/NEPSE,)
For time deposits, bank balances, loans, and properties, it is expected
that this column will have, as a rule, the content “PAN” (or “Tax-ID
foreign” in case of investments in a foreign counterpart).
Rows reporting cash shall fill in column C0070 as ‘No ID’.
In case of properties with a tax reference or identification, column
C0070 shall be reported as ‘PAN’ and columns C0080 and C0100 shall
reflect the tax reference of the asset.
In case of properties without a tax reference or identification, column
C0070 shall be reported as ‘No ID’ and columns C0080 and C0100
shall report “IDPropertyNA”.

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Column C0080 shall always reflect the identifier without any special
character or blank (e.g. an identifier X-234508 V, should be reported as
X234508V)
a) For financial assets traded in a SEBON market, columns C0070
and C0080 shall report the market identifier of the asset provided by
the entity governing the market (e.g. SEBON).
b) For financial assets traded in a regulated market other than
SEBON, columns C0070 and C0080 shall report either the ISIN or the
CUSIP identifier of the asset. In absence of ID market specific, the
C0080 PAN (Permanent Account Number) of the issuer/counterparty shall
be reported.
c) For any other asset (different than cash), columns C0070 and
C0080 shall reflect as identifier the PAN (Permanent Account
Number) of the counterpart (therefore, for these assets the content
of columns C0080 and C0100 will be the same).
d) For cash, this column shall have ‘Cash’ as identifier
e) In absence of PAN (e.g. foreign investments not traded in a
regulated market) columns C0070 and C0080 shall reflect the Tax
Identifier of the issuer/counterpart according to its country of origin.

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Column C0100 shall always reflect the PAN (Permanent Account

Number) of the counterpart without any special character or blank (e.g.
an identifier X-234508 V, should be reported as X234508V)
In case of real estate, column C0100 shall reflect the tax reference
of the asset. If such reference is not available, the entity shall report
C0100 “IDPropertyNA”.
In case of loans on policies or to the staff, column C0100 shall report
“IDLoanNR”.
For any other assets without PAN (Permanent Account Number),
column C0100 shall reflect the same identifier as in column C0080.

Para (66) Annexure IV RBC Directive - Asset deductible own funds.

Any asset reported as falling within number 3, 4 or 5 of para (66)
C0120 Annexure IV Risk Based Capital and Solvency Directive shall receive no
capital charge, since their value in the solvency balance sheet should be
fully deducted from tier 1 Available Capital Resources (sheet
02.03_ARC).

Environmental criteria – Social and Governance criteria.

The reporting entity may use any generally accepted criteria to assess
the ESG nature of their investments.
In case of assets whose environmental or social sustainability cannot be
C130 assessed on an individual basis, the ESG assessment shall refer to the
C140 counterpart that issued or marketed the asset.
When the reporting entity outsources the ESG assessment of its
investments, the reporting entity shall have full knowledge of the criteria
that the service provider applies to the ESG assessment. The
insurer/reinsurer shall remain responsible for the appropriateness of
such criteria to the business model of the insurer/reinsurer.
Where the entity has not implemented an appropriate governance on
ESG criteria yet, these columns shall be reported as ‘5.- Unknown’.
NIA intends to coordinate with insurance associations to develop in the
future appropriate training for the gradual implementation of ESG
governance.

Financial statement. Other components of the value of asset.

For the asset reported in each row, any other amount corresponding
C0190 such asset included in other items of the financial statement balance
sheet (not included in rows R0060 to R0310 and R0450 of the asset side
of template 02.01_BS).

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Investments Income, Net Gains/Losses FV changes, Net realised

Gains/Losses, Other income.

C0200 Total amounts corresponding to each investment (row) reflected in the

‘Statement of Profit or Loss’ of the Financial Statements, according to
notes 29, 30, 31 and 32 for insurers / reinsurers of the respective NFRS
Directives.

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“Amount of the solvency valuation exceeding the thresholds of the

concentration risk” (expressed in NPR without decimals)
For single investment exposures belonging to assets class 3 or better
(equivalent to A or better), the capital charge will be doubled only for
the amount of the investment that exceeds 5 percent of the total
solvency balance sheet assets (excluding those covering unit and index-
linked contracts). For single investment exposures with a lower credit
quality (i.e. lower than asset class 3 or lower than A rating) the threshold
to double the capital charge is 3 percent.
For the calculation of the SCR (Solvency capital requirement or
risk charge) concentration risk the reporting entity shall
consider as a single investment exposure
all counterparties belonging to the same group, including
natural persons with close links with the group,
and any type of investment to the single exposure (equities,
bonds, time deposits, loans, other investments…).
For the only purpose to assess whether the threshold to apply is the 3
or the 5 per cent, where several investments with different asset class
C0220 and subclass belong to the same single investment exposure, the asset
class of the single investment exposure shall be calculated as a weighted
average, using as weights the solvency valuation at the financial year
end reported and rounding the average to the lowest credit quality asset
class and subclass
Where the single investment exposure contains several investments and
the total solvency valuation of those investments exceeds the relevant
threshold, the amount of the excess shall be proportionally allocated to
each investment grouped in the single exposure.
Example: An insurer has invested in equity and bonds issued by
company X. The insurer has also provided a loan to company Z
which is a subsidiary of company X.
The solvency valuations at the financial year end reported are 100,
750 and 150 million NPR respectively.
The three exposures should be considered as a single investment
exposure with an exposure amount of 1.000 million NPR.
If this amount exceeds on 200 million NPR the relevant threshold,
such excess shall be proportionally allocated in column C0220 to
equity (10%), bonds (75%) and the loan (15%)

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The excess amount allocated according to this proportional criterion shall

be reported in column C0220 and receive a double capital charge.
The amount reported in this column shall NOT be deducted from
the total valuation reported in column C0210.
In the case of real estate, the threshold to trigger the concentration risk
double SCR will be 10 percent of the total solvency balance sheet assets.
However, real estate for own use by the insurer is not subject to double
charge as per Annexure III, para (41) of Risk based capital and solvency
directive, 2078.
Real estate with the same location shall be grouped as a single
investment exposure for the only purpose of calculating whether the
double factor for concentration risk should apply to the excess above the
threshold referred above.
Grouping for this purpose (identifying the application of the double factor
for concentration risk) does not mean that such exposures may be
reported grouped in template 03.02. They should be listed separately in
any case.
As per paragraph (41) Annexure III of the Risk-Based Capital and
Solvency Directive (2078), the following assets are not included in the
asset concentration capital requirement:
□ Government bonds,
□ Class A bond means bond issued by Nepal Rastra Bank,
□ Affiliated investments, which are investments in associates and
subsidiaries, and
□ those real estates, or the part of them, where the insurer
develops its activities (real estates for own use by the insurers).

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As per paragraph (7) of the Risk-Based Capital and Solvency Directive

(2078), for solvency purposes assets should be valued at market
C230 value. Assets cannot be valued differently (e.g. at amortized cost)
even in that different valuation is the one applied in the financial
statements.

Financial duration of the asset (remaining from reporting date) defined

as
the weighted average of the actual values of each cash flow of the
investment, using as weights the term of each cash flow and as
discount rate its return rate, or
C0240
the upper part of the fraction to calculate the modified duration
(where modified duration reflects the sensitivity of the value of the
asset to small and parallel changes in interest rates), or
the term of a zero-coupon bond that would equal the actual value
of the investment.
In case of an asset without a financially relevant duration, such as
equities or mutual funds, this column shall be reported with value
‘999’.

Valuation of each investment discounting its future cash flows with the
up/downward stressed interest rates (discounting factors).
Any investment whose value in case of being transferred to an
independent third party would depend on the level of interest rates, shall
be stressed upwards and downwards, and its valuation in columns C0250
and C0260 cannot be the total solvency valuation reported in column
C0210.
For the calculation of the stressed valuation of assets, the upwards and
downwards stresses set out in paragraph (44)(3) Annexure III of the
Risk-Based Capital and Solvency Directive (2078) shall apply to the credit
adjusted interest rates (i.e. to the risk-free rates increased with the
C0250 relevant credit spread according to the credit quality of the asset).
C0260
Item ‘RFR_curves’ above provide a simplification for the calculation of
the stressed valuation of assets with fixed cash flows.
For assets not sensitive to changes in interest rates, the amounts of
these columns will be the same as column C0210.
For cash/bank balances immediately available and assets with a duration
shorter than six months from the financial year end reported, it is
admissible the simplification of informing columns C0250 and C0260 with
the same amount as in column C0210.

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Credit rating.
Participants are free to select the credit rating agency for the purpose of
columns C0270 and C0290, provided such credit rating agency is
C0270
officially recognized either in Nepal or in the jurisdiction where the
agency has its head offices.

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In case of time deposits, participants shall report the credit rating of the
financial institution receiving the deposit.
In case of loans guaranteed with mortgages NIA considers admissible to
apply the following table to assess de credit rating of that loan:

Value of the real estate collateral Credit quality of

compared to the outstanding loan the loan

>= 130% pending loan 2

[ 120% to 130% ) 3

[ 100% to 120% ) 4

< pending loan 5

In case of loans on policies whose valuation is lower or equal than the

technical provisions of those policies that have been contractually
allocated as collateral of the loan, those loans shall be reported as AAA
rated (see below instructions regarding columns C0320 to C0410).
If the solvency valuation of the loan exceeds the solvency value of the
technical provisions allocated as collateral, the amount of the loan in
excess of technical provision shall be reported in a separate row in
template 03.02 and qualified as belonging to credit quality step 5.
Technical clarification:
Assets not rated shall be automatically assigned to class 5,
while assets whose rating is unknown shall be
automatically assigned to class 6.
Note that in the case of equities, properties and cash such
allocation has no impact on the SCR calculation. But the
information on credit rating for these assets still makes
sense from a qualitative perspective and assessment of
the investment policy.

Capital charge (percentage of Solvency valuation)

This calculation is based on the intermediate calculations of columns AU
to BD for each row.
C0300 The capital charge of this column always reflects the requirement in case
no amount exceeds the thresholds to trigger the concentration risk (nil
in case of assets exempted from credit risk as per paragraph (37)
Annexure III of the Risk Based Capital and Solvency Directive (2078)).

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In case of assets that should be fully deducted from Available Capital

Resources as per paragraphs (66)(3), (4), (5) Annexure IV of the Risk
Based Capital and Solvency Directive (2078), their capital charge will be
nil to avoid double charge.

Capital requirement only for the part of the solvency valuation that is
C0310
below the threshold to apply the concentration risk.

Capital requirement for the part of the solvency valuation that exceeds
the threshold to apply the concentration risk.
C0320 The capital charge will be calculated applying the double of the
percentage shown in column C0300, unless for those assets exempted
from capital charge regarding the concentration risk.

Risk mitigating instruments.

These columns shall be informed only when the following two conditions
are met:
the collateral or guarantee has not already been considered in the
assessment of the rating of the asset that the reporting entity owns,
and
the collateral or guarantee meets the requirements set out in para.
(38) Annexure III of the Risk Based Capital and Solvency Directive.
C0340 to For example, in case of loans guaranteed with mortgages, the pledged
CC0410 real estate shall not be reported in these columns, since they have
been taken into account in the rating of the original loan according to
the specification above regarding column C0270.
Treatment of loans on policies.
In the case of loans on policies, the technical provisions that may be
offset against those loans shall be reported as a risk mitigating instrument
(columns C0340 to C0410) with AAA rating. The amount reflected in
column C0410 cannot exceed the amount in column C0210 (i.e., the part
of the technical provision considered as a mitigating instrument shall not
exceed the solvency valuation of the loan).

Average credit quality collateral or guarantor

C0360 Collaterals or guarantors whose rating is unknown shall be considered
as rated below the fourth credit quality step.

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Market value collaterals (considering credit risk adjustment)

The amounts reported in this column shall include the credit risk
adjustment due to expected losses of the collateral or guarantee.
For example, if there is a guarantee of 10 million NPR, its reported
value shall reduce that amount in a percentage adequate to reflect
the expected losses due to default or downgrade of the provider of
the guarantee.
Where the reporting entity has no methodology to estimate this
adjustment, NIA shall consider that the following factors are adequate
for that purpose:

Factor to adjust
Rating collateral or
credit risk expected
C0390 guarantee provider losses

1 99,7%

2 99,5%

3 99,1%

4 97,3%

5 86,6%

Collaterals/guarantees rated below BB or unrated shall be reported but

its market value (column C0390) and exposure covered (C0410) shall be
nil.

Percentage collaterals/guarantees with asset class worse than 4.

Regarding the admissible collaterals that are pledged as additional
guarantee to the asset owned by the reporting entity, the percentage of
such collaterals that do not belong to asset classes 1 to 4 (expressed as
percentage, e.g. 43%).
C0400 Where the collateral is a single asset or guarantee, and it does not
belong to asset class 1 to 4, this column shall reflect 100%. Where
it belongs to asset classes 1 to 4, this column shall reflect 0%.
Where the collateral is a basket of assets or guarantees, this column
shall reflect which part of the valuation of the collateral corresponds
with assets of guarantees belonging to asset class 5.

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Exposure covered with admissible collaterals / guarantor (credit risk

adjusted)
Amount of the original exposure of the asset owned by the insurer that
is covered by the admissible collaterals or guarantees. This amount shall
be adequately reduced to consider the credit risk adjustment for
expected losses due to the default or downgrade of the collateral or the
C0410 provider of the guarantee (see above specifications to column C0390 in
this regard).
In case of being covered the whole value of the asset, this amount will
be the same as the one reflected in column C0210.
Therefore, the amount of this column for each row cannot be higher than
the amount in column C0210. Otherwise, a red format will warn of this
error.

Capital requirement of the original exposure reduced with admissible

mitigation
This column shall have the same amount as column C0330 when the
C0420 exposure covered with the mitigating instrument (column C0410) covers
the whole original exposure (column C0210, considering column C0220).
In case of a partial mitigation, the amount of this column shall be lower
than the amount in column C0330.

Capital requirement corresponding to the mitigating instrument (only if

admissible)
Where the additional capital requirement due to concentration risk
applies to the original exposure, for the sake of consistency such increase
also applies to the capital requirement corresponding to the mitigating
C0430 instrument.
Where the mitigating instrument has a credit quality worse than 5, it is
not admissible to reduce the original capital requirement. Therefore, this
column will reflect nil.
This column increases the capital charge net mitigation reflected in
column C0440

Capital charge net mitigation (adding the requirement related to

C0440 mitigating instruments).
The formulas of this column carry out the following calculation:

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Original capital charge without considering risk mitigating instruments

(column C0330)
- minus reduction of this capital charge due to the risk mitigating
instrument
+ plus increase of capital charge associated with the credit risk
of the risk mitigating instrument (reflected in column C0430).
This last element is estimated with the risk factors set out for time
deposits in paragraph (37) Annexure III of the Risk Based Capital and
Solvency Directive (2078).

9. Loans on policies not exceeding the corresponding technical provision for each loan shall
be reported on groups according to their duration (a single row for all loans on policies
not exceeding the technical provisions with the same duration rounded in years).
For example, if there are loans policies with durations up to 10 years, they will be
reported in ten rows (one per year duration).
10. Loans on policies exceeding the technical provisions shall be reported separately also
grouping them according to their duration rounded in years.
11. Example of reporting of loans on policies (amounts just for illustrative purpose).
Columns omitted in the example should be filled in according to the features of each
reporting entity.
Loans on policy NOT Loans on policy
exceeding Tech. Prov. exceeding Tech. Prov.
Relationship C0010 Not related Not related
Type of asset C0020 Loans Loans
Subtype of asset C0030 Loans on policies Loans on policies
Non traded in licensed
Market trading C0050 Non traded in licensed market
market
Type of corresponding Any other insurance Any other insurance
C0060
insurance obligations obligations obligations
Type of ID of the asset C0070 Other Other
ID of the asset C0080 IDLoanNR IDLoanNR
Name of the exposure C0090 Loans on policies Loans on policies
Legal identifier of the
C0100 IDLoanNR IDLoanNR
issuer/counterpart
Name of the group which
C0110 Loans on policies Loans on policies
the exposure belongs to
Para (66) Annexure IV RBC
Directive - Asset deductible C0120 Not applicable Not aplicable
own funds
Currency C0150 NPR NPR
Valuation criteria NFRS C0160 Fair Value-Changes P&L Fair Value-Changes P&L
Acquisition cost C0170 200.000.000 150.000

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Valuation financial
C0180 125.000.000 100.000
statements
Investments Income, Net
Gains/L FV changes, Net
C0200 7.000.000 90.000
realised Gains/Losses,
Other income

Total valuation for solvency

C0210 125.000.000 100.000
purposes

Amount of the solvency

valuation exceeding
C0220 - -
thresholds concentration
risk

Method valuation for

C0230 Mark-to-Model Mark-to-Model
solvency purposes
Duration years (one
decimal) C0240 3 1
999 where not relevant
Valuation stress interest
rates up (para. 44
C0250 108.750.250 67.175
Annexure II RBC-S
Directive)
Valuation stress interest
rates down (para. 44
C0260 149.025.350 138.750
Annexure II RBC-S
Directive)
Credit quality C0270 AAA or equivalent AAA or equivalent
Asset class / subclass para
C0280 1 1
(36)
Provider of the credit
quality of the asset owned C0290 Unrated Unrated
by the reporting entity
Capital charge (% Solvency
C0300 0 0
valuation)
Capital requirement for
solvency value below the
C0310 625.000 500
thresholds of concentration
risk

Capital requirement for

solvency value above the
C0320 - -
thresholds of concentration
risk

Capital requirement before

risk mitigation with C0330 625.000 500
collaterals or guarantees
Risk mitigating C0340 Collateral
Type of collateral / Technical provisions loans on
C0350
guarantor policies
Average credit quality
C0360 AAA or equivalent
Collateral or Guarantor

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Credit quality collateral or

C0370 1
guarantor
Provider of the credit
quality of the collateral or C0380 Unrated
guarantor
Market value collaterals
(considering credit risk C0390 125.000.000
adjustment)

Percentage
collaterals/guarantees with C0400 -
asset class worse than 4
Exposure covered with
admissible collaterals /
C0410 125.000.000
guarantor (credit risk
adjusted)
Capital requirement original -
exposure reduced with C0420 6 -
admissible mitigation 25.000
Capital requirement
corresponding to the
C0430 - -
mitigating instruments
(only if admissible)
Capital charge net
mitigation (adding the
C0440 - 500
requirement related to
mitigating instruments)

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03.03

Assets other than investments

1. The upper table of this template refers to the individual counterparties of the amounts
reflected in the items R0380 to R0460 (except R0450) of the asset side of the balance
sheet in template 02.01_BS.
2. The reporting entity shall inform,
- Individually those counterparties where the solvency valuation of the individual
counterparty represents more than 1 per cent of the total assets in the solvency
balance sheet (more than 1 per cent of the amount in cell R0470_C0020 of template
02.01_BS),
- For the counterparties not reaching the threshold above, the reporting entity shall
group the counterparties in a single line for each of the items in column C0010 of
this template (rows R0380 to R0460 -except R0450- of the asset side of the balance
sheet in template 02.01_BS).
In case of grouping exposures, the credit rating corresponding to the major part of
the grouped exposures for each item shall be reported in column C0060.
For example, the entity shall report individually (line by line) each intermediary
with a balance above 1 percent of the total assets in the solvency balance sheet
(more than 1 percent of the amount in cell R0470_C0020 of template 02.01_BS).
Furthermore, for the rest of intermediaries, the reporting entity shall sum their
balances and report the sum in a single line, introducing in column C0060 the
rating of the major part of the grouped exposures.
And similarly for balances with insurers, coinsurance/pools, etc.

3. Column C0040. In the case of assets to be reported in template 03.03 (assets other than
investments) as a general rule it is expected that their valuation in the solvency balance
sheet shall be the same as for the financial statements. Exceptionally, for assets other
than investments with a medium or long-term maturity an economic valuation might
require a valuation model. Please refer above to the technical specifications of template
03.02 regarding the meaning of ‘mark-to-model’.

4. Column C0060. In case of tax assets, the credit quality to report in column C0060 shall
be ‘AAA or equivalent’.
5. Columns C0090 and C0100. For these two columns the instructions provided above for
columns C0250 and C0260 of template 03.02 also apply (i.e. where the simplification
applies it is expected that the values of columns C0090 and C0100 of template 03.03 shall
be the same as for column C0040 of the same template).
6. Column C0110. Balances where there is a delay of more than 3 months in the reporting
entity receiving the payment once it is due.

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Off-balance sheet items

1. The reporting entity shall inform in the lower table of template 03.03 the required columns
about any off-balance sheet item.
2. Column C0030. This column shall report the maximum amount of the item in the best
case (if the item is an asset) or in the worst case (where the item is a liability).
3. Column C0040. The reporting entity shall also inform the expected amount considering an
unbiased estimate of the amount of materialization of the item and its likelihood of being
materialized, without any discounting.
4. The reporting entity may group those off-balance sheet items of small amounts with the
same features and counterpart, informing them in a single row.

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04.01
1. The reporting entity does not need to fill in this sheet. It is offered to the reporting entity
as a tool to facilitate the reconciliation of the information reported in template 04.02_Reins
with templates 02.01_BS and 02.02_RBC.
2. Sheet 00.02_Errors provides information on the main mismatches among the subtotals of
template
3. _Reins and the data declared in the balance sheet (template 02.01_BS).
4. Sheet 04.01 is open to changes, in such a way that by amending the design of the dynamic
tables, the reporting entity may look for the origin of the discrepancies of template
04.02_Reins with other templates. When extending the size of the dynamic tables, the
entity should be aware that some overlaps among dynamic tables might occur. In case of
overlaps, sheet 04.01 allows for moving existing tables or creating new dynamic tables.

04.02_Reins
1. This template captures both accepted and ceded/retroceded reinsurance. Therefore, all
insurers and reinsurers shall fill in this template.
2. The information of this template refers to the valuation of each item for solvency purposes
without considering the transitional provisions set out in the Risk Based Capital and
Solvency Directive (2078).
The only exception is non-qualifying cessions or retrocessions, whose technical
provisions and other receivables shall be reported in this template according to the
valuation in the financial statements.
In the solvency balance sheet, technical provisions and other receivables of non-
qualifying ceded/retroceded reinsurance shall be valued at nil, while liabilities
corresponding such reinsurance shall be reflected in the solvency balance sheet
(refer below to specifications on column C0040 for further details)
3. All economic amounts of this template shall be expressed in NPR units without decimals.
In case of amounts originally expressed in foreign currency, their conversion to NPR shall
be calculated following the specifications included at the end of the item ‘General
instructions’
4. Financial reinsurance, as defined in the technical specifications for template 02.01_BS,
shall not be reported in the items referred to reinsurance but in the relevant items referred
to financing instruments. Financial reinsurance shall not be allowed to reduce either the
risk exposure or the capital requirement. Financial reinsurance shall not result in any
increase of the available capital resources.
5. Throughout this template references to cessions also apply to retrocessions (cession of
accepted reinsurance) unless otherwise explicitly specified.
6. Each row shall refer to a single counterparty, with the exception of facultative reinsurance
as mentioned below. Therefore, for ceded/retroceded reinsurance:

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- In case of a reinsurance treaty having several reinsurers (panel of reinsurers) the

reporting entity shall report a separate row for each reinsurer (i.e. several rows may
refer to the same treaty).
- Where there are several facultative treaties with the same reinsurer (e.g. facultative
cessions policy by policy), the reporting entity may group all the facultative treaties
with the same reinsurer in a single row.
- Non-facultative treaties shall not be grouped.
Accepted reinsurance shall be reported consistently with the above.

7. Column C0180 shall reflect the threshold – highest layer – where the reinsurance
coverage ends cumulatively.
8. Columns C0230 to C0260 shall include all types of technical provisions derived from
cessions/retrocessions and from accepted reinsurance.
9. The relevant subtotals of template 04.02_reins should match the amounts reported in the
template 02.01_BS. In particular, once excluded the non-qualifying cessions and
retrocessions (column C0040):
- the subtotals for accepted reinsurance of columns C0230 to C0290 in template
04.02_Reins should reconcile with rows R0520, R0530 and R0590 of the solvency
balance sheet (column C0020 template 02.01_BS), and with the totals of columns
C0110 to C0130 of template 05.01_AR (note that template 05.01_DI only captures
direct insurance, while template 05.01_AR captures accepted reinsurance both from
reinsurers and direct insurers).
- the subtotals for ceded and retroceded reinsurance of columns C0230 to C0290
and in template 04.02_Reins should reconcile with rows R0330 to R0350 of the
balance sheet (column C0020 template 02.01_BS),
10. The reporting entity may manage the dynamic tables of sheet 04.01 to look at the details
of any eventual mismatch.
11. Column C0010. For the purpose of this template, the definitions of ‘subsidiary’ and
‘associated’ entity in the NFRS Based Financial Statements Directives shall apply,
considering that ‘subsidiary’ and ‘associated’ refers to the subsidiaries and associated
entities of the reporting entity.
12. Column C0040 informs whether the ceded or retroceded reinsurance arrangement is
admissible (qualified) to reduce the Risk-based Capital Requirement or not (not qualified).
References to “non-qualifying reinsurance” or “reinsurance non admissible to reduce
the RBC” refers to those reinsurance coverages that cannot be considered as an
admissible mitigating technique to reduce the Risk-Based Capital requirement,
according to the regulations issued by NIA.
In absence of such regulation all cessions and retrocessions shall be considered as
qualified or admissible to reduce the RBC, except those falling within paragraph
(66)(6) of Annexure IV of the Risk Based Capital and Solvency Directive or having a
rating below B (excluding local reinsurers).

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13. Column C0060. The specifications for columns C0080 and C0100 of template 03.02 shall
also apply to this column.
14. Column C0120. In case of non-qualifying reinsurance (reinsurance not accepted as risk
mitigating in the calculation of the risk-based capital) this column does not assign any
capital charge, since the technical provisions and other receivables corresponding to such
reinsurance should be valued at nil in the solvency balance sheet.
15. Column C0150. Where a reinsurance agreement has different quota share percentages
(e.g., depending on the line of business included in the proportional treaty), column C0150
shall reflect a weighted average quota share, using the gross written premiums of each
line of business as weights.
16. Columns C0160, C0170 and C0180. Where a reinsurance agreement has more than two
layers, the entity shall report only the first and second layers (columns C0160 and C0170)
and the threshold – highest layer – where the reinsurance coverage ends (column C0180).
17. Column C0260. Reinsurance outstanding claims shall include Reinsurance IBNR and IBNER
also.
18. Columns C0280 and C290. Both the international accounting standards and the solvency
framework require the credit risk adjustment of receivables from reinsurance, to take into
account the expected losses due to the default or downgrade of the reinsurer. The credit
risk adjustment of the reinsurance receivables means a reduction of their valuation in the
balance sheet.
As a simplistic example, let’s assume the direct insurer has a reinsurance receivable
of 100 million units corresponding to the Outstanding Claims Reserve (OCR) of the
ceded reinsurance. On average this amount is expected to be received three years
later. Let’s assume as well that the expected probability of default of the reinsurer
in a 3-years term is 4 percent, estimating that in case of default only 30% of the
credit will be recovered. Let’s ignore the time value of money for simplicity.
All this means that the direct insurer expects to receive 100 million units with a
probability of 96 percent and 30 million units with a probability of 4 per cent.
Therefore, the credit risk adjusted value of the OCR of the ceded reinsurance (the
amount to reflect in the balance sheet) will be
100*0.96 + 30*0.04 = 97.2 million units,
The difference (2.8 million units) is the adjustment due to the expected credit risk.
Note that the unexpected credit risk (the probability of default in a severe unfavourable
scenario above the current market estimate) is not considered in the balance sheet
but in the calculation of the Risk-Based Capital Requirement.
The probability of default of the reinsurer/cedant will depend on its credit rating. Where
the probability of default for the reinsurer/cedant is not available, the reporting entity may
use the probability of default of a plain bond issued by a company with similar credit rating
and similar duration to the reinsurance receivable.

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Where the reporting entity is not able to assess the probability of default of the
reinsurer/cedant, NIA shall consider that the following factors are adequate to provide the
credit risk adjustment due to expected losses.
The factors shall apply to the valuation of the reinsurance asset in the solvency
balance sheet before risk correction (column C0270 of this template).
These factors already include the recovery rate (i.e. once applied the factor, the
entity does not need any additional calculation to consider the recovery rate).

Future year of the cash inflow

(estimated from the year end of
reference)

First year Second year Third year

AAA or equivalent 1,000 1,000 0,997

AA or equivalent 1,000 0,998 0,995

A or equivalent 0,998 0,995 0,991

BBB or equivalent 0,995 0,987 0,973

BB or equivalent 0,979 0,937 0,866

B or equivalent 0,880 0,658 0,355

For the only purpose of this adjustment and the solvency assessment,
reinsurance recoverables from insurers and reinsurers supervised by NIA
without rating shall be rated as BB.
For cash flows of reinsurance receivables expected beyond three years the
factor will decrease according to the difference between the second and the
third years (up to nil).
IMPORTANT NOTE: Column C0280 is provided with a default calculation
according to the table above and assuming that 50 per cent of the
ceded/retroceded technical provisions will be received during the first year and
the other 50 per cent during the second year. The reporting entity may
change this default calculation documenting in writing the reasons
underpinning the alternative criteria applied.

19. Column C0360. Note that in the case of ceded/retroceded reinsurance, the deposits
retained to the reinsurer (shown in the liability side of the balance sheet of the cedant
entity) are deducted from the total exposure of the cedant. Therefore, such deposits
should not be reported as risk mitigating instruments, to avoid double counting its effect.

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20. Columns C0380 and C0390. These columns shall be reported at nil until NIA prescribes
the guidance in respect of provision mentioned in paragraph (39) of Annexure III of the
Risk Based Capital and Solvency Directive.
21. Column C0450 shall reduce the coverage of the risk mitigating instrument in the amount
relevant to reflect the expected losses in case of default or downgrade of the instrument.
22. Column C0460 is calculated considering both the reduction of the exposure due to
collaterals and guarantees and the increase of the exposure inherent to the collateral and
guarantees.
In case of non-qualifying reinsurance (reinsurance not accepted as risk mitigating in
the calculation of the risk-based capital) this column does not assign any capital
charge, since the technical provisions and other receivables corresponding to such
reinsurance should be valued at nil in the solvency balance sheet.

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05.01_DI
1. This template only refers to non-life direct insurance and its cessions to the reinsurance.
Therefore, the template shall be reported only by those insurers carrying out direct non-
life insurance business.
2. Reinsurers accepting non-life risks shall report similar information in template 05.01_AR.
Insurers carrying out direct non-life insurance business and accepting reinsurance, shall
report direct business and its cessions in template 05.01_DI and accepted reinsurance
and its retrocessions in template 05.01_AR.
3. The information of this template refers to the valuation of each item for solvency purposes
with the only exception of column C0220 (technical provisions of non-qualifying ceded
reinsurance), which refers to the valuation in the financial statements, since non-qualifying
reinsurance receivables should be valued at nil in the solvency balance sheet. Liabilities
corresponding to such reinsurance shall be reflected in the solvency balance sheet.
4. Technical reserves shall be reported without applying the transitional provision set out
in paragraph (97) of the Annexure VII, of the Risk Based Capital and Solvency Directive
(2078), with the only exceptions of the amounts reported in row R0002 : Non-life claim
reserves with transitional and Non-life claim reserve ceded to reinsurer with transitional.
5. According to paragraph (22) of Annexure II of the Risk Based Capital and Solvency
Directive 2022 (2078), Outstanding Claims Reserve (OCR) also includes incurred but not
reported (IBNR) and incurred but not enough reserved (IBNER) (see columns C0080,
C0090 and C0100 in template 05.01_DI and 05.01_AR).
6. The technical reserves of ceded reinsurance reported in columns C0160 to C0210 shall
not include any amount corresponding cessions not admissible to reduce the Risk-based
Capital Requirement (non-qualifying ceded reinsurance), according to the regulations
issued by NIA. In absence of such regulation all cessions and retrocessions shall be
considered as qualified or admissible, except those falling within paragraph (66)(6) of
Annexure IV of the Risk Based Capital and Solvency Directive or rated below B (excluding
local reinsurers).
7. It is expected to calculate the IBNR and IBNER for direct insurance, separate from the
one calculated for accepted reinsurance, since both types of business are expected to
present materially different patterns.
8. In exceptional cases, where 05.01_DI point 7 is not the case (e.g. due to the immateriality
of the accepted reinsurance), the insurer shall apply an allocation of the total IBNR or
IBNER among direct insurance and accepted reinsurance. That allocation shall be based
on objective and reasonable criteria which shall be kept unless justified document reason
to improve the criteria.
9. The technical reserves of ceded reinsurance reported in column C0210 shall be lower than
the technical reserves reported in column C0200. The reduction will reflect the losses
derived from the expected probability of the reinsurer’s failure. The entity may estimate
such probability referring to investments of similar duration rather than the technical

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reserves of ceded reinsurance and investment of similar credit rating rather than the credit
rating of reinsurer (see the technical specification for template 04.02_Reins columns
C0280 and C0290 for a more detailed explanation).
10. Row R0002. Where the reporting entity does not apply any transitional on non-life insurance
technical provisions, the RBC Valuation Note will disclose that decision and the amounts of this
row will reflect the magnitudes without transitional, in such a way that the formula in
R0003_C0080 results in nil.
11. The margin over the best estimate (MOBE) reflects the additional cost for the insurer in case of
a transfer of the insurance portfolio to a third party due to the inherent uncertainty in the cash
flows related to insurance obligations. Therefore, it lacks sense to recognise an asset
corresponding to a margin over the best estimate related to reinsurance cessions of the
reporting entity.

05.01 _AR
1. This template only refers to non-life accepted reinsurance (either treaties or facultative)
and its retrocessions. Therefore, the template shall be reported by reinsurers accepting
non-life risks and those insurers that have accepted reinsurance regarding non-life risks.
2. The information of this template refers to the valuation of each item for solvency purposes
with the only exception of column C0220 (technical provisions of non-qualifying retroceded
reinsurance), which refers to the valuation in the financial statements, since non-qualifying
reinsurance receivables should be valued at nil in the solvency balance sheet. Liabilities
corresponding to such reinsurance shall be reflected in the solvency balance sheet.
3. Technical reserves shall be reported without applying the transitional provision set out
in paragraph (97) of the Annexure VII, of the Risk Based Capital and Solvency Directive
(2078), with the only exceptions of the amounts reported in row R0002: Non- life claim
reserves with transitional and Non-life claim reserve ceded to reinsurer with transitional.
4. The technical reserves of retroceded reinsurance reported in columns C0160 to C0210
shall not include any amount corresponding retrocessions not admissible to reduce the
Risk-based Capital Requirement (non-qualifying reinsurance), according to the regulations
issued by NIA. In absence of such regulation all cessions and retrocessions shall be
considered as qualified or admissible, except those falling within paragraph (66)(6) of
Annexure IV of the Risk Based Capital and Solvency Directive or rated below B (excluding
local reinsurers).
5. The technical reserves of retroceded reinsurance reported in column C0210 shall be lower
than the technical reserves reported in column C0200. The reduction will reflect the losses
derived from the expected probability of the reinsurer’s failure. The entity may estimate
such probability referring to investments of similar duration than the technical reserves of
the retroceded reinsurance and similar credit rating than the reinsurer (technical
specification for template 04.02_Reins columns C0280 and C0290 above for a more
detailed explanation).
6. Row R0002. Where the reporting entity does not apply any transitional on non-life
insurance technical provisions, the RBC Valuation Note will disclose that decision and the
amounts of this row will reflect the magnitudes without transitional, in such a way that
the formula in R0003_C0080 results in nil.
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7. The margin over the best estimate (MOBE) reflects the additional cost for the insurer in
case of a transfer of the insurance portfolio to a third party due to the inherent
uncertainty in the cash flows related to insurance obligations. Therefore, it lacks sense to
recognise an asset corresponding to a margin over the best estimate related to
reinsurance cessions of the reporting entity.

05.02 _DI
1. This template only refers to the outstanding claims reserves of non-life direct insurance.
Therefore, the template shall be reported only by those insurers carrying out direct non-
life insurance business.
2. Reinsurers accepting non-life risks shall report similar information in template 05.02_AR.
3. Insurers carrying out direct non-life insurance business and accepting reinsurance, shall
report the data regarding the outstanding claims reserve (OCR) of direct insurance in this
template and the information regarding the accepted reinsurance OCR in template
05.02_AR.
4. The information of this template refers to the valuation of each item for solvency purposes.
5. Technical reserves shall be reported without applying the transitional provision set out
in paragraph (97) Annexure VII, of the Risk Based Capital and Solvency Directive (2078).
6. Information reported shall not include the amounts referred to annuities stemming from
non-life claims, except the information reported in the last five columns to the right, which
shall only refer to those annuities.
7. Columns C0030, C0080 and C0120, referring to ‘gross payments made before the
reported financial year’. These columns refer to payments made since the first reporting
received by the insurer of each of the claims outstanding at the beginning of the
reported financial year. Therefore the previous payments of different outstanding claims
may have a different time horizon depending on the reporting date of each claim.
8. Columns C0230, C0270 and C0300, referring to ‘gross payments made before the
reported financial year’. These columns refer to payments made since the first reporting
received by the insurer of the each of the claims reopened during the reported financial
year.

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9. The following table summarizes the logical structure of this template:

Category of Number of Payments OCR first day Payments OCR end

claims claims previous years reported FY (4) reported FY FY

C0020 C0030 C0040 C0050 C0060

Outstanding
first day of C0070 C0080 C0090 C0100 ---
reported FY (1)
C0110 C0120 C0130 --- ---

C0140 --- --- C0160 C0170

New claims
reported during C0180 --- --- C0190 ---
the FY (2)
C0200 --- --- --- ---

Reopened C0220 C0230 --- C0240 C0250

claims during
C0260 C0270 --- C0280 ---
the reported FY
(3) C0290 C0300 --- --- ---

(1)First sub-row within this row refers to claims that continue outstanding at the end of
the reported financial year (FY). Second sub-row refers to claims settled during the
reported financial year, with payments during that year. Third sub-row refers to claims
settled during the reported financial year without any payment in that year.

(2)First sub-row within this row refers to new claims reported during the financial year
that continue outstanding at the end of the financial year. Second sub-row refers to
new claims reported and settled during the financial year, with payments during the
year. Third sub-row refers to new claims reported and settled during the financial year
without any payment.

(3)First sub-row within this row refers to claims of previous years reopened during the
financial year that continue outstanding at the end of the financial year. Second sub-
row refers to claims of previous years reopened during the financial year and settled
at the end of that year, with payments during the year. Third sub-row refers to claims
of previous years reopened during the financial year settled at its end without any
payment in that year.

(4)Outstanding claims reserve at the beginning of the reported financial year refers to
the gross reserve after considering any payment prior the reported financial year and
without any deduction for reinsurance.
As an example, columns C0030, C0080 and C0120 refers to all payments made
prior to the commencement of the current reporting period in relation to claims
that remained outstanding at the beginning of current reporting period (eg. for
FY 2080- 81, payment made before 1st Shrawan 2080, for the claims which
remain outstanding as at the beginning of FY 2080/81).(logically from the date
that each outstanding claim was known by the insurer onwards

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05.02_AR
1. This template only refers to the outstanding claims reserve of non-life accepted
reinsurance. Therefore, the template shall be reported by reinsurers accepting non-life
risks and by those insurers that have accepted reinsurance regarding non-life risks.
2. The information of this template refers to the valuation of each item for solvency purposes.
3. Technical reserves shall be reported without applying the transitional provision set out
in paragraph (97) Annexure VII, of the Risk Based Capital and Solvency Directive (2078).
4. Information reported shall not include the amounts referred to annuities stemming from
non-life claims, except the information reported in the last five columns to the right, which
shall only refer to those annuities.
5. Columns C0030, C0080 and C0120, referring to ‘gross payments made before the
reported financial year’. These columns refer to payments made since the first reporting
received by the insurer of each of the claims outstanding at the beginning of the
reported financial year. Therefore the previous payments of different outstanding claims
may have a different time horizon depending on the reporting date of each claim.
6. Columns C0230, C0270 and C0300, referring to ‘gross payments made before the
reported financial year’. These columns refer to payments made since the first reporting
received by the insurer of the each of the claims reopened during the reported financial
year.

05.03_01 and 05.03_02

1. These templates request information on the severity and frequency of claims for the two
lines of non-life direct insurance business with highest gross written premiums during the
reported financial year. Therefore, these templates shall be reported only by those
insurers carrying out direct non-life insurance business.
2. Magnitudes of this template only refers to gross non-life direct insurance business,
therefore it should not include ceded business or accepted reinsurance.
3. Template 05.03_01 refers to the line of business with the highest amount of gross written
premiums during the financial year, as reported in column C0010 of template 05.01_DI,
while template 05.03_02 refers to the second highest line of business. Both lines of
business are automatically identified.
4. This template requires information in a threefold dimension:

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Firstly, there is a request of information on cost of claims and number of claims,

Secondly, for both cost and numbers of claims there is separate information on the
probability distribution of the claims of ordinary amount (not in the tail) and of the
claims with an exceptionally high cost (claims belonging to the tail). The insurer shall
decide based on its own judgement the percentile of the cost distribution where the
tail starts onwards,
Thirdly, there are separate statistical factual tables on the cost of claims and on the
number of claims. These tables gather information on both claims out and claims in
the tail.
5. The range rows R0010 to R0170 in column C0010 shall provide the cost of claims
corresponding to the upper percentile of each tranche (e.g. the cost of the claim
corresponding percentile 10, 20, 30, 40…).
6. The range rows R0090 to R00160 in column C0020 shall report the average cost of all the
claims above the lower percentile of each tranche (above 75, 80, 85, …). Therefore, it
does not refer to the average cost of each bucket, but to the average cost of all claims
above the lower percentile of the tranche (i.e. considering the tranche itself and all the
tranches above).
7. The range R0010 to R0170 in column C0050 will reflect the number of policies in-force at
any moment of the reported financial year that have declared 0, 1, 2, …, 15 or more than
15 claims during the duration of the contract, considering both claims with cost and those
with no cost for the insurer.
8. The range R0010 to R0170 in column C0060 will reflect the number of policies in-force at
any moment of the reported financial year that have declared 0, 1, 2, …, 15 or more than
15 claims, considering only those claims with cost for the insurer.

05.04
1. This template refers only to direct non-life insurance. Therefore, the template shall be
reported only by those insurers carrying out direct non-life insurance business. The inward
facultative reinsurance business between different direct non-life insurers shall not be
included in this template.
2. Magnitudes of this template only refers to gross non-life direct insurance business,
therefore not including ceded business or accepted reinsurance.
3. All amounts shall be reported in positive integer numbers (i.e. do not include negative or
decimal numbers in any cell), with the only exception of the number of policies lapsed or
not renewed (row R0120 and similar ones below).
4. The information of this template refers to the valuation of each item for solvency purposes.
5. The last category of the breakdown (“Other distribution channels”) refers to any other
distribution channels not captured in the previous categories, such as policies sold through
corporates other than bancassurance.

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6. Rows R0030 and R0110, and similar ones below. The rows ‘Number of policies new
contracts’ do not include renewals.
7. Row R0120 and similar ones below. The rows ‘Number of policies cancelled/not renewed’’
shall include policies not renewed.
8. Row R0130 and similar ones below. The number of policies at the end of the year is not
necessarily the outcome of rows R0100 to R0120, mainly due to policies renewed during
the financial year not being incorporated in this sheet.
9. Expenses to report in rows R0040, R0050 and similar ones below refer to those expenses
incurred during the year.
10. For facility of the reporting entity, the formulation of row R0070 and similar ones below
provides a proxy of the combined ratio, assuming that the use in the denominator of
‘written premiums’ instead of ‘earned premiums’ does not jeopardize the meaning of the
information reported in this template.

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05.05_01 and 05.05_02

1. These templates request information on the claim development for two non-life direct
insurance businesses (one line per template) selected according to the following criteria
set out in point 3. Therefore, these templates shall be reported only by those insurers
carrying out direct non-life insurance business.
2. Magnitudes of this template only refers to non-life direct insurance business, therefore not
including ceded business or accepted reinsurance.
3. The insurer shall select the lines of non-life direct insurance business as disclosed in
template 05.01_DI of which the settlement period of claims is longer than three years for
a material part of the claims. Among all the lines of business meeting that condition, the
entity shall select those two lines of business having the highest outstanding claim
reserves (OCR).
4. Where no line of non-life direct insurance business meets the requirement set out above
in point 3 or where meeting the requirement its outstanding claims reserve is not material,
the insurer may not report information within these templates (or only report template
05.05_01 in case there is a single line of non-life direct insurance business meeting the
requirements).
The reporting entity may assume that the outstanding claims reserve of a line of
business is not material when its amount is not higher than 5 percent of the total
outstanding claim reserve at entity level.
5. Rows R0050 and R0060. The inflation rates shall refer to the costs relevant to settle the
claims of the line of business to which the report refers to. Row R0050 shall reflect the
observed inflation rates during the past, while row R0060 shall reflect the expected
inflation rate for the future.

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06.01
1. This template shall be reported by life insurers and those reinsurers accepting life
insurance risks.
2. This template only refers to life direct insurance, life accepted reinsurance and their
cessions and retrocessions to reinsurers.
For example, rows R0170, R0180, R0260, R0300, R0350 and R0390 shall be
reported by reinsurers for their life accepted business and used as well by the
insurers for any inward reinsurance that they accept.
Rows referred to ceded reinsurance shall be reported by direct life insurers regarding
the risks they cede or retrocede to a reinsurer and by life reinsurers regarding the
retrocessions to another reinsurer. For example, R0270, R0310, R0360 and R0400.
3. The information of this template refers to the valuation of each item for solvency purposes,
except row R0210 which refers to the valuation of the technical provisions of non-
qualifying ceded/retroceded reinsurance in the financial statements, since those technical
provisions should be valued at nil in the solvency balance sheet. Liabilities corresponding
non-qualifying ceded reinsurance shall be reflected in the solvency balance sheet.
4. All amounts shall be reported in positive integer numbers (i.e. magnitudes related to ceded
or retroceded reinsurance shall be reported as positive, not negative amounts. The only
exception shall be those best estimates whose valuation according to Annexure II of the
Risk Based Capital and Solvency Directive is negative.
5. Row R0040 shall include the total cost of bonus (or cost of declared bonus) arising from
the current valuation year for the participating business since they have become
guaranteed benefits at the valuation date.
6. Row R0050. The amount of FDB shall be calculated as per Para 18 and para 19 of
Annexure II of Risk based capital and solvency directive, 2078. For simplicity the insurers
may calculate FDB as a sum of the following two until NIA sets out legally binding
deterministic scenarios to use in the valuation of the best estimate corresponding FDB as
per para 20 of the same directive.:
□ the unallocated surplus of participating business,
□ the unrealized gains expected to be allocated to policyholders in the future. At least
90 per cent of the unrealized gains shall be considered as future discretionary
benefits.
7. Rows R0190 and R0200. The ‘risk correction expected losses’ mentioned in these rows
refers to the reduction of the technical provisions of ceded/retroceded reinsurance as
described in the technical specification for template 04.02_Reins columns C0280 and
C0290 (reduction of the value of receivables from ceded/retroceded reinsurance due to
the credit risk adjustment of those receivables to take into account the expected losses
according to the probability of default or downgrade of the reinsurer).

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8. Row R0220 refers to those cessions and retrocessions which do not meet the requirements
to allow for a reduction of the Risk-based Capital Requirement according to the regulations
issued by NIA. In absence of such regulation all cessions and retrocessions shall be
considered as qualified or admissible, except those falling within paragraph (66)(6) of
Annexure IV of the Risk Based Capital and Solvency Directive (2078) or rated below B
(excluding local reinsurers).
9. Row R0240. There are several approaches to calculate the expected profits embedded in
technical provisions. Among others the two following are considered admissible:
▪ The current value of the profit margin included in the actuarial basis developed
when designing the insurance product, considering its expected duration,
▪ The difference between the valuation of the technical provision according to
Annexure II of the Risk Based Capital and Solvency Directive and the valuation
of the technical provision applying the assumptions considered in the pricing of
the contract.
Where the technical provisions have a negative valuation, the absolute amount of the
technical provision shall represent the minimum amount of the expected profits embedded
in the technical provisions (though expected profits may exist in positive technical
provisions).
The calculation of the expected profits embedded in the technical provisions shall
consider the margin over the best estimate (MOBE) to reduce the amount of such
expected profits.
In case of negative technical provisions, the absolute amount does not necessarily identify
the expected profits embedded in the technical provisions.
10. Rows R0250 to R0280. These rows refer to the valuation of life insurance technical
provisions according to paragraph (93) number 2 of Annexure VII of the Risk Based Capital
and Solvency Directive (2078).
11. Rows R0290 to R0320. These rows refer to the valuation of life insurance technical
provisions once NIA has approved the application of the transitional reduction according
to the methodology set out in paragraphs (93) to (96) of Annexure VII of the Risk Based
Capital and Solvency Directive (2078).
12. Rows R0250 to R0330. Where the reporting entity does not apply any transitional on life
insurance technical provisions the RBC Valuation Note will disclose that decision, and these
rows shall be reported empty.
13. The reporting entity shall reconcile the relevant amounts declared in column C0010 of this
template with the corresponding life technical provisions reported in the solvency balance
sheet (template 02.01_BS).
14. Rows R0410 to R0440. The information required in these rows shall be reported according
to the preliminary technical specifications for template 02.01_BS regarding the treatment
of assets corresponding to unit/index linked insurance contracts.

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06.02
1. This template only refers to life direct insurance existing during the financial year of
reference. Therefore, this template shall be reported only by those insurers carrying out
direct life insurance business.
2. All amounts shall be reported in positive integer numbers (i.e. do not include negative or
decimal numbers in any cell) with the following exceptions:
□ those best estimates whose valuation according to Annexure II of the Risk Based
Capital and Solvency Directive is negative,
□ columns C0340, C0350 and C0360, which only allows for negative numbers.
3. All magnitudes of this template refer to gross life direct insurance business, except
columns C0110 and C0120. Net of reinsurance columns shall not allow for any reduction
of non-qualifying reinsurance as defined in the specifications for templates 04.02_Reins.
4. The best estimates of this template shall always include the costs of bonus.
5. The reporting entity shall reconcile the relevant amounts declared in rows R0001, R0002
and R0003 of this template with the corresponding life technical provisions reported in the
solvency balance sheet (template 02.01_BS) and in template 06.01.
6. ‘FDB’ stands for future discretionary benefits, which are those benefits expected to be
provided to policyholders in the future based on the future investment performance of the
assets established in the insurance contract. The best estimate of these benefits is
reported in column C0030, while the best estimate of benefits allotted to policyholders
based on past performance of assets shall be reported in column C0040 (and within the
amounts of columns C0010 + C0020).
7. The reporting entity shall allocate unrealized gains among the different types of life
insurance business according to objective and rational criteria, which shall be maintained
in time unless justified documented reasons.
8. Column C0090 refers to payments carried out by the policyholder to the insurer, other
than premiums, to keep or obtain the benefits of the contract, if any. This column shall
never reflect any inflow proceeding from investments.
9. Rows R0810 to R0880 shall breakdown the unit and index linked life insurance business
considering,
whether the contract provides a biometric guarantee to the policy holder (in case
of death, disability…) even being rather immaterial,
whether the contract provides a financial guarantee (e.g. a guaranteed yield for a
period of time or at certain point in time),
whether the contract is a pure investment contract without any ancillary biometric
or financial guarantee.
10. Column C0110. This column will reflect the best estimate at the end of the financial year
reported corresponding direct insurance minus the best estimate at the same date
corresponding ceded reinsurance. Therefore, accepted reinsurance and retrocessions
are not captured in this template.

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11. Column C0140. The duration of cash flows refers to the remaining duration of the
cashflows at the financial year end reported.

06.03
1. This template shall be reported only by life direct insurers and referred to their direct life
insurance contracts.
2. Column C0010 refers to the opening life fund used by Appointed Actuary for valuation
purposes All amounts shall be reported in positive integer numbers (i.e. do not include
negative or decimal numbers in any cell). Only column C0020 allows for negative amounts
in case the best estimate is negative.
3. Column C0020 refers to the net reinsurance technical provisions one reduced with the
transitional facility approved by NIA. The amount of this column shall exclude the costs
of bonus for the only purposes of calculating the allocation of bonus to policyholders and
shareholders (template 06.03). Nevertheless, for any other purpose the best estimates
reported in the QRRT RBC shall include the total cost of bonus.
Where the reporting entity does not apply any transitional on life insurance
technical provisions the RBC Valuation Note will disclose that decision, and the
amounts of this column will reflect the magnitudes without transitional.
4. Column C0040 refers to the closing life fund that is forwarded to financials. This fund is
calculated as opening life fund plus amount transferred from shareholders fund minus
amount transferred to shareholders fund ie C0010+C0060-C0080 Rows referred to
unit/index linked life insurance business shall inform the shareholders’ surplus arising from
the unit-index linked business, e.g. the release of non-unit reserves.
5. Rows R0810 to R0880 shall breakdown the unit and index linked life insurance business
considering,
whether the contract provides a biometric guarantee to the policy holder (in case
of death, disability…) even being rather immaterial,
whether the contract provides a financial guarantee (e.g. a guaranteed yield for a
period of time or at certain point in time),
whether the contract is a pure investment contract without any ancillary biometric
or financial guarantee.

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06.04
1. This template refers only to life direct insurance existing during the financial year of
reference. Therefore, the template shall be reported only by those insurers carrying out
direct life insurance business. The inward facultative reinsurance business between
different direct life insurers shall not be included in this template.
2. All amounts shall be reported in positive integer numbers (i.e. do not include negative or
decimal numbers in any cell) with the following exceptions:
□ Row R0060 (best estimate without transitional at the end of the financial year
reported) and similar ones below, a negative amount might make sense.
□ Rows R0110 and R0120 and similar ones below, (number of policies
lapsed/surrendered or matured/extinguished), only allow for negative amounts.
3. The last category of the breakdown (“Other distribution channels”) refers to any other
distribution channels not captured in the previous categories, such as sold through
corporates other than bancassurance.
4. Row R0040 and similar ones below shall inform the gross single premium written during
the financial year of reference and those riders that the insurer has received during the
year that do not compel the policy holder to satisfy regular payments during future years.
5. Row R0060 shall reflect the best estimate of each distribution channel that is part of the
amounts reported in column C0100 of template 06.02.
6. Row R0070 shall reflect the surrender amounts paid in the policies of each distribution
channel that are part of the amounts reported in column C0230 of template 06.02.
7. Row R0100 and similar ones below. The rows ‘Number of policies new contracts’ do not
include renewals.
8. Row R0110 and similar ones below. The rows ‘Number of policies lapsed/surrendered’’
shall include policies not renewed.
9. Row R0130 and similar ones below. The number of policies at the end of the year is not
necessarily the outcome of rows R0090 to R0120, since the number of policies revived
during the financial year is not incorporated in the sheet.

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06.05_CF
1. This template shall be reported by
Life insurers regarding exclusively their life direct insurance existing at the end of
the year of reference (therefore, excluding any life accepted reinsurance),
Life reinsurers regarding exclusively life accepted reinsurance providing protection
to the cedant with non-revisable conditions for three or more years from the end of
the financial year reported.
2. The information of this template refers to the valuation of each item for solvency purposes
without applying the transitional provisions set out in paragraphs (93) to (96) of Annexure
VII, of the Risk Based Capital and Solvency Directive (2078).
3. Both cash inflows and cash outflows shall be reported in positive integer numbers (i.e. do
not report cash outflows with negative numbers).
4. Amounts in row R0001 (sums of actual discounted cash flows) shall reconcile with the
corresponding data reported in template 06.01.
The discounting factors for each financial year of projection are provided in the sheet
“RFR_Curves”. These discounting factors are derived from the Nepalese risk-free
interest rates curve provided by NIA, assuming a homogeneous distribution of cash
flows for those cash flows expected the same financial year of projection.
5. Rows R0010 to R0510 shall reflect undiscounted expected cash flows exclusively derived
from direct life insurance contracts, therefore excluding cash flows from the investments
corresponding to technical provisions.
Therefore, the sum of these rows should NOT be equal to the discounted amount
reported in row R0001.
In mathematical terms, the matrix multiplication of the transposed vector (R0010-
R0510) for each column by the non-stressed discounting factors provided in sheet
“RFR_curves” should produce a total amount approximated to the one reported for
each column in row R0001 (see row R0002).
6. Column C0150. In the case of unit/index linked contracts, the calculation shall only
consider future premiums when the policyholder is legally or contractually obliged to pay
the premiums.
7. Columns C0180 to C0230 shall be reported only in case of life reinsurance contracts with
a compulsory duration for both parties above five years. Columns C0180 to C0230 shall
be reported in a similar way as reported for direct insurance.

06.06
1. This template only refers to life direct insurance existing during the year of reference.
Therefore, the template shall be reported only by those insurers carrying out direct life
insurance business.

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2. This template shall not include information in respect of riders and the linked benefit
(which is net asset value and not known in advance). Information on riders is required in
template 06.02 (column C0190).
3. Columns C0010 and C0090 shall report the number of insurance contracts.
4. Columns C0040 and C0110 shall report the number of master policies.
5. Columns C0070 and C0130 shall report the number of both immediate and deferred
annuities and pension contracts, including individual or group business.
6. Columns C0020, C0050, C0100 and C0120 shall report the face amount of the insurance
contract—basic sum assured.
7. Columns C0080 and C0140 shall report the amounts of annuity p.a. indicated in both
immediate and deferred annuity and pension contracts. In case of variable annuities, the
total amount paid during the financial year shall be reported in these columns.
8. Columns C0030 and C0060 shall report the Vested Bonus—the bonus so far vested and
attached to the policy, and shall not include the annual bonus allotted as per the actuarial
valuation at the valuation date immediately prior to the current valuation date which gets
reflected under item row R0060 -bonus additions allotted. This must not include the
bonuses which have already been paid or payable in cash to the policyholders, as the
same got reflected in the insurer’s revenue account. These columns represent the
amounts which are definitely payable at a future date along with the sum assured.
9. Row R0010 represents the carry forward of last year’s closing figures, and thus become
the opening figures for the current year.
10. Row R0020 represents the new contracts issued during the year. Please note that there
will not be any bonuses vested to these contracts.
11. Row R0030 represents the revivals of those policies which have been issued before the
valuation date but lapsed on account of policy conditions under which there is no liability
on the part of the insurer in case of lapse. Please note on revival, the policy gets the status
of a new policy with the Sum Assured, and Bonuses vested if any, therefore furnish the
corresponding columns.
12. Row R0040 represents the reinstatements of those policies which have become paid-up
on account of policy conditions under which there is some liability on the part of the
insurer in case of paid-up status. On reinstatement, the balance sum assured that the
insurer was not liable before reinstatement gets revived after the revival as per policy
conditions. In this row, columns referring to the number of policies is not required to be
furnished, as these policies are already on the books of the insurer. Therefore, in case of
paid-up policies at the beginning of the year, they will be reported in row R0010 but for
the reduced sum assured, and in case of reinstatement of this policy, the balance sum
assured gets reinstated and gets reflected in row R0030, so that this policy comes into
force with the original sum assured.
13. Row R0050 represents those policies shown in row R0010 that have experienced during
the year an increase in Sum Assured (and/or Vested Bonuses) which is required to be

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added as per policy conditions. For instance, a policy shown in row R0010 has a sum
assured of Rs.10000, and as per policy conditions, this policy gets its sum assured cover
increased to Rs. 15000, by Rs. 5000, then there is an increase of Rs. 5000 which is
required to be shown in row R0040. 5. In this row, the columns referring to the number
of policies are not required to be furnished, as these policies are already on the books of
the insurer.
14. Row R0060 represents the ‘Bonus Additions’ for those policies which were included in row
R0010 and which are required to be allotted the bonus declared at the previous valuation
date and which was not so far attached to the policy in row R0010. For instance, a policy
was eligible for a bonus addition of Rs. 500 as a result of previous valuation, and this
amount was not attached at the previous valuation date (this bonus liability arises only in
the current year) and for the purpose of the current valuation date, the liability of Rs. 500
should be taken into account as at the valuation date. In this row, the columns referring
to the number of policies are not required to be furnished, as these policies are already
on the books of the insurer.
15. Rows R0080 to R0150 represents the information in respect of policies which are going
out of the records of the insurer during the valuation year.
16. Row R0080 represents the ‘death claims’ as a result of which the numbers and amounts
are going out of the records of the insurer.
17. Row R0090 represents the maturities or survival benefits as a result of which the numbers
and amounts are going out of the records of the insurer.
18. Row R0100 represents the details of the term insurance contracts which are going out of
records.
19. Row R0110 represents the information in respect of policies which have been surrendered
during the valuation year, and as a result of surrender, the benefits attached to the policies
are going out of the records of the insurer.
20. Row R0120 represents the information in respect of policies which have been lapsed
during the current valuation year on accounts of policy conditions and have gone out of
the records of the insurer. As a result, the basic sum assured, and the vested bonuses, if
any, shall go out of the records of the insurer, in his register of policies.
21. Row R0130 represents the information in respect of policies that have become paid-up
during the current valuation year on account of policy conditions, and these policies would
not go out of the records of the insurer, since the insurer is liable for reduced benefits
under the policy as per policy conditions. Only the sum assured portion for which the
insurer is not liable will get discontinued during the valuation year. In this row, the columns
referring to the number of policies are not required to be furnished, as these policies are
already on the books of the insurer.
22. Row R0140 represents those policies for which the basic sum assured stands reduced in
the current valuation year on account of policy conditions. This means that for a policy
included in row R0010, the insurer is obliged to pay for reduced benefits. For instance, a
policy included in R0010 is with a basic sum assured of Rs. 10000, and as per policy

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conditions, the basic sum assured stands reduced to Rs. 8000 as per policy conditions,
and the insurer is liable for this policy for basic sum assured of Rs. 8000 from the date of
change, and as a result the amount of Rs. 2000 is going out of the records of the insurer.
In the example of this policy, column C0020 is Rs. 2000, and as a result, as at the end of
the year, this policy stands in force for a sum assured of Rs. 8000. In this row, the columns
referring to the number of policies are not required to be furnished, as these policies are
already on the books of the insurer.
23. Row R0150 represents those policies which have been taken either at the start of the year
or during the year (which might be in rows R0010 or R0020), but going out of the records
before the valuation date, on account of policy conditions. For instance, a policy which
was issued on account of receipt of premium cheque, is not taken up during the valuation
year, since the cheque was dishonoured and the premium had not been paid at all during
the year. There could be instances where the policyholder wants the insurer to cancel the
policy, and these could get reflected in row R0150 if these have been included in R0010
or R0020.
24. Row R0170 represents the closing figures at the valuation date and means that the insurer
has the policy records for which there exists a policy liability as on the valuation date.
25. In case of ‘linked long term’ contracts, the insurer may furnish the ‘death benefit’ which
is payable to the policyholders under the columns C0020, C0050, C0100 and C0120 (Sum
Assured).

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07.01
1. This template captures the intra-group transactions with other entities of the group,
regardless of the activity of the counterpart (i.e. either (re)insurers, or other financial
entities or non-financial entities belonging to the same group as the reporting entity). The
amounts of this template shall reflect only the cash flows sent or received during the
financial year to other entities of the same group as the reporting entity.
2. Both cash inflows and cash outflows shall be reported in positive integer numbers (i.e. do
not report cash outflows with negative numbers).
3. For the purpose of this template, the definitions of ‘group’, ‘subsidiary’ and ‘associated’
entity in the NFRS Based Financial Statements Directives shall apply, considering:
‘Subsidiary’ and ‘associated’ refers to the subsidiaries and associated entities of the
reporting entity,
‘Direct or indirect shareholders’ refers to entities of the same group that are
shareholders of the reporting entity, or shareholders of another entity of the group
which is shareholder of the reporting entity (regardless the number of levels to reach
the reporting entity),
‘Other entities of the group’’ refers to other entities within the group to which the
reporting entity belongs to.
In case of circular participations, the other entity shall be qualified according to the
most important participation. If there are equivalent shall be reported as ‘Direct or
indirect shareholders’
4. The reporting entity shall reflect in columns C0010 to C0100 the information referred to
those ten intra-group counterparties with highest sum of cash inflows + cash outflows
(without netting) during the year.
5. Therefore, the amounts reported in column C0001 may not equal the sum of columns
C0010 to C0100. The difference corresponds to the cash flows of those intra-group
counterparties not reported as the ten most important counterparties in this template.

07.02
1. The information of this template shall refer to the valuation of each item in the solvency
balance sheet of the reporting entity. Both assets and liabilities shall be reported in positive
integer numbers (i.e. do not report liabilities with negative numbers).
2. For the purpose of this template, the definitions of ‘group’, ‘subsidiary’ and ‘associated’
entity in the NFRS Based Financial Statements Directives shall apply, considering the same
specifications as for template 07.01.
3. The reporting entity shall reflect in columns C0011 to C0102 the information referred to
those ten intra-group counterparties with highest either exposures (assets) or liabilities at
the end of the year, considering the valuation in the solvency balance sheet.

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4. Therefore, the amounts reported in columns C0001 and C0002 may not equal the sum of
columns C0010 to C0102. The difference corresponds to the cash flows of those intra-
group counterparties not reported in this template.
5. Row R0060. The amounts reported in this row shall reflect the technical provisions derived
from cessions and retrocessions to reinsurers belonging to the same group as the
reporting entity, deposits in those reinsurers, and any other balance with them.
6. Row R0190. The amounts reported in this row shall include the technical provisions
derived from accepted reinsurance with insurers or reinsurers belonging to the same group
as the reporting entity, deposits in those insurers or reinsurers, and any other balance
with them.

08.01 – 08.02
1. These templates shall be reported according to the regulation applicable before the entry
into force of the Risk Based Capital and Solvency Directive (2078).

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09.01
1. This template shall be reported for all insurers and reinsurers licensed by NIA. NIA expects
that the information of this template shall be reported on best effort basis for the first
time, and that the quality of that information will improve in successive years.
2. The reporting entity shall report this information according to their own risk management
for NatCat risks, such as the interpretation of terms or the methodologies to derive the
information required.
3. Where the template refers to ‘accurate localization’ it is considering any coordinates that
allow the reporting entity either reliable or practicable statistics or a modelling of the
NatCat events.
4. Where the template refers to resilience it is considering the level of damage in the object
assured in case of realization of the NatCat event.
High resilience means that the object will not suffer damages of material importance.
Medium resilience means that the object will suffer material damages but making
economic sense to repair.
Low resilience means that object is not usable or repairable after the NatCat event.
5. Regarding the earthquake, flood and storm and hail events to consider in template 09.01,
NIA will provide further guidance on the specific conditions of each natural CAT event.
6. Row R0111. In order to provide a preliminary indication of the concentration of risks, the
entity shall report in this row the number of the largest exposures that cumulate 50
percent of the total sum assured in each area and risk (e.g. 15 means that the fifteen
largest exposures represent half of the sum assured in each area and for each risk).
7. Rows R0112 and R0113 and similar below. The probable maximum loss shall reflect the
expected cost of claims incurred in case of occurrence of the NatCat event. It is expected
to be lower than the total sum assured due to the degree of resilience of the exposures.
8. Row R0114 and similar below. Where the insurance contracts include a guarantee of
business discontinuity (e.g. an amount to be provided to farms, factories or commercial
business in case of interruption of activity due to the NatCat event), the sum of all daily
compensations covered by the reporting entity shall be reported in the relevant row.

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09.02
1. The forecast of cash inflows and cash outflows should be consistent with the business
plan and the strategic plan of the insurer.
For example, premiums and expenses should be aligned with the development of
those items considered in the commercial policies and strategic plan.
In the same manner, cash flows related to investment should be consistent with the
investment policy approved, considering the type of insurance contracts marketed.
Therefore, it is not relevant to apply any artificial method of projection, such
as merely linear or other algorithmic projections.
2. Row R0001. For those future dates after the reference date of the QRRT RBC, the
reporting entity shall specify whether the data informed in each month reflect real data or
forecast.
3. Both cash inflows and cash outflows shall be reported in positive integer numbers (i.e. do
not report cash outflows with negative numbers).
4. Row R0110 refers to cash inflows corresponding to regular premiums of multi-year existing
insurance contracts.
5. Row R0120 refers to the cash inflows corresponding premiums of renewals, both non-life
and short-term life insurance contracts (e.g. annually renewed life insurance contracts).
6. Rows R0190 to R0210 refers to cash inflows derived from coupons, dividends or similar
ways to receive ordinary return of assets without realization.
7. Row R0220 refers to cash inflows derived from the maturity of assets or from the ordinary
realizations of assets according to the investment policy of the reporting entity.
8. Row R0230 refers to cash inflows derived from extraordinary realizations of assets.

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Annexure I.-Short identification provided by NIA to report in

template 00.01_Index

SN Name of Insurer Short NIA Short name of the

identification reporting entity

1 Nepal Insurance Company Ltd. GI001 Nepal Insurance

2 The Oriental Insurance Company Ltd. GI002 Oriental

3 National Insurance Company Ltd. GI003 National

4 Neco Insurance Ltd. GI008 Neco

5 Prabhu Insurance Ltd. GI010 Prabhu

6 Shikhar Insurance Company Ltd. GI013 Shikhar

7 NLG Insurance Company Ltd. GI015 NLG

8 Rastriya Beema Company Ltd. GI017 Rastriya Beema

9 Himalayan Everest Insurance Ltd. GI021 Himalayan Everest

10 Sanima GIC Insurance Ltd. GI022 Sanima GIC

11 Sagarmatha Lumbini Insurance GI023 Sagarmatha Lumbini

Company Ltd.

12 Siddhartha Premier Insurance Ltd. GI024 Siddhartha Premier

13 United Ajod Insurance Ltd. GI025 United Ajod

14 IGI Prudential Insurance Ltd. GI026 IGI Prudential

15 Rastriya Beema Sansthan LI001 Rastriya Beema

Sansthan

16 National Life Insurance Company Ltd. LI002 National Life

17 Nepal Life Insurance Company Ltd. LI003 Nepal Life

18 Life Insurance Corporation (Nepal) Ltd. LI004 LIC Nepal

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19 Metlife Alico LI005 Metlife Alico

20 Asian Life Insurance Company Ltd. LI006 Asian Life

21 IME Life Insurance Company Ltd. LI010 IME Life

22 Sun Nepal Life Insurance Company Ltd. LI013 Sun Nepal Life

23 Reliable Nepal Life Insurance Company LI015 Reliable Nepal Life

Ltd.

24 Citizen Life Insurance Company Ltd. LI016 Citizen Life

25 SuryaJyoti LIfe Insurance Company Ltd. LI020 SuryaJyoti Life

26 Sanima Reliance Life Insurance Ltd. LI021 Sanima Reliance Life

27 Himalayan Life Insurance Ltd. LI022 Himalayan Life

28 Prabhu Mahalaxmi Life Insurance Ltd LI023 Prabhu Mahalaxmi Life

29 Nepal Re-Insurance Company Ltd. RI001 Nepal Re

30 Himalayan Re-Insurance Company Ltd. RI002 Himalayan Re

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Annexure II.-Guideline for RBC Valuation Note

Guidelines on Preparation of RBC Valuation Note

1. The appointed actuary shall follow the guidance provided in this Annexure in preparing
the RBC Valuation Note referred to in section “Process for the submission of the QRRT
RBC templates to NIA”.
2. While compiling the RBC Valuation Note, the appointed actuary shall consider items
mentioned in Table 1 (below). However, the details set out in each section should not be
viewed as an exhaustive list of issues that need to be addressed in the note. The Actuary
shall be responsible for including in the note any quantitative or qualitative information of
material impact in the economic or solvency position of the insurer, both derived from any
event previous to the reference date of the reporting or occurred after reference date of
reporting but before the date of signing of the note by the Actuary.
3. The RBC Valuation Note should be accompanied by a certification from the Board of
insurers on the financial soundness of the business as specified in section 12 of the
following table. NIA will continue developing these guidelines in future years according to
the experience and market developments.

Table 1

Section Section - Items to be addressed

Heading

1 Certification 1.1. Certification of the RBC Valuation Note by the appointed

actuary and countersigned by the Chief Executive Officer of
the insurer or reinsurer.

2 Executive 2.1. Statement by the appointed actuary commenting on the risk-

Summary based capital and solvency position of the insurer and at least
2.1.1. Main drivers of the risk-based capital requirement,
2.1.2. Material changes compared to the previous years
and forecast for the new year, both at entity level and for
each of the main modules and sub-modules of risks,
2.1.3. Main changes in the Available Capital Resources and
vulnerabilities,
2.2. A summary of Capital Plan, if solvency ratio is less than
130%.

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2.3. Summary of bonus declaration on participating business

2.4. Summary of surplus transferred to/from the shareholders’
fund

3 Compliance 3.1. Statement by the appointed actuary on how the insurer has
with the complied with relevant regulations/ directives/ guidelines.
regulations
3.2. Statement by the appointed actuary on his/her professional
capacity and obligations.
3.3. Appointed actuary to raise material concerns in relation to
the risk-based capital and solvency position of the insurer and
provide recommendations to remedy the situation.

4 Data – Summary 4.1. Summary of the data used in the RBC Valuation Note.
of assessment of
4.2. Comment on whether extraction and validation of RBC
data quality
Valuation Note data have been carried out in line with the data
used for
policy. In absence of data policy, please provide
valuation of
recommendations on the necessary steps that the insurer needs
technical
to take to improve the process.
provisions
4.3. High level comments on the checks that have been carried
out on the data as at the date of the RBC Valuation Note.
4.4. Additionally, the summary of the reconciliation of data
movements from the previous valuation date to be provided. If
the starting data for the current valuation year is not consistent
with the end data from the previous valuation date, the
discrepancies need to be explained.
4.5. Comment on how the appointed actuary has gained comfort
on ensuring the completeness, appropriateness and accuracy of
the data.
4.6. Highlight any material data issues and limitations and their
impact on any of the material components of the Risk-Based
Capital Requirement or the Available Capital Resources.

5 Internal Process 5.1. Comment on the types of appropriate checks and controls
and Controls that have been carried out to calculate the technical
reserves, including whether these checks and controls are
in line with the Internal Process and Controls document

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5.2. Description of the sources and controls applied regarding

the inputs, methodologies, assumptions and outcomes
relevant to assess the solvency position

6 Valuation 6.1. Description of the valuation methods used for key product
Methodologies lines
6.2. Future Discretionary Benefits (FDB) , Margin over Best
estimate (MOBE) and Future Profit Embedded in the
valuation of technical provision
6.3. Description of the scenarios used for stress testing,
including:
6.3.1. Methodology to identify the variables to stress,
having in mind the risk profile of the entity and its
business model,
6.3.2. Methodology to identify the magnitude of each the
stress for each of the selected variables,
6.3.3. Limitations of the methodologies,
6.3.4. Outcomes obtained and the interpretation carried
out by the insurer,
6.3.5. Any other information of material impact to
understand the methodologies, running, reporting
and governance of the stress testing.
6.4. Explain if the valuation methodology has changed from the
previous valuation and the impact of the change on the
reserves

7 Valuation 7.1. Describe and comment on the assumptions used for

Assumptions key product lines including the appropriateness of
assumptions and how they were derived, providing
separate references to:
7.1.1. Biometric assumptions in the case of life
insurance/reinsurance, and
7.1.2. Cost and frequency of claims in case of non-
life insurance/reinsurance, including inflation
in case on claims with a medium or long-term
settlement horizon, and

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7.1.3. Assumptions on future acquisition costs, if

any, and management expenses, including
overall expenses, and
7.1.4. Policy holders’ behaviour (e.g. lapses, options
provided to receive payments as lump sum or
annuity,…), and
7.1.5. Any other assumption with material impact in
the estimate of future cash flows of the
insurance contract.
7.2. Provide reasons for any changes in assumptions
from the previous valuation year.
7.3. Comment on the adequacy of margins to reflect
risks (such as level risk, volatility risk, trend risk,
model risk or parameter risk) included in the
actuarial assumptions.
7.4. Appropriateness of the assumptions applied to
calculate the margin over the best estimate (MOBE)
according to the methodology described in section
6, item 6.2 of this annexure,

Bonus Only where applicable, the RBC Valuation Note will provide a
Declaration detailed description and table of new bonus declaration.
8

9 RBC Valuation 8.1. Summary of the valuation results by key product lines
Results
8.2. Provide a reconciliation of changes in surplus over the
valuation year
8.3. Comment on key risks, uncertainties and limitations
associated with the calculation of valuation results
8.4. Result of stress testing applied for RBC valuation purposes

9 Surplus 9.1. Summary of surplus emerging over the valuation year by

Allocation key product lines
9.2. Summary of the results of bonus earning capacity exercise
9.3. Comment on how the bonus declarations for participating
policies are consistent with the bonus earning capacity; in
line with the insurer’s bonus philosophy; and takes into

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account the policyholder reasonable expectation (PRE) and

treating customers fairly (TCF)
9.4. Summary of surplus allocation by each key product lines
9.5. Explanation of use or retention of unallocated surplus
9.6. Summary of surplus allocation to/from the shareholders’
fund

10 Transitional Where the life insurer or reinsurer accepting life risks applies the
Requirements transitional regulation set out in paragraphs (93) to (96)
for Life Insurers Annexure VII of the Risk-Based Capital and Solvency Directive
(2078) the RBC Valuation Note shall provide the following
information,
1. Description of valuation methods used for calculation of
technical provisions using 6% interest rate should be
provided by the appointed actuary.
2. Description of assumptions used for calculation of
technical provisions using 6% interest rate should be
provided by the appointed actuary.
3. Information provided in Annexure III of this QRRT RBC
Technical Specification.
4. Information provided in Annexure IV of this QRRT RBC
Technical Specifications.

11 Transitional Where the non-life insurer or reinsurer accepting non-life risks

Requirements applies the transitional regulation set out in paragraph (97)
for Non Life Annexure VII of the Risk-Based Capital and Solvency Directive
Insurers / (2078), the RBC Valuation Note shall provide the following
Reinsurers information.
1. Description of the accounting policy for liability testing,
2. Description of valuation methods and assumptions used
for calculation of technical reserves, breaking down the
content referred to claims frequency, claims severity and
the tail of large claims. This information shall be reconciled
with the information provided in templates 05.03 and
05.05 of the QRRT RBC
3. Description of the cash flow considered.
4. Description of discounting policy

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5. Description of aggregation practices.

12 Certification by The Board of the insurer to provide a formal approval and sign
the Board of the off on the following:
insurer
1. the valuation methodologies adopted are appropriate for the
lines of business and in line with Nepal Insurance Authority
regulations
2. the valuation assumptions used are appropriate for the lines
of business and the insurer ensures they are updated as
necessary
3. the insurer has followed proper RBC valuation process and
controls,
▪ including reasonable steps have been taken to ensure
the accuracy and completeness of the data
▪ proper checks and controls have been carried out in
calculating the valuation reserves
4. the insurer has performed adequate analyses to
understand the movement in capital requirement and any
factors leading to material (actual or potential) impact on the
solvency position
5. For life insurers, bonus declarations for participating policies
are consistent with the bonus earning capacity, in line with
the insurer’s bonus philosophy and takes into account the
policyholder reasonable expectation (PRE) and treating
customers fairly (TCF)

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Annexure III.- Statement of valuation results

Statement of Valuation Results
TYPE OF BUSINESS: PARTICIPATING BUSINESS / NON-PARTICIPATING BUSINESS /TOTAL
Net
Cost of Liabilities
Terminal Net after
Cost of Bonus, Liabilities elimination
Sum Sum bonus for Final before of negative
Assured/ Vested Gross Net Assured/ Vested Office Net Future the inter- Bonus, elimination reserves, Line
valuation Special of negative but before
Item No. Annuity p.a Bonuses Premium Premium Annuity p.a Bonuses Premium Premium Bonuses period Bonus, etc. reserves reinsurance. No
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
Life insurance 1
Endowment
Anticipated
Endowment Cum Whole life
Expat Policy
Whole life
Special Term
Others
Linked long term 2
Annuities 3
Disability Riders 4
Health Riders 5
Pension policies 6
Capital Redemption Contracts 7
Total--before Reinsurance 8
Reinsurance [including reinsurance on riders] 9
Total — Net of Reinsurances [that is after reinsurance]:Line 8 minus L ine 9) 10
Adjustments, if any:- 11
Reserve for Immediate Payment
of claims 12
Reserve for future expenses and
bonuses in case of limited
payment and paid up policies 13

Reserve for lapsed policies not

included in the valuation and for
which liability may arise in future 14
Reserve for disability benefits in
payment 15
Reserve for in force policies
under which premiums have been
waived 16
Reserve for benefits upon
occurrence of life assureds'
disability or waiver of premiums
in future 17
Reserve for policies which are
high risks on account of sub-
standard life or occupation 18
Reserve for contingent
liabilities—specify 19
Reserve for adverse deviations in
experience 20
Reserve for other items, if any,
please specify [riders, other items-
-specify separately] 21
Total Adjustments [sum of Line
12 to Line21] 22
Total Net of Reinsurances [total
net liability]:Line 22+Line 10 23
Total Mathematical Reserves befor e Reinsurance :Line 23+Line 9 24

Please read instructions carefully before this annexure is furnished to the Nepal Insurance Authority
1.This annexure must be furnished for each of the sub-classes of long term insurance business. The Line 4 is for the business of contracts on disability and multiple indemnity, accident and
sickness benefits other than that for Lines 1 to 3, and 5 to 7. The Appointed Actuary shall ensure that the data is made available to him by the insurer as the annexure requires. The rest are self-
explanatory.
2. This annexure must be furnished for (1) participating, (2) non participating, and (3) total businesses separately.
3.For each Line of Lines 1 to 7, which represent each of the sub-classes, furnish the columns 2 to 11, for each product and riders issued in each sub-class. Information for All riders must be
furnished under each sub-class.
4. For Line 2, the Sum Assured, the column 3 should represent the Net Asset Value – the benefit payable under the policy.
5. For Lines 3 and 7, the annuity p.a. must be furnished under column 3. For Deferred Annuity Contracts too, annuity p.a. (which is mentioned in the contract) must be furnished.
6. Columns 2 to 6 must be the original data supplied by the insurer to the appointed actuary. Columns 7 to 11 must be determined by the Appointed Actuary.
Gross premium portion in respect of the number of policies mentioned under col (2); col (6) shall be the reinsurance premium (net) paid by insurer to reinsurer; Cols (7) to (10) may be kept
blank.
8. Col (6) = Col (5) – Reinsurance Premium.
9. Col (14) = Col (7) + Col (8) + Col (11) – Col (10)
10. Col (15) = Col (14) + Absolute amount of Negative Reserves.
11. Please note that cols (12) and (13) will get reflected in annexure No. 7 as allocations, suitably.

Information in respect of negative reserves: Rs. 000s

Type of Business: Number negative Surrender Office
reserve Deficiency Premium
other than Reserves
Surrender
Deficiency
Reserve
1. Participating Business
2. Non-participating
business
3. Total

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Annexure IV.- Statement of Specimen Policy Values.

Statement of Specimen Policy Values

No. of Endowment Assurances Endowment Com Whole Life Assurances

Premiums

Paid X=35; T=25 X=45; T=15 X=55; T=05 Entry Age: Entry Entry
35 Age:45 Age:55

Line Reser MSV Reser MSV Reser MSV RV MSV RV MSV RV MS

No. ve ve ve V
Value Value Value

1 2 3 4 5 6 7 8 9 10 11 12 13 14

1 1

2 2

3 3

4 4

5 5

6 6

7 7

8 8

9 9

10 10

11 11

12 12

13 13

14 14

15 15

16 16

17 17

18 18

19 19

20 20

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21 21

22 22

23 23

24 24

25 25

Notes: RV: Reserve Value.

MSV: Minimum Surrender Value.
X= Entry Age.
T=Policy Term

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