Commission Implementing Regulation (EU) 2015/2450Dangos y teitl llawn

S.25.02 — Solvency Capital Requirement — for groups using the standard formula and partial internal model U.K.

General comments:

This section relates to opening and annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.

The components to be reported shall be agreed between national supervisory authorities and groups.

Template SR.25.02 shall be reported by ring–fenced fund, matching adjustment portfolio and the remaining part for every group under a partial internal model. This includes undertakings where a partial internal model is applied to a full ring–fenced fund and/or matching adjustment portfolio while the other ring–fenced funds and/or matching adjustment portfolios are under the standard formula. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03

Template SR.25.02 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

For those undertakings under a partial internal model to which the adjustment due to the aggregation of the nSCR of RFF/MAP is applicable, where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the nSCR at risk module level and the loss–absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:

• Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level: the nSCR is calculated as if no RFF and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;

• Where the undertaking applies the Simplification at risk sub–module level to aggregate the nSCR of the RFF/MAP at entity level the the nSCR and LAC are calculated considering a direct summation at sub–module level method,

• Where the undertaking applies the Simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR and LAC are calculated considering a direct summation at module level method.

The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0060) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk) when calculated according to the standard formula. The amount to be allocated to each relevant risk module shall be calculated as follows:

• , where

  — adjustment

  =

  Adjustment calculated according to one of the three methods referred above

  — BSCR′

  =

  Basic solvency capital requirement calculated according the information reported in this template

  — nSCR_int

  =

  nSCR for intangible assets risk according to the information reported in this template

• Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non–life underwriting risk)

For group reporting the following specific requirements shall be met:

c)

The information until R0470 is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

d)

When combination method is being used, the information until R0470 is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.

	ITEM	INSTRUCTIONS
Z0020	Ring–fenced fund, matching adjustment portfolio or Remaining Part	Identifies whether the reported figures are with regard to a RFF, matching adjustment portfolio or to the remaining part. One of the options in the following closed list shall be used: 1 — RFF/MAP 2 — Remaining part
Z0030	Fund/Portfolio number	When item Z0020 = 1, identification number for a ring fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. [F1 When item Z0020 = 2, then report ‘0]’
C0010	Unique number of component	Unique number of each component agreed with their national supervisory authority to identify uniquely components from their model. This number shall always be used with the appropriate component description reported in each item. Where the partial internal model allow the same split by risk module as the one in the standard formula, the following numbers of components shall be used: 1 — Market risk 2 — Counterparty default risk 3 — Life underwriting risk 4 — Health underwriting risk 5 — Non–life underwriting risk 6 — Intangible asset risk 7 — Operational risk 8 — LAC Technical Provisions (negative amount) 9 — LAC Deferred Taxes (negative amount) Where standard formula risk modules cannot be reported, groups shall attribute a number to each component different from 1 to 7. This number shall always be used with the appropriate component description reported in each item C0020. The numbers of the components shall be kept consistent over time.
C0020	Components description	Identification, using free text, of each of the components that can be identified by the group. These components shall be aligned with standard formula risk modules if possible according to the partial internal model. Each component shall be identified using a separate entry. Groups shall identify and report components consistently across different reporting periods, unless there has been some change to the internal model affecting the categories. Loss–absorbing capacity of technical provisions and/or deferred taxes not embedded within components shall be reported as separated components.
C0030	Calculation of the Solvency Capital Requirement	Amount of the capital charge for each component regardless of the method of calculation (either standard formula or partial internal model), after the adjustments for loss–absorbing capacity of technical provision and/or deferred taxes when they are embedded in the component calculation. For the components Loss absorbing capacity of technical provisions and/or deferred taxes when reported as a separate component it shall be the amount of the loss–absorbing capacity (these amounts shall be reported as negative values) For components calculated using the standard formula this cell represents the gross nSCR. For components calculated using the partial internal model, this represents the value considering the future management actions which are embedded in the calculation, but not those which are modelled as a separate component. This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable where applicable. When applicable, this cell does not include the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level.
C0050	Allocation from adjustments due to RFF and Matching adjustment portfolios	Where applicable, part of the adjustment allocated to each risk module according to the procedure described in the general comments. This amount shall be positive.
C0060	Consideration of the future management actions regarding technical provisions and/or deferred taxes	To identify if the future management actions relating to the loss absorbing capacity of technical provisions and/or deferred taxes are embedded in the calculation, the following closed list of options shall be used: 1 — Future management actions regarding the loss–absorbing capacity of technical provisions embedded within the component 2 — Future management actions regarding the loss–absorbing capacity of deferred taxes embedded within the component 3 — Future management actions regarding the loss–absorbing capacity of technical provisions and deferred taxes embedded within the component 4 — No embedded consideration of future management actions.
C0070	Amount modelled	[F2 For each component this cell represents the amount calculated according to the partial internal model. Therefore, the amount calculated with the Standard Formula shall be the difference between the amounts reported in C0030 and C0070.]
R0110/C0100	Total of undiversified components	Sum of all components.
R0060/C0100	Diversification	The total amount of the diversification among components reported in C0030. This amount does not include diversification effects inside each component, which shall be embedded in the values reported in C0030. This amount shall be reported as negative value.
R0120/C0100	Adjustment due to RFF/MAP nSCR aggregation	When applicable, adjustment to correct the bias on SCR calculation due to aggregation of RFF/MAP nSCR at risk module level.
R0160/C0100	Capital requirement for business operated in accordance with Art. 4 of Directive 2003/41/EC	Amount of the capital requirement, calculated according to the rules stated in article 17 of Directive 2003/41/EC, for ring–fenced funds relating to pension business operated under article 4 of Directive 2003/41/EC to which transitional measures are applied. This item is to be reported only during the transitional period.
R0200/C00100	Solvency capital requirement, excluding capital add–ons	Amount of the total diversified SCR before any capital add–on.
R0210/C0100	Capital add–ons already set	Amount of capital add–ons that had been set at the reporting reference date. It will not include capital add–ons set between that date and the submission of the data to the supervisory authority, nor any set after the submission of the data.
R0220/C0100	Solvency capital requirement for undertakings under consolidated method	Amount of the Solvency Capital Requirement for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC. [F3 It shall include all components of the consolidated SCR (R0200 + R0210), including capital requirements of undertakings from other financial sectors (R0500), capital requirement for non-controlled participation requirements (R0540) and capital requirement for residual undertakings (R0550).]
[ F1 ]
Other information on SCR
R0300/C0100	Amount/Estimate of the overall loss–absorbing capacity of technical provisions	Amount/Estimate of the overall adjustment for loss–absorbing capacity of technical provisions, including the part embedded in the components and the part reported as a single component. [F4 This amount shall be negative.]
R0310/C0100	Amount/Estimate of the loss absorbing capacity for deferred taxes	Amount/Estimate of the overall adjustment for loss–absorbing capacity for deferred taxes, including the part embedded in the components and the part reported as a single component.
R0400/C0100	Capital requirement for duration–based equity risk sub–module	Amount of the capital requirement for duration–based equity risk sub–module.
R0410/C0100	Total amount of notional Solvency Capital Requirements for remaining part	Amount of the notional SCRs of remaining part when group has RFF.
R0420/C0100	Total amount of Notional Solvency Capital Requirements for ring fenced funds	Amount of the sum of notional SCRs of all ring–fenced funds when group has RFF (other than those related to business operated in accordance with Article 4 of Directive 2003/41/EC (transitional)).
R0430/C0100	Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios	Amount of the sum of notional SCRs of all matching adjustment portfolios This item does not have to be reported when reporting SCR calculation at RFF or matching adjustment portfolio level.
R0440/C0100	Diversification effects due to RFF nSCR aggregation for article 304	Amount of the adjustment for a diversification effect between ring fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable. It shall be equal to the difference between the sum of the nSCR for each RFF/MAP/RP and the SCR reported in R0200/C0100.
R0450/C0100	Method used to calculate the adjustment due to RFF nSCR aggregation	Method used to calculate the adjustment due to RFF nSCR aggregation. One of the following option shall be used: 1 — Full recalculation 2 — Simplification at risk sub–module level 3 — Simplification at risk module level 4 — No adjustment When the group has no RFF (or have only RFF under Article 304 of Directive 2009/138/EC) it shall select option 4.
R0460/C0100	Net future discretionary benefits	Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance
R0470/C0100	Minimum consolidated group solvency capital requirement	Amount of the minimum consolidated group Solvency Capital Requirement as stated in article 230 of Directive 2009/138/EC. This item is applicable to group reporting only.
R0500/C0100	Capital requirement for other financial sectors (Non–insurance capital requirements)	Amount of capital requirement for other financial sectors. [F3 R0500 is expected to be equal to the sum of R0510, R0520 and R0530.] This item is only applicable to group reporting where the group includes an undertaking which is subject to non–insurance capital requirements, such as a bank, and is the capital requirement calculated in accordance with the appropriate requirements.
R0510/C0100	Capital requirement for other financial sectors (Non–insurance capital requirements) — Credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies	Amount of capital requirement for credit institutions, investment firms and financial institutions. This item is only applicable to group reporting where the group includes undertakings which are credit institutions, investment firms and financial institutions, alternative investment funds managers, UCITS management companies and they are subject to capital requirements, calculated in accordance with the relevant sectoral rules.
R0520/C0100	Capital requirement for other financial sectors (Non–insurance capital requirements) — Institutions for occupational retirement provisions	Amount of capital requirement for institutions for occupational retirement provisions. This item is only applicable to group reporting where the group includes undertaking which are institutions for occupational retirement provision and subject to non–insurance capital requirements calculated in accordance with the relevant sectoral rules.
R0530/C0100	Capital requirement for other financial sectors (Non–insurance capital requirements) — Capital requirement for non–regulated entities carrying out financial activities	Amount of capital requirement for non–regulated entities carrying out financial activities. This figure represents a notional solvency requirement, calculated if the relevant sectoral rules were to be applied. This item is only applicable to group reporting where the group includes undertakings which are non–regulated entities carrying out financial activities.
R0540/C0100	Capital requirement for non–controlled participation requirements	Amount of the proportional share of the Solvency Capital Requirements of the related insurance and reinsurance undertakings and insurance holding companies which are not subsidiaries. This item is only applicable to group reporting and corresponds, for those entities which are not subsidiaries, to the capital requirement calculated in accordance with Solvency 2.
R0550/C0100	Capital requirement for residual undertakings	Amount determined in accordance with Article 336 (1) (d) of Delegated Regulation (EU) 2015/35.
R0560/C0100	SCR for undertakings included via D and A	Amount of the Solvency Capital Requirement for undertakings included under method 2 as defined in Article 233 of Directive 2009/138/EC when the combination of methods is used.
R0570/C0100	Solvency capital requirement	Overall SCR for all undertakings regardless of the method used. [F3 The total solvency capital requirement is expected to be equal to the sum of R0220 and R0560.]

Textual Amendments

F1 Deleted by Commission Implementing Regulation (EU) 2017/2189 of 24 November 2017 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F2 Substituted by Commission Implementing Regulation (EU) 2016/1868 of 20 October 2016 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F3 Inserted by Commission Implementing Regulation (EU) 2017/2189 of 24 November 2017 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F4 Substituted by Commission Implementing Regulation (EU) 2019/2103 of 27 November 2019 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).