EIOPA · 340
340
- Regulation
- Guidelines on basis risk
- Article
- 35
- Submitted
- 2015-10-29
- Answered
- 2019-10-17
Question
This is a question specifically on the calculation of Operational Risk for the QRTs.
Cell A13 on S.26.06.b (Percentage of Basic Solvency Capital Requirement) takes 0.3 of B10 on S.25.01.b. The issue we have is that this being on a PIM basis it would not include the non-life underwriting risk element. Therefore, the BSCR that A13 in S.26.06.b is based upon is not the full the PIM BSCR. Hence why we do not agree with the figure calculated fo cell A13. We think that on a PIM basis it should be:
=min(0.3*BSCR,OPinul)+(0.25*expenses)
This takes account of the non-life underwriting risk element that's calculated on a PIM basis. Can you confirm that our rationale is correct? At present the calculation doesn't feel right.
Answer
In preparatory phase, in fact when undertakings used PIM, the formula could lead to mistakes. Please note that in the Final Report on public consultation No. 14/052 on the implementing technical standards on the templates for the submission of information to the supervisory authorities the approach of template S.25 has changed and now each template should be filled in with the total SCR (S.25.01 for Standard Formula users, S.25.02 for PIM users and S.25.03 for FIM users).
EIOPA agrees that the CAP of the operational risk charge should be calculated using the full BSCR.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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