Question ID: 1142
Regulation Reference: (EU) No 2015/2452 - procedures, formats and templates of the solvency and financial condition report
Article: 35
Template: S.25.01
Status: Final
Date of submission: 17 Mar 2017
Question
Could EIOPA please clarify the exact nature of the adjustment due to RFF aggregation at entity level that should be included within the figure in S.25.01.21 c0110 r0100.
The langauge used in the "LOG guidance" does not reference the aggregate adjustment "Adjustment due to RFF/MAP nSCR aggregation" figure (that is reported in S.25.01.01 c0100 r0120 in the RSR equivalent QRT) but instead references the allocations of the adjustment: "This cell includes the allocation of the adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level."
The issue is (from our understanding) the sum of the allocations of the adjustment (ie sum S.25.01.01 c0050 r0010 to r0050) do not equal the aggregate adjustment in S.25.01.01 c0100 r0120 (unless diversification in S.25.01.21 c0110 r0060 is recalculated based on the S.25.01.21 figures, although the "LOG guidance" for S.25.01.21 c0110 r0060 is silent on this point, suggests this should be applied on figures that do not include allocation of the adjustment)
This creates some uncertainty as to what should actually be in S.25.01.21 c0110 r0100:
- option 1: S.25.01.21 c0110 r0060 (diversification) should be recalculated in S.25.01.21 based on the figures in S.25.01.21 c0110 r0010 to r0050 (ie figures which already include the allocation due to aggregation of the nSCR at entity level)
- option 2: S.25.01.21 c0110 r0060 (diversification) should not be recalculated in S.25.01.21 and S.25.01.21 c0110 r0100 does not reconcile to the sum of S.25.01.21 c0110 r0010 to r0070 but should match the figures from S.25.01.01 c0040 r0100 + S.25.01.01 c0100 r0120
- option 3: S.25.01.21 c0110 r0060 (diversification) should not be recalculated in S.25.01.21 and S.25.01.21 c0110 r0100 does reconcile to the sum of S.25.01.21 c0110 r0010 to r0070 and figure in S.25.01.21 c0100 r0220 should take into account any further adjustments required so that this figure matches the firm's SCR
EIOPA answer
Considering the methods of allocation by risk module described for reporting:
◦Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level the nSCR is calculated as if no loss of diversification exists and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
◦Where the undertaking applies the Simplification at risk sub-module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at sub-module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part,
◦Where the undertaking applies the simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part.
And considering that the total adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk), we believe that the sum of the allocations by risk should be equal to the total of allocation to be considered.