Question
How do we define group RFF in SCR B3 (l, g) reports and how is it different from the RFF we are reporting at the so.o level. (b. n).
And what would be the fund number in case of group reporting. Since this data flows in to SCR B2 A schedules i need to know how is A114A gets calculated and how is it different from the diversification we calculate in cel A6 and B6 OF SCR B2A Reports.
EIOPA answer
All ring fenced funds from the EEA insurance or reinsurance undertakings in the consolidated data should be considered at group level. Additionally, ring fenced funds from non EEA undertakings are also considered at group level. Please refer to “Guideline 15 - Treatment of ring-fenced funds and matching adjustment portfolios for covering the group solvency capital requirement” of the Guidelines on Group Solvency.
https://eiopa.europa.eu/Pages/Guidelines/Guidelines-on-group-solvency.aspx
The fund number in case of group reporting should be an unique number given by the reporting entity at group level (not necessarily the same as solo level).
As for cell “A14A” in SCR template it should only be used for the “Amount of the adjustment for a diversification effect between ring-fenced funds under Article 304 of Directive 2009/138/EC and the remaining part where applicable”. In accordance with Regulation 2015/35 article 216 (2) where an insurance or reinsurance undertaking has received supervisory approval to apply the provisions set out in Article 304 of Directive 2009/138/EC to a ring-fenced funds, it shall not adjust the calculation in accordance with Article 217 of this Regulation, but base the calculation of the assumption of full diversification between the assets and liabilities of the ring-fenced funds and the rest of the undertaking.
On A6 and B6 on SCR template: the diversification in cell A14A of SCR template is related to the diversification between the remaining part and the RFF where allowed, while the diversification in A6 and B6 is related to diversification between risk modules within the same part (Remaining part or RFF part).