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    S.25.01 — Solvency Capital Requirement — for groups on Standard Formula Group

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    S.25.01 — Solvency Capital Requirement — for groups on Standard Formula

    General comments:

    This section relates to the annual submission of information for groups, ring fenced-funds, matching adjustment portfolios and remaining part.

    Template SR.25.01 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub-funds of a material RFF/MAP as identified in the second table of template S.01.03.

    Template SR.25.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation-based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

    Where the entity has MAP or RFF (except those under the scope of Article 304 of Directive 2009/138/EC) when reporting at the level of the whole undertaking, the notional Solvency Capital Requirement (’nSCR’) at risk module level and the loss-absorbing capacity (LAC) of technical provisions and deferred taxes to be reported shall be calculated as follows:

    • Where the undertaking applies the full adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level the nSCR is calculated as if no loss of diversification exists and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
    • Where the undertaking applies the Simplification at risk sub-module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at sub-module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part;
    • Where the undertaking applies the simplification at risk module level to aggregate the nSCR of the RFF/MAP at entity level the nSCR is calculated considering a direct summation at module level method and the LAC shall be calculated as the sum of the LAC across all RFF/MAP and remaining part.

    The adjustment due to the aggregation of the nSCR of the RFF/MAP at entity level shall be allocated (C0050) to the relevant risk modules (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk). The amount to be allocated to each relevant risk module shall be calculated as follows:

    Calculationofqfactor=adjustmentBSCR′−nSCRint,whereCalculation of q factor = \frac{adjustment}{BSCR' - nSCR_{int}}_{, where}
    —adjustment=Adjustment calculated according to one of the three methods
    referred above
    —BSCR′=Basic solvency capital requirement calculated according to the
    information reported in this template (C0040/R0100)
    —nSCRint=nSCR for intangible assets risk according to the information
    reported in this template (C0040/R0070)

    – Multiplication of this ‘q factor’ by the nSCR of each relevant risk module (i.e. market risk, counterparty default risk, life underwriting risk, health underwriting risk and non-life underwriting risk)

    For group reporting the following specific requirements shall be met:

    • a) The information until R0460 is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
    • b) When combination method is being used, the information until R0460 is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC.
    ITEMINSTRUCTIONS
    Z0010Article 112Identifies whether the reported figures have
    been requested under Article 112(7) of
    Solvency II, to provide an estimate of the SCR
    using standard formula.
    One of the options in the following closed list
    shall be used:
    1 — Article 112(7) reporting
    2 — Regular reporting
    Z0020Ring-fenced fund,
    matching
    adjustment
    portfolio or
    remaining part    		Identifies whether the reported figures are with
    regard to a RFF, matching adjustment portfolio
    or to the remaining part. One of the options in
    the following closed list shall be used:
    1 — RFF/MAP
    2 — Remaining part
    Z0030Fund/Portfolio
    number    		When item Z0020 = 1, identification number
    for a ring-fenced fund or matching adjustment
    portfolio. This number is attributed by the
    undertaking within the scope of group
    supervision and must be consistent over time
    and with the fund/portfolio number reported in
    other templates.
    R0010–R0050/C0030Net solvency
    capital
    requirement    		Amount of the net capital charge for each risk
    module, as calculated using the standard
    formula.
    The difference between the net and the gross
    SCR is the consideration of the future
    discretionary benefits in accordance with
    Article 205 of Delegated Regulation (EU)
    2015/35.
    This amount shall fully consider diversification
    effects in accordance with Article 304 of
    Directive 2009/138/EC where applicable.
    These cells do not include the allocation of the
    adjustment due to the aggregation of the nSCR
    of the RFF/MAP at entity level. These figures
    represent the SCR as if there was no loss of
    diversification.
    R0010–R0050/C0040Gross solvency
    capital
    requirement    		Amount of the gross capital charge for each
    risk module, as calculated using the standard
    formula.
    The difference between the net and the gross
    SCR is the consideration of the future
    discretionary benefits as laid down in Article
    205 of Delegated Regulation (EU) 2015/35.
    This amount shall fully consider diversification
    effects as laid down in Article 304 of Directive
    2009/138/EC where applicable.
    These cells do not include the allocation of the
    adjustment due to the aggregation of the nSCR
    of the RFF/MAP at entity level. These figures
    represent the SCR as if there was no loss of
    diversification.
    R0010–R0050/C0050Allocation of RFF
    adjustment due to
    RFF and Matching
    adjustments
    portfolios    		Part of the adjustment allocated to each risk
    module according to the procedure described in
    the general comments.
    This amount shall be positive.
    R0060/C0030Net solvency
    capital
    requirement -
    Diversification    		Amount of the diversification effects between
    Basic SCR of net risk modules, including
    diversification within each risk module, due to
    the application of the correlation matrix defined
    in Annex IV of Directive 2009/138/EC.
    This amount shall be reported as a negative
    value.
    R0060/C0040Gross solvency
    capital
    requirement -
    Diversification    		Amount of the diversification effects between
    Basic SCR of gross risk modules, including
    diversification within each risk module, due to
    the application of the correlation matrix defined
    in Annex IV of Directive 2009/138/EC.
    This amount shall be reported as a negative
    value.
    R0070/C0030Net solvency
    capital
    requirement -
    Intangible asset
    risk    		Amount of the capital charge, after the
    adjustment for the loss-absorbing capacity of
    technical provisions, for intangible assets risk,
    as calculated using the standard formula.
    R0070/C0040Gross solvency
    capital
    requirement -
    Intangible assets
    risk    		The future discretionary benefits in accordance
    with Article 205 of Delegated Regulation (EU)
    2015/35 for intangible assets risk is zero under
    standard formula hence R0070/C0040 equals
    R0070/C0030.
    R0100/C0030Net solvency
    capital
    requirement — Basic Solvency
    Capital
    Requirement    		Amount of the basic capital requirements, after
    the consideration of future discretionary
    benefits as laid down in Article 205 of
    Delegated Regulation (EU) 2015/35, as
    calculated using the standard formula.
    This amount shall fully consider the
    diversification effects referred to in Article 304
    of Directive 2009/138/EC where applicable.
    This cell does not include the allocation of the
    adjustment due to the aggregation of the nSCR
    of the RFF/MAP at entity level. These figures
    represent the SCR as if there was no loss of
    diversification.
    This amount shall be calculated as a sum of the
    net capital charges for each risk module within
    the standard formula, including adjustment for
    diversification effect within standard formula.
    R0100/C0040Gross solvency
    capital
    requirement — Basic Solvency
    Capital
    Requirement    		Amount of the basic capital requirements,
    before the consideration of future discretionary
    benefits referred to in Article 205 of Delegated
    Regulation (EU) 2015/35, as calculated using
    the standard formula.
    This amount shall fully consider diversification
    effects as laid down in Article 304 of Directive
    2009/138/EC where applicable.
    This cell does not include the allocation of the
    adjustment due to the aggregation of the nSCR
    of the RFF/MAP at entity level. These figures
    represent the SCR as if there was no loss of
    diversification.
    This amount shall be calculated as a sum of the
    gross capital charges for each risk module
    within the standard formula, including
    adjustment for diversification effect within
    standard formula
    Calculation of
    Solvency Capital
    Requirement
    R0120/C0100Adjustment due to
    RFF/MAP nSCR
    aggregation    		Adjustment to correct the bias on SCR
    calculation due to aggregation of RFF/MAP
    nSCR at risk module level.
    This amount shall be positive.
    R0130/C0100Operational riskAmount of the capital requirements for
    operational risk module as calculated using the
    standard formula.
    R0140/C0100Loss-absorbing
    capacity of
    technical
    provisions    		Amount of the adjustment for loss-absorbing
    capacity of technical provisions calculated in
    accordance with the standard formula.
    This amount shall be reported as a negative
    value.
    At RFF/MAP level and at entity level where
    there are no RFF (other than those under
    Article 304 of Directive 2009/138/EC) nor
    MAP it is the maximum between zero and the
    amount corresponding to the minimum between
    the amount of technical provisions without risk
    margin in relation to future discretionary
    benefits net of reinsurance and the difference
    between gross and net basic solvency capital
    requirement.
    Where there are RFF (other than those under
    Article 304 of Directive 2009/138/EC) or
    MAP, this amount shall be calculated as the
    sum of the loss-absorbing capacity of technical
    provisions of each RFF/MAP and remaining
    part, taking into account the net future
    discretionary benefits as a top limit.
    R0150/C0100Loss-absorbing
    capacity of
    deferred taxes    		Amount of the adjustment for loss-absorbing
    capacity of deferred taxes calculated according
    to the standard formula.
    This amount shall be negative.
    R0160/C0100Capital
    requirement for
    business operated
    in accordance with
    Art. 4 of Directive
    2003/41/EC    		Amount of the capital requirement, calculated
    in accordance with the rules stated in Article
    17 of Directive 2003/41/EC, for ring-fenced
    funds relating to pension business operated
    under Article 4 of Directive 2003/41/EC to
    which transitional measures are
    applied. This
    item is to be reported only during the
    transitional period.
    R0200/C0100Solvency Capital
    Requirement
    calculated on the
    basis of Art. 336
    (a) of Delegated
    Regulation (EU)
    2015/35,
    excluding capital
    add-on    		Amount of the SCR, before any capital add-on,
    calculated in accordance with Article 336 (a),
    i.e. on the basis of consolidated data as referred
    to in points (a), (b) and (c) of the Delegated
    Regulation (EU) 2015/35 including data of
    controlled collective investment undertakings
    and investments packaged as funds.
    R0210/C0100Capital add-ons
    already set    		Amount of capital add-on that had been set at
    the reporting reference date. It does not include
    capital add-ons set between that date and the
    submission of the data to the supervisory
    authority.
    R0211/C0100of which, capital
    add-ons already
    set – Article 37 (1)
    Type a    		Amount of capital add-on that had been set at
    the reporting reference date. It does not include
    capital add-ons set between that date and the
    submission of the data to the supervisory
    authority, nor any set after the submission of
    the data.
    R0212/C0100of which, capital
    add-ons already
    set -
    Article 37 (1)
    Type b    		Amount of capital add-on that had been set at
    the reporting reference date. It does not include
    capital add-ons set between that date and the
    submission of the data to the supervisory
    authority, nor any set after the submission of
    the data.
    R0213/C0100of which, capital
    add-ons already
    set -
    Article 37 (1)
    Type c    		Amount of capital add-on that had been set at
    the reporting reference date. It does not include
    capital add-ons set between that date and the
    submission of the data to the supervisory
    authority, nor any set after the submission of
    the data.
    R0214/C0100of which, capital
    add-ons already
    set -
    Article 37 (1)
    Type d    		Amount of capital add-on that had been set at
    the reporting reference date. It does not include
    capital add-ons set between that date and the
    submission of the data to the supervisory
    authority, nor any set after the submission of
    the data.
    R0220/C0100Consolidated
    Group SCR    		Amount of the Solvency Capital Requirement
    for undertakings under method 1 as defined in
    Article 230 of Directive 2009/138/EC.
    It shall include all components of the
    consolidated group SCR; SCR calculated on
    the basis of consolidated data (R0200),
    including capital add-ons (R0210), and
    including capital requirements of undertakings
    from other financial sectors (R0500), capital
    requirement for non-controlled participation
    requirements (R0540), capital requirement for
    residual undertakings (R0550) and capital
    requirements for collective investment
    undertakings or investments packaged as funds
    (R0xxx) .
    Other information on
    SCR
    R0400/C0100Capital
    requirement for
    duration-based    		Amount of the capital requirement for
    duration-based equity risk sub-module.
    equity risk sub – module
    R0410/C0100Total amount of
    notional Solvency
    Capital
    Requirements for
    remaining part    		Amount of the notional SCRs of remaining part
    when group has RFF.
    R0420/C0100Total amount of
    notional Solvency
    Capital
    Requirements for
    ring-fenced funds    		Amount of the sum of notional SCRs of all
    ring-fenced funds when group has RFF (other
    than those related to business operated in
    accordance with Article 4 of Directive
    2003/41/EC (transitional)).
    R0430/C0100Total amount of
    Notional Solvency
    Capital
    Requirements for
    matching
    adjustment
    portfolios    		Amount of the sum of notional SCRs of all
    matching adjustment portfolios.
    R0440/C0100Diversification
    effects due to RFF
    nSCR aggregation
    for Article 304    		Amount of the adjustment for a diversification
    effect between ring-fenced funds under Article
    304 of Directive 2009/138/EC and the
    remaining part where applicable.
    R0450/C0100Method used to
    calculate the
    adjustment due to
    RFF/MAP nSCR
    aggregation    		Method used to calculate the adjustment due to
    RFF nSCR aggregation. One of the options in
    the following closed list shall be used:
    1 — Full recalculation
    2 — Simplification at risk sub-module level
    3 — Simplification at risk module level
    4 — No adjustment
    When the group has no RFF (or have only RFF
    under Article 304 of Directive 2009/138/EC) it
    shall select option 4.
    R0460/C0100Net future
    discretionary
    benefits    		Amount of technical provisions without risk
    margin in relation to future discretionary
    benefits net of reinsurance.
    R0470/C0100Minimum
    consolidated
    group solvency    		Amount of the minimum consolidated group
    Solvency Capital Requirement as stated in
    Article 230 of Directive 2009/138/EC.
    capital
    requirement
    R0500/C0100Capital
    requirement for
    other financial
    sectors (Non – insurance capital
    requirements)    		Amount of capital requirement for other
    financial sectors.
    R0500 is expected to be equal to the sum of
    R0510, R0520 and R0530.
    This item is only applicable to group reporting
    where the group includes an undertaking which
    is subject to non-insurance capital
    requirements, such as a bank, and is the capital
    requirement calculated in accordance with the
    appropriate requirements.
    R0510/C0100Capital
    requirement for
    other financial
    sectors (Non – insurance capital
    requirements) — Credit institutions,
    investment firms
    and financial
    institutions,
    alternative
    investment funds
    managers, UCITS
    management
    companies    		Amount of capital requirement for credit
    institutions, investment firms and financial
    institutions.
    This item is only applicable to group reporting
    where the group includes undertakings which
    are credit institutions, investment firms and
    financial institutions, alternative investment
    funds managers, UCITS management
    companies and they are subject to capital
    requirements, calculated in accordance with the
    relevant sectoral rules.
    R0520/C0100Capital
    requirement for
    other financial
    sectors (Non – insurance capital
    requirements) — Institutions for
    occupational
    retirement
    provisions    		Amount of capital requirement for institutions
    for occupational retirement provisions.
    This item is only applicable to group reporting
    where the group includes undertaking which
    are institutions for occupational retirement
    provision and subject to non-insurance capital
    requirements calculated in accordance with the
    relevant sectoral rules.
    R0530/C0100Capital
    requirement for
    other financial
    sectors (Non – insurance capital
    requirements) —    		Amount of capital requirement for non
    regulated undertakings carrying out financial
    activities. This figure represents a notional
    solvency requirement, calculated if the relevant
    sectoral rules were to be applied.
    Capital
    requirement for
    non-regulated
    undertakings
    carrying out
    financial activities    		This item is only applicable to group reporting
    where the group includes undertakings which
    are non — regulated undertakings carrying out
    financial activities.
    R0540/C0100Capital
    requirement for
    non-controlled
    participations    		Amount of the proportional share of the
    Solvency Capital Requirements of the related
    insurance and reinsurance undertakings and
    insurance holding companies or mixed
    financial holding companies which are not
    subsidiaries, in accordance with Article 336 (1)
    (b) of Delegated Regulation (EU) 2015/35.
    This item is only applicable to group reporting
    and corresponds, for those entities which are
    not subsidiaries, to the capital requirement
    calculated in accordance with Solvency 2.
    R0550/C0100Capital
    requirement for
    residual
    undertakings    		Amount determined in accordance with Article
    336 (1) (d) of Delegated Regulation (EU)
    2015/35.
    R0555/C0100Capital
    requirement for
    collective
    investment
    undertakings or
    investments
    packaged as funds    		Amount determined in accordance with Article
    336 (1) (e) of Delegated Regulation (EU)
    2015/35.
    R0560/C0100SCR for
    undertakings
    included via D&A
    method    		Amount of the Solvency Capital Requirement
    for undertakings included under method 2 as
    defined in Article 233 of Directive
    2009/138/EC when the combination of methods
    is used.
    R0570/C0100Total group
    Solvency capital
    requirement    		Overall SCR for all undertakings regardless of
    the method used.
    The total group solvency capital requirement is
    expected to be equal to the sum of R0220 and
    R0560.
    In case the minimum consolidated group SCR
    (R0470) is higher than the Consolidated group
    SCR (R0220), then the total group solvency

    |———————-| | |

    capital requirement is expected to be equal to
    the sum of R0470 and R0560.