Question ID: 915
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: SR.02.01
Status: Final
Date of submission: 16 Feb 2017
Question
With reference to Q&A number 70 (QA final report 14/52) and response number 3 below, there does not appear to be clear guidance in respect of IGT treatment for SR.02.01.01 - individual material RFF submission and RP balance sheet submission. Our reading of GL 15 of EIOPA Guideline on group solvency 1.43 appears to be referring to Group consolidated balance sheet net assets which are used for calculation of OF (net of IGT) and 1.44 refers to restrictions applied to OF in respect of RFF which should be Gross of IGT with a reference to using the assets and liabilities should be the same as that used to calculate notional SCR. Neither are making a direct reference to the basis on which RFF and RP should be reported in SR.02.01 (net or gross of IGT).
Our assumption and approach for completing SR.02.01 is as follows:
Material RFF’s – should be submitted gross of IGT since the SCR is also based on gross of IGT basis as per 1.44
RP of the Group – RP is derived as Group consolidated balance sheet (as per 1.43 i.e Net of IGT) – material RFF as calculated above (ie Gross of IGT) – MAP (Gross of IGT). This means where there are IGT’s between RFF/MAP and the RP will also need to be grossed up to bring the other side of IGT’s which are shown Gross in RFF and MAP’s. This is purely gross up and there is no impact on NAV ( see example below)
EIOPA answer
The template SR.02.01 should reflect Guideline 15 of the EIOPA Guidelines on group solvency. That means that the remaining part of the portfolio (as opposed to the ring fenced-funds and matching adjustment portfolios) should not be "grossed up". This means that in the case of groups, the group balance-sheet does not exactly match the total of the balance-sheets for all material RFF and remaining part (where there is no MAP).
Answer to Q&A 554 in point 3 has been amended as follows:
1) We confirm that submission of a separate balance sheet for matching adjustment portfolios is not required.
2) The "remaining part" is used consistently in all QRTs, in accordance with Article 217 of the Commission Delegated Regulation 2015/35.
3) As regards the balance sheet, the remaining part covers all elements except all material ring-fenced funds and all matching adjustment portfolios. From a group perspective, the remaining part should be adjusted and should be net of intra-group transactions that do not impact any RFF or MAP, as provided in GL 15 of EIOPA Guideline on group solvency. In all cases the balance-sheet for the solo from an entity level should match the total of the BS for all material RFF and remaining part, in the cases where there are no MAP. If there are MAP, as it is not required to report the BS for them, the balance-sheet for the solo from an entity level would not match the total of the BS reported for the RFF and remaining part.
4) As regards the materiality of ring-fenced funds, please see Guideline 5 from EIOPA "Guidelines on ring-fenced funds".