Prudential Regulation Authority Rulebook

1.

In this Article 34, an ‘unsupported ring-fenced fund’ is a ring-fenced fund whose notional SCR is entirely covered by assets allocated to that fund and a ‘supported ring-fenced fund’ is a ring-fenced fund whose notional SCR is not entirely covered by assets allocated to that fund.

2.

Firms and, where applicable, UK holding companies which for the calculation of group solvency use method 1, either exclusively or in combination with method 2, must submit to the PRA annually information in relation to unsupported ring-fenced funds and the remaining part (including any embedded matching adjustment portfolios and supported ring-fenced funds), taking into account only those risks in scope of the method 1 calculation and using the following templates:

1. (a) template IRR.01.01.04 of Chapter 9, specifying the content of the submission, following the instructions set out in section IR.01.01 of Chapter 10;
2. (b) template IRR.02.01.01 of Chapter 9, to be submitted separately for each of the following (as applicable):
   1. (i) the balance sheet information for all unsupported ring-fenced funds in the group (including any embedded matching adjustment portfolios); and
   2. (ii) the balance sheet information for the remaining part (including any embedded matching adjustment portfolios and supported ring-fenced funds),
   3. using both the valuation in accordance with the valuation principles set out in the Valuation Part and the valuation following the consolidated financial statements, and following the instructions set out in section IR.02.01 of Chapter 10; and
3. (c) template IRR.25.04.01 of Chapter 9, to be submitted separately for each of the following (as applicable):
   1. (i) the notional SCR calculation covering all unsupported ring-fenced funds in the group (including any embedded matching adjustment portfolios); and
   2. (ii) the notional SCR calculation covering the remaining part (including any embedded matching adjustment portfolios and supported ring-fenced funds);
   3. following the instructions set out in section IR.25.04 of Chapter 10.