Commission Implementing Regulation (EU) 2015/2452Show full title

S.25.01. — Solvency Capital Requirement — for groups on Standard Formula U.K.

General comments:

This section relates to annual disclosure of information for groups.

For group reporting the following specific requirements shall be met:

(a)

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;

(b)

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/[F1 C0090]	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: Increase in the amount of annuity benefits None
R0040/[F1 C0090]	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: Increase in the amount of annuity benefits Standard deviation for NSLT health premium risk referred to in Title I Chapter V Section 12 of Delegated Regulation (EU) 2015/35 Standard deviation for NSLT health gross premium risk referred to in Title I Chapter V Section 12 of Delegated Regulation (EU) 2015/35 Adjustment factor for non–proportional reinsurance Standard deviation for NSLT health reserve risk referred to in Title I Chapter V Section 12 of Delegated Regulation (EU) 2015/35 None If more than one specific parameter is used, report them separated by comas.
R0050/[F1 C0090]	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: 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
R0010, R0030, R0040, R0050/[F1 C0120]	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.
[F1 R0220/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
[F1 R0500/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.
[F1 R0570/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).