Question ID: 1090
Regulation Reference: (EU) No 2015/35 - supplementing Dir 2009/138/EC - taking up & pursuit of the business of Insurance and Reinsurance (SII)
Article: 35, 206, 164
Template: S.26.01
Status: Final
Date of submission: 16 Oct 2017
Question
In the Delegated Regulation article 206(2) it is stated that net SCR should be calculated on module or sub-module level.
For the market risk this seems to imply that the amount of FDB can be subtracted from each of the subrisks listed in article 164(1) (interest rate, equity, property, spread, currency and concentration).
However in the QRT S.26.01.01 the value of 'Liabilities (after the loss absorbing capacity of technical provisions)' is reported on a more graduated level. Here it seems legal to subtract the amount of FDB from both the type 1 equity risk, the type 2 equity risk and infrastructure equity risk. Similarly issue for spread risk and currency risk.
What would be the correct approach? If the first approach is correct/permitted, how should the QRT be filled out?
EIOPA answer
The calculation of the SCR should follow the relevant articles of the Solvency II Directive, Delegated Regulation and Commission Implementation Regulations when applicable. The Instructions of the templates under Commission Implementation Regulation 2450/2015 should not affect the calculation but rather support the submission of information.
In this case the information to be reported is in line with the calculation:
◦For equity risk, the amounts of Liabilities before and after the adjustment for the loss-absorbency capacity of technical provisions are requested at the level of risk sub-modules as defined in article 168 (1) of the Delegated Regulation. In this case the calculation of the future discretionary benefits has to be done on the more granular level. However we believe that your analysis of deducting "100" for each sub-SCR is not correct. The future discretionary benefits are calculated for SCRt1, SCRt2 and SCRinfra independently;
◦For Currency risk no granularity is requested but the two different possible scenarios. In this case each scenario should reflect the FDB included in technical provisions;
◦For the spread risk, the amounts of Liabilities before and after the adjustment for the loss-absorbency capacity of technical provisions are requested at the level of risk sub-modules as defined in article 175 and 178 of the Delegated Regulation, including the different scenarios for credit derivatives (similar approach to equity risk applies regarding the sub-modules and to currency risk regarding the scenarios approach).