Commission Implementing Regulation (EU) 2015/2452Dangos y teitl llawn

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

General comments:

This section relates to annual disclosure of information for individual entities.

The components to be disclosed shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.

	ITEM	INSTRUCTIONS
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 disclosed 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 — Loss absorbing capacity (‘LAC’) of Technical Provisions (negative amount) 9 — LAC Deferred Taxes (negative amount) Where standard formula risk modules cannot be disclosed, undertaking shall attribute a number to each component different from 1 to 7. This number shall always be used with the appropriate component description disclosed in each item C0030. 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 undertaking. 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. Undertakings 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 disclosed 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 disclosed as a separate component it should be the amount of the loss–absorbing capacity (these amounts should be disclosed 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. 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.
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	For each component this cell represents the amount calculated according to the partial internal model. Therefore, the amount calculated with the Standard Formula should be the difference between the amounts disclosed in C0040 and C0060.
C0080	USP	For those components calculated according to the standard formula where undertaking specific parameters have been applied, one of the following options shall be used: For life underwriting risk: Increase in the amount of annuity benefits None For health underwriting risk: Increase in the amount of annuity benefits Standard deviation for NSLT health premium risk Standard deviation for NSLT health gross premium risk Adjustment factor for non–proportional reinsurance Standard deviation for NSLT health reserve risk None For non–life underwriting risk: Standard deviation for non–life premium risk Standard deviation for non–life gross premium risk Adjustment factor for non–proportional reinsurance Standard deviation for non–life reserve risk None In any case, if more than one specific parameter is used, report them separated by comas.
C0090	Simplifications	For those components calculated according to the standard formula where simplifications have been applied, the risk sub–modules of each risk module for which a simplified calculation method has been used should be identified If simplified calculation methods for more than one risk sub–module have been used within one risk module, report them separated by comas.
R0110/C0100	Total of undiversified components	Sum of all components.
R0060/C0100	Diversification	The total amount of the diversification among components disclosed in C0030. This amount does not include diversification effects inside each component, which shall be embedded in the values disclosed in C0030. This amount should be disclosed as negative value.
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 disclosed only during the transitional period.
R0200/C0100	Solvency capital requirement, excluding capital add–ons	Amount of the total diversified SCR before any capital add–on.
R0210/C0100	Capital add–ons	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. During the transitional phase, this item shall only be disclosed if the Member State decided it to be compulsory according to Article 51(2) of Directive 2009/138/EC. Otherwise, the amount of the capital add–on should be split among the nSCR of the risk modules. The precise procedure should be previously agreed with the NSA.
R0220/C0100	Solvency Capital Requirement	Overall capital requirement including capital add–ons.
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 disclosed as a single component. This amount shall be disclosed as a negative amount.
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 disclosed as a single component. This amount shall be disclosed as a negative amount.
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 undertaking 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 undertaking 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 disclosed when reporting SCR calculation at RFF or matching 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 Solvency II Directive and the remaining part. It shall be equal to the difference between the sum of the nSCR for each RFF/MAP/RP and the SCR disclosed in R0200/C0100.