S.25.03. — Solvency Capital Requirement — for undertakings using full internal model U.K.
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 of the full internal model, 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 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 undertaking within the full internal model. These components may not exactly align with the risks defined for the standard formula. 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 internal model affecting the categories. Loss–absorbing capacity of technical provisions and/or deferred taxes modelled but not within components shall be disclosed as separated components. |
| C0030 | Calculation of the Solvency Capital Requirement | Amount of the net capital charge for each component, after the adjustments for the future management actions relating to technical provision and/or deferred taxes when applicable, calculated by the full internal model on an undiversified basis, to the extent that these adjustments are modelled within components. Loss absorbing capacity of technical provisions and/or deferred taxes modelled but not within components shall be disclosed as negative values. |
| R0110/C0100 | Total of undiversified components | Sum of all components. |
| R0060/C0100 | Diversification | The total amount of the diversification among components disclosed in C0030 calculated using the full internal model. 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 a 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 disclosed only during the transitional period. |
| R0200/C0100 | Solvency capital requirement, excluding capital add–on | Amount of the total diversified SCR before any capital add–on. |
| R0210/C0100 | Capital add–ons | Amount of capital add–on 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 | Amount of total SCR calculated using full internal model. |
| 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 each component and the part disclosed as a single component. |
| R0310/C0100 | Amount/estimate of the overall loss–absorbing capacity of deferred taxes | Amount/Estimate of the overall adjustment for loss–absorbing capacity for deferred taxes, including the part embedded in each component and the part disclosed as a single component. |
| 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. |
| 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 remaining part. It shall be equal to the difference between the sum of the nSCR for each RFF/MAP/RP and the total SCR. |