ORSA Report Template (Solvency II Article 45, Solvency UK, NAIC)
Board conclusions, business plan, risk profile, overall solvency needs, SCR projection, standard formula fit, stresses, climate scenarios, liquidity
Cara menggunakan: Use it to write the insurer's own risk and solvency assessment for the board and the supervisor. Fill the business plan and risk profile first and get scenarios approved before results are known. The main pitfall is restating the standard formula SCR as the own view without assessing where the portfolio deviates from its assumptions.
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ORSA Report: [Insurance undertaking or group name] [Reference date]
Own Risk and Solvency Assessment (ORSA) supervisory report for an insurance or reinsurance undertaking: the board's conclusions, the business plan, the risk profile, the overall solvency needs on the undertaking's own view, the projection of continuous compliance with the Solvency Capital Requirement (SCR), the Minimum Capital Requirement (MCR) and technical provisions, the appropriateness of the standard formula, stress, reverse stress and climate change scenarios, management actions and sign-off. Based on Directive 2009/138/EC (Solvency II), Article 45, as amended by Directive (EU) 2025/2 (transposition by 2027-01-29, application from 2027-01-30), Commission Delegated Regulation (EU) 2015/35, Articles 262 and 306, and the EIOPA Guidelines on own risk and solvency assessment (EIOPA-BoS-14/259), with notes for the UK (PRA Rulebook, Conditions Governing Business 3.8 to 3.12, and SS19/16) and the US (NAIC Risk Management and ORSA Model Act #505). Requirements are cited by article and guideline number; obtain the consolidated text. Replace every
[bracketed]value and every row marked Example. This is a document format, not legal, actuarial, regulatory or financial advice; check the current official text and a qualified professional.
Document control
| Field | Value |
|---|---|
| Document ID | [ORSA-YYYY] Example: ORSA-2026 |
| Undertaking and scope | [Solo / group] Example: Sallowmere Insurance SE, solo |
| Reference date | [YYYY-MM-DD] Example: 2026-12-31 |
| Projection horizon | [Years] Example: 2027 to 2029, aligned with the business plan |
| Type | [Regular / Non-regular, trigger] Example: Regular annual ORSA |
| SCR method | [Standard formula / partial or full internal model] Example: Standard formula |
| Supervisory authority | [Authority] Example: National competent authority of the home Member State |
| ORSA policy reference | [ID and approval date] Example: ORSA-POL-2026, approved 2026-03-20 |
| Version | [0.1] |
| Status | [Draft / In review / Approved by the board] |
| Owner | [@chief-risk-officer] |
| Approvers/reviewers | [@actuarial-function-holder], [@cfo], [risk committee], [board] |
| Last updated | YYYY-MM-DD |
| Classification | [Confidential, supervisory] |
| Submission to supervisor | [YYYY-MM-DD, within the period set by national rules] |
Approvals
| Role | Name | Decision | Date |
|---|---|---|---|
| Risk management function (preparer) | [@name] | [Submitted] | YYYY-MM-DD |
| Actuarial function | [@name] | [Contribution and review of technical provisions and projections] | YYYY-MM-DD |
| Chief Financial Officer | [@name] | [Business plan and capital figures confirmed] | YYYY-MM-DD |
| Board risk committee | [@chair] | [Recommend] | YYYY-MM-DD |
| Board of directors | [@chair] | [Approve conclusions] | YYYY-MM-DD |
Revision history
| Version | Date | Author | Change summary |
|---|---|---|---|
| 0.1 | YYYY-MM-DD | [@name] | Risk profile and scenario design |
| 0.5 | YYYY-MM-DD | [@name] | Example: Projections, stresses and climate scenarios added |
| 1.0 | YYYY-MM-DD | [@name] | Example: Approved by the board |
Contents
- Executive summary and board conclusions
- ORSA process, governance and scope
- Business strategy and plan
- Risk profile
- Overall solvency needs
- Continuous compliance with capital requirements and technical provisions
- Appropriateness of the standard formula
- Stress tests, scenarios and reverse stress test
- Climate change scenarios
- Macroeconomic, macroprudential and liquidity considerations
- Management actions and capital management
- Jurisdiction notes
- Review and sign-off
- Glossary and references
- Standard and licence note
1. Executive summary and board conclusions
1.1 Key figures at the reference date (fictional)
| Measure | Value |
|---|---|
| Eligible own funds to cover the SCR | 412.0 |
| SCR (standard formula) | 238.0 |
| SCR coverage ratio | 173.1% |
| MCR | 89.0 |
| Eligible own funds to cover the MCR | 389.8 |
| MCR coverage ratio | 438.0% |
| Overall solvency needs (own view) | 251.0 |
| Own funds over overall solvency needs | 164.1% |
| Risk appetite: SCR ratio target range and hard floor | 150% to 190%, floor 130% |
| Worst single stress (combined windstorm and market, S4) | 136.8% |
1.2 Board conclusions
Example: "The board concludes that Sallowmere Insurance SE holds sufficient own funds to meet its overall solvency needs and its regulatory capital requirements at the reference date and over the plan period 2027 to 2029. The projected SCR ratio stays within the target range in the base case. Under the combined windstorm and market stress the ratio falls to 136.8%, above the 130% floor. The standard formula understates natural catastrophe concentration in the coastal property portfolio and the spread risk on certain government bonds; the own view adds 13.0 to the SCR to reflect this. As a result the board has decided to buy an additional 40.0 of catastrophe reinsurance cover for 2027 and to keep the dividend at 50% of net profit."
1.3 Decisions and actions arising
| Action ID | Decision | Owner | Due |
|---|---|---|---|
| ORSA-ACT-01 (Example) | Increase windstorm reinsurance programme limit | [@head-of-reinsurance] | 2027-01-01 |
| ORSA-ACT-02 (Example) | Reduce single-issuer sovereign concentration below the appetite limit | [@cio] | 2027-06-30 |
| ORSA-ACT-03 (Example) | Develop flood pricing rating factors using the climate scenario output | [@chief-underwriting-officer] | 2027-09-30 |
2. ORSA process, governance and scope
Describe the process in steps, with dates and owners. The ORSA policy defines the frequency, the triggers for a non-regular ORSA, the methods, data quality standards and the roles of the four key functions.
Triggers for a non-regular ORSA (Example): a change of more than 20 points in the SCR ratio outside a planned action, a portfolio acquisition or disposal, a new line of business, a change in reinsurance structure affecting more than 10% of net premium, or a material change in the SCR method.
3. Business strategy and plan
| Assumption | 2027 | 2028 | 2029 |
|---|---|---|---|
| Gross written premium growth (Example) | 5% | 4% | 4% |
| Net combined ratio (Example) | 94% | 93% | 93% |
| Investment return on assets (Example) | 3.1% | 3.2% | 3.2% |
| Dividend as share of net profit (Example) | 50% | 50% | 50% |
| Reinsurance structure (Example) | Quota share 20% on property, catastrophe excess of loss | Same | Same |
Summarise strategic changes and their risk implications (new products, distribution channels, outsourcing, IT migration).
4. Risk profile
| Risk ID | Risk | In standard formula? | Assessment method | Materiality | Appetite status |
|---|---|---|---|---|---|
| R-01 (Example) | Natural catastrophe (windstorm, flood) | Yes, partly | Vendor catastrophe model and own adjustment | High | Within, close to limit |
| R-02 (Example) | Reserve risk (motor bodily injury, liability) | Yes | Stochastic reserving | High | Within |
| R-03 (Example) | Market risk (spread, interest rate, equity) | Yes | Scenario and sensitivity | Medium | Within |
| R-04 (Example) | Sovereign concentration and spread | Not for EU government bonds in EUR | Own spread shock | Medium | Above internal limit |
| R-05 (Example) | Counterparty default (reinsurers) | Yes | Rating-based | Medium | Within |
| R-06 (Example) | Operational and cyber risk | Factor only | Scenario analysis | Medium | Within |
| R-07 (Example) | Liquidity risk | No | Liquidity stress (s10) | Low | Within |
| R-08 (Example) | Climate change (physical and transition) | Partly through cat risk | Long-term scenarios (s9) | Medium | Monitored |
| R-09 (Example) | Strategic and reputational risk | No | Qualitative | Medium | Within |
5. Overall solvency needs
The own view starts from the standard formula and adjusts for risks the formula over- or understates.
| Component | Standard formula SCR | Own view | Difference | Reason |
|---|---|---|---|---|
| Market risk (Example) | 96.0 | 104.0 | 8.0 | Spread shock applied to the concentrated sovereign holding (R-04) |
| Counterparty default (Example) | 22.0 | 22.0 | 0.0 | |
| Health underwriting (Example) | 14.0 | 14.0 | 0.0 | |
| Non-life underwriting (Example) | 168.0 | 176.8 | 8.8 | Coastal windstorm accumulation above the formula's regional factors (R-01) |
| Diversification (Example) | -72.5 | -76.3 | -3.8 | Recomputed on the adjusted modules |
| Operational risk (Example) | 20.0 | 20.0 | 0.0 | |
| Loss-absorbing capacity of deferred taxes (Example) | -9.5 | -9.5 | 0.0 | |
| Total | 238.0 | 251.0 | 13.0 |
Standard formula aggregation (fictional): sum of modules 300.0; basic SCR after the prescribed correlations 227.5; plus operational risk 20.0; less deferred tax adjustment 9.5; SCR 238.0. On the own view the adjusted modules sum to 316.8 and aggregate to 240.5, giving 251.0. Use the correlation matrix in Annex IV of the directive and Delegated Regulation (EU) 2015/35 as amended; the figures above are illustrative.
Capital quality: Tier 1 unrestricted 372.0, Tier 2 subordinated debt 40.0. For the MCR, Tier 2 counts only up to 20% of the MCR (17.8), giving 389.8.
6. Continuous compliance with capital requirements and technical provisions
| Year end (base case) | Eligible own funds | SCR | SCR ratio |
|---|---|---|---|
| 2026 (actual) (Example) | 412.0 | 238.0 | 173.1% |
| 2027 (Example) | 431.0 | 246.0 | 175.2% |
| 2028 (Example) | 452.0 | 255.0 | 177.3% |
| 2029 (Example) | 470.0 | 263.0 | 178.7% |
Technical provisions: summarise the actuarial function's view on the data quality, methods and assumptions, the uncertainty in the best estimate, and any use of transitional measures or the volatility adjustment, with the effect on the SCR ratio if removed.
7. Appropriateness of the standard formula
| Module | Formula assumption | Portfolio reality | Deviation | Significance |
|---|---|---|---|---|
| Natural catastrophe (Example) | Regional factors by CRESTA zone | 38% of property sums insured in two coastal zones | Underestimation | Significant (included in own view) |
| Spread risk (Example) | Zero charge on EEA government bonds in domestic currency | 18% of assets in one sovereign | Underestimation | Significant (included in own view) |
| Premium and reserve risk (Example) | Standard deviations by line | Own volatility close to formula | Small | Not significant |
| Operational risk (Example) | Factor on premiums and provisions | Recent cyber incident cost 1.2 | Small | Not significant |
Conclude whether any significant deviation should be discussed with the supervisor, for example about undertaking-specific parameters or a capital add-on.
8. Stress tests, scenarios and reverse stress test
| Scenario ID | Description | Own funds after | SCR after | SCR ratio |
|---|---|---|---|---|
| Base (Example) | Reference date | 412.0 | 238.0 | 173.1% |
| S1 (Example) | 1-in-200 windstorm, net of reinsurance and tax (own funds -58.0) | 354.0 | 232.0 | 152.6% |
| S2 (Example) | Equity -30%, spreads +150 bp, interest rates -100 bp (own funds -49.0) | 363.0 | 229.0 | 158.5% |
| S3 (Example) | Reserve deterioration of 12% on net claims provisions of 410.0 (pre-tax 49.2, after 25% tax -36.9) | 375.1 | 240.0 | 156.3% |
| S4 (Example) | S1 and S2 together, no diversification credit (own funds -107.0) | 305.0 | 223.0 | 136.8% |
Reverse stress test (Example): with the SCR held at 238.0, a loss of own funds of 174.0 brings the ratio to 100%, and a loss of 102.6 brings it to the 130% floor. Describe the combinations of events that would cause such losses (for example a 1-in-200 windstorm followed by a second event before reinstatement, together with a sovereign spread shock) and judge their plausibility.
9. Climate change scenarios
| Scenario | Source and horizon | Transmission | Result (Example) |
|---|---|---|---|
| CS-1 Orderly transition, below 2 degrees (Example) | Public scenario set (for example NGFS), to 2050 | Repricing of carbon-intensive equities and corporate bonds | Own funds -12.0 on the current balance sheet |
| CS-2 Current policies, well above 2 degrees (Example) | Public scenario set, to 2050 and 2080 | Higher frequency and severity of windstorm and flood losses | Average annual cat loss +18%; 1-in-200 windstorm net loss +22% |
Explain how results feed into the business strategy (pricing, accumulation limits, reinsurance) and the investment strategy, and the limits of the scenarios (static balance sheet, model uncertainty).
10. Macroeconomic, macroprudential and liquidity considerations
| Item | Assessment (Example) |
|---|---|
| Claims inflation | Motor repair and bodily injury inflation 2 points above plan reduces 2027 after-tax profit by 9.0; projected 2027 ratio falls from 175.2% to 171.5% |
| Interest rates and credit | Rising rates reduce bond values but also the best estimate liability; net effect small given matched duration |
| Procyclicality | No forced asset sales required in S1 to S4; liquid assets cover stressed outflows |
| Liquidity under S1 | Cash and liquid government bonds 210.0 against stressed 90-day outflows of 126.0 (coverage 1.67 times) |
11. Management actions and capital management
| Action ID | Action | Effect on SCR ratio | Time to implement | Trigger |
|---|---|---|---|---|
| MA-01 (Example) | Suspend dividend | Retains about 20.0 of own funds per year | Immediate | Ratio below 150% |
| MA-02 (Example) | Increase property quota share from 20% to 35% | +12 points | 3 to 6 months | Ratio below 140% |
| MA-03 (Example) | De-risk equity portfolio by half | +6 points | 1 month | Ratio below 140% |
| MA-04 (Example) | Issue Tier 2 subordinated debt | Up to +15 points within tiering limits | 6 months, market dependent | Ratio below 135% |
12. Jurisdiction notes
| Jurisdiction | Rule | Status (checked 2026-10; verify) |
|---|---|---|
| EU | Directive 2009/138/EC Articles 45, 45a and 144a as amended or inserted by Directive (EU) 2025/2; Delegated Regulation (EU) 2015/35 Articles 262 and 306; EIOPA Guidelines on ORSA (EIOPA-BoS-14/259, applying since 2016) | Amending directive in force 2025-01-28; transposition by 2027-01-29; application from 2027-01-30 |
| EU guidance | EIOPA Opinion on climate change risk scenarios in ORSA (2021), application guidance (2022), public statement on monitoring the use of climate change scenarios in ORSA (July 2025); revised Guidelines on the supervisory review process (February 2026) | Current; check for revised ORSA guidelines |
| UK | PRA Rulebook, Conditions Governing Business 3.8 to 3.12 (ORSA rules updated 2024-12-31 under Solvency UK); SS19/16 Solvency II: ORSA | SS19/16 current version 2024-12-31; the PRA Rulebook shows a further version effective 2026-12-31, check it |
| US | NAIC Risk Management and Own Risk and Solvency Assessment Model Act (#505) as adopted by the lead state; NAIC ORSA Guidance Manual | ORSA Summary Report required unless individual premium below USD 500 million and group premium below USD 1 billion (check the state law and current manual) |
US ORSA Summary Reports follow three sections in the NAIC manual: the risk management framework, the assessment of risk exposure, and the group assessment of risk capital and prospective solvency. Map sections 4 to 8 of this template to them if the group files in both regimes.
13. Review and sign-off
| Finding ID | Source | Finding (Example) | Status |
|---|---|---|---|
| RV-01 (Example) | Supervisory feedback on ORSA-2025 | Climate scenario not linked to decisions | Closed, section 9 and ORSA-ACT-03 |
| RV-02 (Example) | Internal audit | Scenario approval not minuted before results | Closed, risk committee minute 2026-09-14 |
| RV-03 (Example) | Actuarial function | Reserve stress S3 based on one line only | Open, extend in ORSA-2027 |
Sign-off statement: record the date of the board meeting, the minute reference, and confirm that the board discussed the results, challenged key assumptions and approved the conclusions in section 1.2. Communicate the results to relevant staff once approved.
14. Glossary and references
| Term | Meaning |
|---|---|
| ORSA | Own risk and solvency assessment |
| SCR, MCR | Solvency Capital Requirement; Minimum Capital Requirement |
| Overall solvency needs | The undertaking's own assessment of the capital it needs given its risk profile, appetite and strategy |
| BSCR | Basic SCR, after aggregation of risk modules and before operational risk and adjustments |
| LAC DT | Loss-absorbing capacity of deferred taxes |
| SNCU | Small and non-complex undertaking, as defined in the amended directive |
| Reverse stress test | Scenario built backwards from a defined failure point |
References:
- Directive 2009/138/EC (Solvency II), Articles 41, 44, 45 and 246. EUR-Lex: https://eur-lex.europa.eu/eli/dir/2009/138/oj
- Directive (EU) 2025/2 amending Directive 2009/138/EC, OJ 2025-01-08. EUR-Lex: https://eur-lex.europa.eu/eli/dir/2025/2/oj
- Commission Delegated Regulation (EU) 2015/35, Articles 262 and 306. EUR-Lex.
- EIOPA, Guidelines on own risk and solvency assessment, EIOPA-BoS-14/259 (final report 2015).
- EIOPA, Opinion on the supervision of the use of climate change risk scenarios in ORSA (2021), application guidance (2022) and public statement on the monitoring exercise (July 2025): https://www.eiopa.europa.eu/
- Prudential Regulation Authority, Rulebook, Conditions Governing Business: https://www.prarulebook.co.uk/pra-rules/conditions-governing-business
- Prudential Regulation Authority, SS19/16 Solvency II: ORSA: https://www.prarulebook.co.uk/guidance/supervisory-statements/ss19-16---solvency-ii-orsa
- NAIC, Risk Management and Own Risk and Solvency Assessment Model Act (#505) and ORSA Guidance Manual (2026 edition). NAIC.
15. Standard and licence note
Based on Directive 2009/138/EC (Solvency II) Article 45 as amended by Directive (EU) 2025/2, Commission Delegated Regulation (EU) 2015/35, the EIOPA Guidelines on own risk and solvency assessment, the PRA Rulebook and SS19/16, and the NAIC Risk Management and ORSA Model Act (#505). Articles, rules and guideline numbers are cited and paraphrased in original words; no normative text is reproduced. The structure, guidance and the Sallowmere Insurance SE example are original; Sallowmere and every figure are fictional. National transposition of Directive (EU) 2025/2 and related EIOPA guidance were still in progress in October 2026; check the consolidated texts and your supervisor's current expectations before use. This is a document format, not legal, actuarial, regulatory or financial advice; consult a qualified professional.
Template licence: MIT.
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