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    S.25.01 — Solvency Capital Requirement — for undertakings on Standard Formula Solo

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    S.25.01 — Solvency Capital Requirement — for undertakings on Standard Formula PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.25.01_solo.pdf
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    S.25.01 — Solvency Capital Requirement — for undertakings on Standard Formula

    General comments:

    This section relates to annual submission of information for individual entities, 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 a 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.

    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:

    –, 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)

    ITEMINSTRUCTIONS
    Z0010Article 112Identifies whether the reported figures have
    been requested under Article 112(7) of
    Directive 2009/138/EC, 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 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 the Delegated Regulation
    (EU) 2015/35 for intangible assets risk is zero
    under standard formula, hence R0070/C0040
    equals R0070/C0030.
    R0100/C0030Net solvency
    capital    		Amount of the basic capital requirements, after
    the consideration of future discretionary
    requirement — Basic Solvency
    Capital
    Requirement    		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
    excluding capital
    add-on    		Amount of the total diversified SCR before any
    capital add-on.
    R0210/C0100Capital add-ons
    already set    		Amount of capital add-on set by the NSA by
    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 set by
    the NSA in
    accordance with
    Article 37 (1) paragraph (a),
    by
    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.
    R0212/C0100of which, capital
    add-ons already
    set -
    Article 37 (1)
    Type b    		Amount of capital add-on set by the NSA in
    accordance with
    Article 37 (1) paragraph (b),
    by
    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.
    R0213/C0100of which, capital
    add-ons already
    set -
    Article 37 (1)
    Type c    		Amount of capital add-on set by the NSA
    in
    accordance with
    Article 37 (1) paragraph (c),
    by
    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.
    R0214/C0100of which, capital
    add-ons already
    set -
    Article 37 (1)
    Type d    		Amount of capital add-on that set by the NSA
    in accordance with
    Article 37 (1) paragraph (d),
    by
    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.
    R0220/C0100Solvency capital
    requirement    		Amount of the Solvency Capital Requirement.
    Other information on
    SCR
    R0400/C0100Capital
    requirement for
    duration-based
    equity risk sub – module    		Amount of the capital requirement for
    duration-based equity risk sub-module.
    R0410/C0100Total amount of
    notional Solvency
    Capital
    Requirements for
    remaining part    		Amount of the notional SCRs of remaining part
    when undertaking has RFF.
    R0420/C0100Total amount of
    notional Solvency
    Capital    		Amount of the sum of notional SCRs of all
    ring-fenced funds when undertaking has RFF
    (other than those related to business operated in
    Requirements for
    ring-fenced funds    		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 undertaking 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.
    Approach to tax rate
    R0590/C0109Approach based
    on average tax rate    		One of the options in the following closed list
    shall be used:
    1 – Yes
    2 – No
    3 – Not applicable as the adjustment for
    the loss-absorbing capacity of deferred
    taxes (LAC DT) is not used (in this case
    R0600 to R0690 are not applicable)
    See EIOPA Guidelines on loss-absorbing
    capacity of technical provisions and deferred
    taxes (EIOPA-BoS-14/177)

    Calculation of the adjustment for loss-absorbing capacity of deferred taxes

    R0600/C0110DTA Before the
    shock    		Total amount of the deferred tax assets (DTA)
    in the balance-sheet using Solvency II valuation
    before the instantaneous loss described in
    Article 207(1) and (2) of Delegated Regulation
    (EU) 2015/35. The DTA amount of this cell
    shall be consistent with the value in the cell
    R0040/C0010 in S.02.01
    R0600/C0120DTA After the
    shock    		Total amount of the deferred tax assets (DTA)
    if a balance-sheet using Solvency II valuation
    was set up after the instantaneous loss, as
    provided for in Article 207(1) and (2) of
    Delegated Regulation (EU) 2015/35. This cell
    shall be left blank where R0590/C0109 is filled
    with ‘1-Yes’.
    R0610/C0110DTA carry
    forward
    -
    Before
    the shock    		Amount of deferred tax assets (DTA) in the
    balance-sheet using Solvency II valuation due
    to carry forward of previous losses or tax
    deductions before the instantaneous loss
    described in Article 207(1) and (2) of
    Delegated Regulation (EU) 2015/35.
    R0610/C0120DTA carry
    forward -
    After the
    shock    		Amount of deferred tax assets (DTA) due to
    carry forward of previous losses or tax
    deductions if a balance-sheet using Solvency II
    valuation was set up after the instantaneous
    loss, as provided for in Article 207(1) and (2)
    of Delegated Regulation (EU) 2015/35. This
    cell shall be left blank where R0590/C0109 is
    filled with ‘1-Yes’.
    R0620/C0110DTA due to
    deductible
    temporary
    differences
    – Before the shock    		Amount of deferred tax assets (DTA) in the
    balance-sheet using Solvency II valuation due
    to differences between the Solvency II
    valuation of
    an asset or liability and its tax base
    before the instantaneous loss described in
    Article 207(1) and (2) of Delegated Regulation
    (EU) 2015/35
    R0620/C0120DTA due to
    deductible
    temporary
    differences -
    After
    the shock    		Amount of deferred tax assets (DTA) due to
    differences between the Solvency II valuation
    of an asset or liability and its tax base if a
    balance-sheet using Solvency II valuation was
    set up after the instantaneous loss, as provided
    for in Article 207(1) and
    (2) of Delegated
    Regulation (EU) 2015/35. This cell shall be left
    blank if R0590/C0109 is filled with ‘1-Yes’.
    R0630/C0110DTL — Before
    the shock    		Amount of Deferred Tax Liabilities (DTL) in
    the balance-sheet using Solvency II valuation
    before the instantaneous loss described in
    Article 207(1) and (2) of Delegated Regulation
    (EU) 2015/35. The DTL amount of this cell
    shall be consistent with the value in the cell
    R0780/C0010 in S.02.01.
    R0630/C0120DTL — After the
    shock    		Amount of Deferred Tax Liabilities (DTL) if a
    balance-sheet using Solvency II valuation was
    set up after the instantaneous loss, as provided
    for in Article 207(1) and (2) of Delegated
    Regulation (EU) 2015/35.
    This cell shall be left blank in case of an
    average tax rate approach and where
    R0590/C0109 is filled with ‘1-Yes’.
    R0640/C0130LAC DTAmount of loss-absorbing capacity of deferred
    taxes, calculated in accordance with Article 207
    of Delegated Regulation (EU) 2015/35. The
    LAC amount of this cell shall be the same as
    the value in the cell R0150/C0100 in
    S.25.01.01.
    R0650/C0130LAC DT justified
    by reversion of
    deferred tax
    liabilities    		Amount of loss-absorbing capacity of deferred
    taxes, calculated in accordance with Article 207
    of Delegated Regulation (EU) 2015/35,
    justified by reversion of deferred tax liabilities
    R0660/C0130LAC DT justified
    by reference to
    probable future
    taxable economic
    profit    		Amount of loss-absorbing capacity of deferred
    taxes, calculated in accordance with Article 207
    of Delegated Regulation (EU) 2015/35,
    justified by reference to probable future taxable
    economic profit
    R0670/C0130LAC DT justified
    by carry back,
    current year    		Amount of loss-absorbing capacity of deferred
    taxes, calculated in accordance with Article 207
    of Delegated Regulation (EU) 2015/35,
    justified by profits from past years. Amount of
    the losses allocated to the next year.
    R0680/C0130LAC DT justified
    by
    carry back,
    future years    		Amount of loss-absorbing capacity of deferred
    taxes, calculated in accordance with Article 207
    of Delegated Regulation (EU) 2015/35,
    justified by profits from past years. Amount of
    losses allocated to the years after next year.
    R0690/C0130Maximum LAC
    DT    		Maximal amount of loss-absorbing capacity of
    deferred taxes, that could be available, before
    the assessment whether the increase in net
    Solvency
    II software
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