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Commission Implementing Regulation (EU) 2015/2452 of 2 December 2015 laying down implementing technical standards with regard to the procedures, formats and templates of the solvency and financial condition report in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance)
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Commission Implementing Regulation (EU) 2015/2452,
S.25.01. — Solvency Capital Requirement — for groups on Standard Formula
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. 2452 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 annual disclosure of information for groups.
For group reporting the following specific requirements shall be met:
The information until R0460 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 Solvency II Directive;
When combination method is being used, the information until R0460 is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Solvency II Directive.
ITEM | INSTRUCTIONS | |
---|---|---|
R0010–R0050/ C0110 | Gross solvency capital requirement | Amount of the gross capital charge for each risk module, as calculated using the standard formula. The difference between the net and the gross SCR is the consideration of the future discretionary benefits according to Article 205 of Delegated Regulation (EU) 2015/35. This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC where applicable. These cells include the allocation of the adjustment due to the aggregation of the nSCR of the ring fenced finds (‘RFF’)/matching adjustment portfolios (‘MAP’) at entity level. |
R0060/C0110 | Gross solvency capital requirement Diversification | Amount of the diversification effects between Basic SCR of gross risk modules due to the application of the correlation matrix defined in Annex IV of Directive 2009/138/EC. |
R0070/C0110 | Gross solvency capital requirement Intangible assets risk | The future discretionary benefits according to Article 205 of the Delegated Regulation (EU) 2015/35 for intangible assets risk is zero under standard formula. |
R0100/C0110 | Gross solvency capital requirement — Basic Solvency Capital Requirement | Amount of the basic capital requirements, before the consideration of future discretionary benefits according to Article 205 of Delegated Regulation (EU) 2015/35, as calculated using the standard formula. This amount shall fully consider diversification effects according to Article 304 of Directive 2009/138/EC. This cell includes the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level. This amount shall be calculated as a sum of the gross capital charges for each risk module within the standard formula, including adjustment for diversification effect within standard formula |
R0030/[F1C0090] | USP — Life underwriting risk | Identifies which undertaking specific parameters have been used in each risk module. One of the options on the following closed list should be used:
|
R0040/[F1C0090] | USP — Health underwriting risk | Identifies which undertaking specific parameters have been used in each risk module. At least one of the options on the following closed list shall be used:
If more than one specific parameter is used, report them separated by comas. |
R0050/[F1C0090] | USP — Non life underwriting risk | Identifies which undertaking specific parameters have been used in each risk module. At least one of the options on the following closed list should be used:
|
R0010, R0030, R0040, R0050/[F1C0120] | Simplifications | Identifies the risk sub–modules of each risk module for which a simplified calculation method has been used. If simplified calculation methods for more than one risk sub–module have been used within one risk module, report them separated by comas. |
Calculation of Solvency Capital Requirement | ||
R0130/C0100 | Operational risk | Amount of the capital requirements for operational risk module as calculated using the standard formula. |
R0140/C0100 | Loss–absorbing capacity of technical provisions | Amount of the adjustment for loss–absorbing capacity of technical provisions calculated according to the standard formula. This amount should be disclosed as a negative value. |
R0150/C0100 | Loss–absorbing capacity of deferred taxes | Amount of the adjustment for loss–absorbing capacity of deferred taxes calculated according to the standard formula. 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 to be 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–on 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. 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. |
[F1R0220/C0100 | Solvency capital requirement | Overall capital requirement including capital add–ons Amount of the Solvency Capital Requirement for undertakings under method 1 as defined in Article 230 of Directive 2009/138/EC. It shall include all components of the consolidated SCR, including capital requirements of undertakings from other financial sectors, capital requirement for non-controlled participation requirements and capital requirement for residual undertakings.] |
Other information on SCR | ||
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. |
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. It shall be equal to the difference between the sum of the nSCR for each RFF/MAP/RP and the total SCR. |
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. |
Information on other entities | ||
[F1R0500/C0100 | Capital requirement for other financial sectors (Non–insurance capital requirements) | Amount of capital requirement for other financial sectors. 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. R0500 is expected to be equal to the sum of R0510, R0520 and R0530.] |
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. |
Overall SCR | ||
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. |
[F1R0570/C0100 | Solvency capital requirement | Overall SCR for all undertakings regardless of the method used. The total solvency capital requirement is expected to be equal to the sum of R0220 and R0560.] |
Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2017/2190 of 24 November 2017 amending and correcting Implementing Regulation (EU) 2015/2452 laying down implementing technical standards with regard to the procedures, formats and templates of the solvency and financial condition report according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
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