”We have a question regarding report S.34.01, in participation to cell C0040 to the template, where we think there is insufficient information as to what is being asked for "notional SCR" in relation to an knsurance holding company.
Please can you help clarity for the following hypothetical situation. Let's assume we have an EU insurance holding company fully owning two EU solo insurance companies, with all three companies forming a group with a corresponding group SCR calculated using the consolidation method. What should be reported as the notional SCR for the holding company in this case? Please answer both in the situation of applying the standard formula as well as when using an internal model implemented with look-through principles.”
Many thanks for your clarifications to this question
Information on notional SCR should be provided in cell C0060 (old C1). The Notional SCR should also be calculated for insurance holding company and mixed financial holding company, which should be treated as an insurance undertaking for the purposes mentioned in Article 336(b), Article 330(4)(a) and Article 372(2)(c)(ii) of Delegated Regulation 2015/35/EC. This should be consistent with information provided in regular supervisory report according to Article 372(2)(c)(ii) of the same Delegated Regulation.
The notional SCR of an insurance holding company and mixed financial holding company should cover relevant risks listed in Article 101(4) of Directive 2009/138/EC, depending on the risk profile of the insurance holding company or mixed financial holding company. Bearing in mind that a holding company does not carry out (re)insurance activities, potential exposures market, credit and operational risks should be covered.
The same treatment applies in case of the standard formula and an internal model. For further details on the calculation please refer to the national implementation of the directive and related guidelines.