Question ID: 447
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 4, 35
Template: S.25.01
Status: Final
Date of submission: 17 Dec 2015
Question
In the log for s.25.01 it states for cell R0420/C0100:-
Amount of the sum of notional SCRs of all ring-fenced funds when undertaking has RFF (other than those related to business operated in accordance with Art. 4 of Directive 2003/41/EC (transitional)).
This therefore includes both immaterial and material RFFs and so would also record the capital requirements of RFFs that did not require granular reporting.
Question 1 - Does this include all of a RFF that has a MAP or just the remainder of the RFF excluding the MAP?
It also states for cell R0430/C0100:-
Amount of the sum of notional SCRs of all matching adjustment portfolios.
This therefore includes both immaterial and material MAPs and so would also record the capital requirements of MAPs that did not require granular reporting.
Finally it states for cell R0410/C0100:-
Amount of the notional SCRs of remaining part when undertaking has RFF.
Question 2 - No mention is made of MAPs here. Is this an omission?
Question 3 – is there an expectation that these three cells, ignoring add-ons etc - should sum to the SCR of the entity?
However in the “Resolution comments on final Report on the public consultation CP-14-052 ITS on regular supervisory reporting” - Reference Annex 8 Comment Number 66 it asks:-
It is not clear to what "on an individual basis and" … "remaining part" refers to in subparagraphs 2 and 3, for example the remaining part of the portfolio where the MA is used, or the remaining part of the funds where ring fenced funds exist. Further clarification would be useful.
The response was:-
"individual basis" was deleted.
"remaining part" is the remaining business that is not a material RFF or a material matching portfolio.
This creates a definition for “remaining part” which in our understanding is at odds with the definition in the log for s.25.01 as this different definition would also include immaterial RFFs and immaterial MAPs
Question 4 - Can you therefore further clarify the definition of Remaining Part and confirm that this is also consistent across all templates?
EIOPA answer
Q1: Cell “Total amount of notional Solvency Capital Requirements for ring-fenced funds” (R0420/C0100) refers to the notional SCR of all material RFF. The RFF for which the calculation of SCR is not required should not be reflected here.
Cell “Total amount of Notional Solvency Capital Requirements for matching adjustment portfolios” (R0430/C0100) refers to the notional SCR of all MAP. When a RFF as a MAP, the MAP part should be reported in R0430 while the remaining part of the RFF should be reported in R0420.
Q2: No, MAP is not referred to as they should not be considered in the remaining part (no materiality applies to MAP).
Q3: No, the calculation of the SCR is reflected in the table above. This cells are additional information on the SCR.
Q4: Remaining part is used consistently across the templates and it includes non-RFF business together with immaterial RFF.
For your information relevant legislation is: Article 81 of Commission Delegated Regulation 2015/35 and Guideline 5 of EIOPA “Guidelines on ring-fenced funds”. Regarding MAP please note that the derogation in Article 81(2) does not apply. This is then reflected in the RFF GLs as GL 5 on materiality does not apply to MAP as well.