Question ID: 3010
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Article: Template S.25.05
Status: Final
Date of submission: 22 Feb 2024
Question
Questions are regards S.25.05 (note this QRT is not in the dropdown list available in the Q&A page). We find some doubt about if and how the SCR total and other key fields can be derived from other datapoints in this (and/or other) QRTs.
1. Is S.25.05 _C0100_R0200 = _C0010_R0040+SUM(_C0100_R0120,_C0100_R0160)? Our assumption is the C0010 R0040 is the diversified SCR (and takes into account LACDT and LACTP) and so all that is left to do is make the adjustment for RFF and R0160 and then we arrive at the actual SCR amount.
2. What should S.25.05 _C0100_R0110 reconcile to? Total of undiversified components is rather vague when we consider diversification happens at multiple "levels". Is it the sum of the level 1 modules with no diversification between modules (but there is diversification within these modules ie level 2 diversification has been applied) i.e. is it that S.25.05 _C0100_R0110= SUM(_C0010_R0070,_C0010_R0190,_C0010_R0270,_C0010_R0310,_C0010_R0400,_C0010_R0480,_C0010_R0500), or something else? Alternatively (or even moreover) is it the same as S.26.08 C0010 R0010?
3. Can S.25.05 R0060 be derived? The dedicated Q&A doc on IM QRTs states: "The log file states that C0100/R0060 is "the total amount of the diversification among components reported in C0030." It seems that the reference to C0030 should be replaced with column C0010. Is this the same as S.26.08.01 C0010/R0020? ANSWER: Correct. It should be C0010. S.25.05.01 C0100/R0060 is the diversification between modules but S.26.08.01 C0010/R0020 is both between and within modules (total)." We think diversification between modules (assuming tax is not part of this diversification amount) would be _C0010_R0030-_C0100_R0110 (assuming - see question 2 above - that R0110 is sum of level 1 modules with no diversification between modules)
4. Further to question 3 above, the Q&A item confirms that S.25.05 C0010 R0020 is actually all diversification (both within and between modules). In xbrl this is the same definition as S.26.08 C0010 R0020 but there the same (presumably also incorrect) guidance is shown relating to this being an amount between modules, but there is no link to where this value could be derived from. Is it derivable and if so from what?
EIOPA answer
1) If the only adjustments that need to be made are the RFF/MA (C0100_R0120) and the Capital requirements for Article 4 (C0100_R0160) then your calculation is correct.
2) S.26.08 {C0010 / R0210 to R0260} need to be included in the Total Undiversified components in S.25.05 although they are not specifically reported in that template. S.25.05 is a cut-down version of S.26.08 that will be disclosed in the SFCR so detailed data has been removed. For the second part of the question R0070, R0190 etc. are undiversified. R0080, R0200 etc. are diversified (within the component). So we sum up the undiversified ones with no diversification inside each component. And this is consistent with C0100/R0060 – diversification only between components.
SUM(S.25.05_C0010_R0070 S.25.05,_C0010_R0190,S.26.08_C0010_R0210, S.26.08_C0010_R0220, S.26.08_C0010_R0230, S.26.08_C0010_R0240, S.26.08_C0010_R0250, S.26.08_C0010_R0260,S.25.05_C0010_R0270,S.25.05_C0010_R0310, S.25.05_C0010_R0400, S.25.05_C0010_R0480, S.25.05_C0010_R0500).
3) This is correct.
4) It is correct that S.26.08 C0010 R0020 should be the diversification within and between risk modules. This needs to be corrected in the LOG file. It is not derivable.