Question ID: 614
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35, 336
Template: S.01.01
Status: Final
Date of submission: 14 Mar 2016
Question
As per BV344 of EIOPA_Solvency II_Validataions_2.0.1 document it is stated that "if {S.01.01, r0470,c0010}=[s2c_CN:x1] then {S.23.01, r0590,c0010}={S.25.02, r0220,c0100}."
As per instructions log (S.23.01) for R0590/C0010 it is given that "Consolidated Group SCR calculated for the consolidated data in accordance with Article 336 (letter a-b-c-d) of Delegated Regulation (EU) 2015/35"
1. Can this in brief be taken as SCR for group (all undertakings) under Consolidation method 1 except SCR calculated for undertakings on D&A method?
2. Does this mean that S.25.02.04-R0570/C0100 = R0220/C0100 + R0560/C0100?
3. Is the formula for S.23.01.04-R0630/C0010 = (R0520/R0590)/C0010 OR in terms of SCR template should this be S.23.01.04-R0630/c0100 = S.23.01.04-R0520/C0010 / (S.25.02.04-(R0220 - R0500)/C0100)?
EIOPA answer
1. We confirm that in case the group uses the standard formula and a partial internal model, then R0590/C0010 in S.23.01.04 (Consolidated group SCR) should be equal to R0220/C0100 in S.25.02.04 (Solvency capital requirement for undertakings under consolidated method)." This can be taken as group SCR calculated with method 1 excluding SCR calculated for undertakings covered by method 2 (D&A).
2. We confirm that in S.25.02.04, R0570/C0100 should the sum of R0220/C0100 and R0560/C0100.
3. The second formula is correct but it should refer to R0560 (Total eligible own funds to meet the consolidated group SCR (excluding own funds from other financial sector and from the undertakings included via D&A ) instead of R0520, as follows: S.23.01.04-R0630/C0010 = S.23.01.04-R0560/C0010 / (S.25.02.04-(R0220 - R0500)/C0100).
The first formula is not correct, because it refers in the denominator to R0590, which includes the contribution from other financial sectors (OFS), while in the LOG states that the “consolidated group SCR” to be used in the ratio should not include the capital requirements from OFS.