Question ID: 77
Regulation Reference: Guidelines on submission of information to NCAs (Preparatory phase)
Article: 35
Template: S.26.01
Status: Final
Date of submission: 09 Jan 2015
Question
This query refers to the reporting of SCR data when the company uses a simplification. It is based on the simplification for interest rate risk (which is applicable to captives only) but the aim is to understand the general reporting rule for simplifications.
1) There are references to the indicator for the interest rate simplification in QRT S.26.01 (cell AA01=Y, applicable to captives only) in the definitions of the following cells:
• C1 (SCR net DOWN), C2 (SCR net UP) – seems ok, since the value of these cells is obtained with the simplified formula.
• D1 (SCR gross DOWN), D2 (SCR gross UP) – seems ok, but since there is no different calculation for net and gross, we would understand that gross=net (i.e. D1=C1 y D2=C2). Can you please confirm?
• C0 (SCR net), D0 (SCR gross) – these values can be obtained from the previous ones applying the general MAX function (i.e. for the simplified calculation the SCR is also the maximum of the SCR DOWN or SCR UP so there is no special consideration for the simplification). Can you please confirm?
2) The cells requesting stressed values for assets and liabilities (is cells cells B1, B1A, B1B, B2, B2A, B2B) do not make any reference to the indicator AA01=Y. Could you please clarify what should be reported in these cells? Should be zero/left in blank? Or should the company derive a positive after-shock value?
3) Can you please clarify to what extent your answers to (1) and (2) are applicable to the other simplifications in this or other QRTs?
EIOPA answer
If simplifications for captives are used then only the cells C0, C1 (SCR net DOWN), C2 (SCR net UP) and D0, D1 (SCR net DOWN), D2 (SCR net UP) should be reported, using the value obtained with the simplified formula but considering both calculation net and gross.
In relation to the use of other simplifications we highlight that there is a mistake in the LOG of template S.26.03. In fact for all cells that represent values of Assets and Liabilities after shock (B1 to B9, B1A to B9A and B1B to B9B) the values should not be reported if simplifications are used. The use of simplifications imply alternative calculations to the calculation of the shocks. The reference to the values calculated using simplifications should be only in cells (C1 to C9 and D1 to D9) that correspond to the net and gross SCR.
This was amended in the Reporting Technical Standard currently under public consultation.