Question ID: 2643
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: 35 of SII Directive
Template: S.32.01
Status: Final
Date of submission: 22 May 2023
Question
The two new columns, C0270 and C0280, in 'S.32.01.04.01 - Undertakings in the scope of the group' need to be clarified for us. Is it correctly understood that C0270 should be either Yes or No for all Method 1 companies, since they are all included in the consolidated SCR calculation? For the other methods, does it depend on whether internal models have been used in the individual SCR calculation? As for C0280, we do not fully understand why we can choose between VA-Constant and VA-Dynamic. My understanding of VA is that it is either included or not. Let's say it is included, when one can use the VA values that you (EIOPA) provide, but is that 'constant' or 'dynamic'?
EIOPA answer
C0270 in S.32.01 should be filled in irrespective of the method used for the group solvency calculation which is reported in C0260.
In case of undertakings included via method 1 (art 230 of the SII Directive), the answer can be either YES (if covered by the IM for the determination of the consolidated group SCR – art 230 par. 2) or NO (all other possible cases).
In case of undertakings included with method 2 (art 233 of the SII Directive), the answer can be either YES (if covered by IM for the determination of the group and solo SCR under art 233 par 5 of the directive - joint decision process for internal model approval) or NO (all other possible cases).
As for C0280, the VA is applied to the risk-free interest rate curve under Solvency II. Application by undertakings is optional, and in some Member States its application is subject to approval. The value of the VA depends on the currency (and possibly the country) of the liabilities; and is set by EIOPA based on a formula using the average credit spread on reference portfolios of fixed-income instruments. Given that the VA depends on credit spreads, some internal model undertakings dynamically model the VA using their market & credit risk model, i.e. letting the VA move in line with the modelled credit spreads – this is called the 'dynamic VA' (DVA) approach. When an undertaking keeps the VA constant in its model, it is called a 'static' or 'constant' VA approach (CVA).