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Commission Implementing Regulation (EU) 2015/2450 of 2 December 2015 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)
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Commission Implementing Regulation (EU) 2015/2450,
S.25.03 — Solvency Capital Requirement — for undertakings using full internal model
is up to date with all changes known to be in force on or before 17 August 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2015 No. 2450 may be subject to amendment by EU Exit Instruments made by the Prudential Regulation Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 2. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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General comments:
This section relates to opening and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
The components to be reported shall be agreed between national supervisory authorities and insurance and reinsurance undertakings.
Template SR.25.03 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part for every undertaking under a full internal model. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
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:
|
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 and must be consistent over time and with the fund/portfolio number reported in other templates. [F1When item Z0020 = 2, then report ‘0]’ |
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 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 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 reported 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 reported as negative values. |
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:
|
R0110/C0100 | Total of undiversified components | Sum of all components. |
R0060/C0100 | Diversification | The total amount of the diversification among components reported 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 reported in C0030. This amount shall be negative. |
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 reported 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 already set | 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. |
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 reported 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 of deferred taxes, including the part embedded in each component and the part reported 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 Directive 2009/138/EC and remaining part where applicable. |
R0460/C0100 | Net future discretionary benefits | Amount of technical provisions without risk margin in relation to future discretionary benefits net of reinsurance. |
[F2R0590/C0109 | Approach based on average tax rate | One of the options in the following closed list shall be used: 1 – Yes 2 – No 3 – Not applicable as the adjustment for the loss-absorbing capacity of deferred tax (LAC DT) is not used (in this case R0600 to R0690 are not applicable). See EIOPA Guidelines on loss-absorbing capacity of technical provisions and deferred taxes (EIOPA-BoS-14/177) |
Calculation of adjustment for loss-absorbing capacity of deferred taxes (voluntary information until 31 December 2019 , compulsory as from 1 January 2020 ) | ||
R0600/C0110 | DTA Before the shock | Total amount of the deferred tax assets (DTA) in the balance-sheet using Solvency II valuation before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. The DTA amount of this cell shall be consistent with the value in the cell R0040/C0010 in S.02.01 |
R0600/C0120 | DTA After the shock | Total amount of the Deferred Tax Assets (DTA) if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘ 1-Yes ’ . |
R0610/C0110 | DTA carry forward- Before the shock | Amount of deferred tax assets (DTA) in the balance-sheet using Solvency II valuation due to carry forward of previous loses or tax deductions before instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35 |
R0610/C0120 | DTA carry forward — After the shock | Amount/estimate of deferred tax assets (DTA) due to carry forward of previous loses or tax deductions if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘ 1-Yes ’ . |
R0620/C0110 | DTA due to deductible temporary differences- Before the shock | Amount of deferred tax assets (DTA) in the balance-sheet using Solvency II valuation due to differences between the Solvency II valuation of an asset or liability and its tax base before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35 |
R0620/C0120 | DTA due to deductible temporary differences — After the shock | Amount/estimate of deferred tax assets due to differences between the Solvency II valuation of an asset or liability and its tax base if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank where R0590/C0109 is filled with ‘ 1-Yes ’ . |
R0630/C0110 | DTL — Before the shock | Amount of Deferred Tax Liabilities (DTL) in the balance-sheet using Solvency II valuation before the instantaneous loss described in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. The DTL amount of this cell shall be consistent with the value in the cell R0780/C0010 in S.02.01. |
R0630/C0120 | DTL — After the shock | Amount/estimate of Deferred Tax Liabilities if a balance-sheet using Solvency II valuation was set up after the instantaneous loss, as provided for in Article 207(1) and (2) of Delegated Regulation (EU) 2015/35. This cell shall be left blank in case of an average tax rate approach and where R0590/C0109 is filled with ‘ 1-Yes ’ . |
R0640/C0130 | Amount/estimate of LAC DT | Amount/estimate of loss-absorbing capacity of deferred taxes, as defined in Article 207 of Delegated Regulation (EU) 2015/35. The LAC amount of this cell shall be the same as the value in the cell R0310/C0100 in S.25.02.01.03. |
R0650/C0130 | Amount/estimate of LAC DT justified by reversion of deferred tax liabilities | Amount/estimate of loss-absorbing capacity of deferred taxes, as calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by reversion of deferred tax liabilities |
R0660/C0130 | Amount/estimate of LAC DT justified by reference to probable future taxable economic profit | Amount/estimate of loss-absorbing capacity of deferred taxes, as calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by reference to probable future taxable economic profit. |
R0670/C0130 | Amount/estimate of LAC DT justified by carry back, current year | Amount/estimate of loss-absorbing capacity of deferred taxes, as calculated in accordance with Article 207 of Delegated Regulation (EU) 2015/35, justified by profits from past years. Amount of the losses allocated to the next year. |
R0680/C0130 | Amount/estimate of LAC DT justified by carry back, future years | Amount/estimate of loss-absorbing capacity of deferred taxes, as defined in Article 207 of Delegated Regulation (EU) 2015/35, justified by profits from past years. Amount of losses allocated to the years after next year. |
R0690/C0130 | Amount/estimate of Maximum LAC DT | Maximal amount of loss-absorbing capacity of deferred taxes that could be available, before the assessment whether the increase in net deferred tax assets can be used for the purposes of the adjustment as provided for in Article 207(2) of Delegated Regulation (EU) 2015/35] |
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 Inserted 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).
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