This answer is also relevant for the future Solvency II (not only prep. phase).

In the case of scenario-based calculations, recital 75 of the Delegated Regulation sates: “Where the calculation of the capital requirement for a risk module or sub-module of the Basic Solvency Capital Requirement is based on the impact of bidirectional scenarios on basic own funds, as in interest rate risk, currency risk or lapse risk, the insurance or reinsurance undertaking should determine which scenario most negatively affects the basic own funds of the insurance or reinsurance undertaking as a whole. This determination should, where relevant, take into account the effects of profit participation and the distribution of future discretionary benefits at the level of the ring-fenced fund. The scenario determined in this way should be the relevant scenario to calculate the notional Solvency Capital Requirement for each ring-fenced fund.”.

In this case the undertaking calculates both scenarios for all RFF/RP and then see the result for the up scenario/down scenario, assesses which one most negatively affects the undertaking and decides which one to apply. The relevant scenario has to be the same for all RFFs and the RP.

Regarding the cases bellow solutions c) and d) are wrong, since they consider different scenarios for the RFF and the RP. Between a) and b) the solution depends on the analysis of the scenario at entity level. If the example reflects all RFF of the undertaking the correct answer would be a).

Please note that templates S.26.s are not reported at entity level but only at RFF/MAP/remaining part.