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    S.22.03 –Information on the matching adjustment calculation Solo

    EIOPA Taxonomy 2.8.0 Source PDF

    S.22.03 –Information on the matching adjustment calculation PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.22.03_solo.pdf
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    S.22.03 –Information on the matching adjustment calculation

    General comments:

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

    This template shall be reported by each matching portfolio approved by the supervisory authority.

    ITEMINSTRUCTIONS
    Z0010Matching
    portfolio    		Indicate the number which is attributed by the
    undertaking, corresponding to the unique number
    assigned to each matching portfolio.
    This number has to be consistent over time and shall
    be used to identify the matching portfolio number in
    other templates.
    Overall
    calculation of the
    matching
    adjustment
    C0010/R0010Annual effective
    rate applied to
    the CF of the
    obligations    		The annual effective rate, calculated as the single
    discount rate that, where applied to the cash flows
    (‘CF’) of the portfolio of insurance or reinsurance
    obligations, results in a value that is equal to the value
    in accordance with Article 75 of Directive
    2009/138/EC of the portfolio of assigned assets.
    C0010/R0020Annual effective
    rate of the best
    estimate    		The annual effective rate, calculated as the single
    discount rate that, where applied to the cash flows of
    the portfolio of insurance or reinsurance obligations,
    results in a value that is equal to the value of the best
    estimate of the portfolio of insurance or reinsurance
    obligations where the time value of money is taken
    into account using the basic risk-free interest rate
    term structure.
    C0010/R0030Probability of
    default used to
    de-risk assets
    cash flows    		The probability of default corresponds to the amount
    expressed as a financial percentage (same format as
    for rows R0010 and R0020) used to adjust the assets
    cash flows of the assigned portfolio of assets pursuant
    to Article 53 of Delegated Regulation (EU) 2015/35.
    ‘De-risked assets cash flows’ means ’expected assets
    cash-flows’ as referred to in Article 53 of Delegated
    Regulation (EU) 2015/35.
    This amount shall not include the increase reported in
    row R0050.
    C0010/R0040Portion of the
    fundamental
    spread not
    reflected when
    de-risking assets
    cash flows    		Portion of the fundamental spread that has not been
    reflected in the adjustment to the cash-flows of the
    assigned portfolio of assets as set out in Article 53 of
    Delegated Regulation (EU) 2015/35.
    This amount shall
    be expressed as a financial
    percentage (same format as rows R0010 and R0020).
    This amount shall not include the increase reported in
    row R0050.
    C0010/R0050Increase of
    fundamental
    spread for sub
    investment
    grade assets    		Increase of the fundamental spread for sub – investment grade assets expressed as a financial
    percentage (same format as rows R0010, R0020 and
    R0120). The increase of the probability of default for
    sub investment grade assets shall be considered in the
    de-risking of cash flows.
    C0010/R0060Matching
    adjustment to
    the risk free rate    		Matching adjustment to the risk-free
    rate for the
    reported portfolio, reported in basis points using
    decimal notation, e.g. 100bp reported as 0.01.
    Eligibility
    criteria using
    SCR mortality
    stress
    C0010/R0070Mortality risk
    stress for the
    purpose of the
    matching
    adjustment    		Increase of the gross best estimate calculated with the
    basic risk-free
    rate following a mortality risk stress
    compared to the gross best estimate calculated with
    the basic risk rate, as set out in Article 77b (1–f) of
    Directive 2009/138/EC and Article 52 of Delegated
    Regulation (EU) 2015/35.
    Portfolio
    C0010/R0080Market value of
    the assets of the
    portfolio    		Solvency II value of the assets of the portfolio.
    C0010/R0090Market value of
    assets linked to
    inflation    		Solvency II value of the assets with return linked to
    inflation (Article 77b (1) of Directive 2009/138/EC).
    C0010/R0100Best estimate
    linked to
    inflation    		Amount of best estimate of cash flows of the
    insurance or reinsurance obligations that depend on
    inflation.
    C0010/R0110Market value
    assets where
    third party can    		Value of the assets where third party can change the
    cash flows (Article 77b (1) of Directive
    2009/138/EC).
    change the cash
    flows
    C0010/R0120Return on assets
    — portfolio
    assets    		Identify the de-risked Internal Rate of Return (‘IRR’)
    of the assets linked to any matching adjustment
    portfolio measured as the discount rate at which the
    present value of the cash outflows of an asset equals
    the present value of its de-risked cash inflows.
    C0010/R0130Market value of
    surrendered
    contracts    		Value of the best estimate of the insurance and
    reinsurance obligations stemming from contracts
    underlying each matching adjustment portfolio which
    have been surrendered during the reporting period.
    C0010/R0140Number of
    surrender
    options
    exercised    		Number of surrender options exercised during the
    reporting period related to insurance and reinsurance
    obligations of each matching portfolio.
    C0010/R0150Market value of
    assets covering
    surrendered
    contracts    		Value of the assets, valued in accordance with Article
    75 of the Directive 2009/138/EC, covering the
    insurance and reinsurance obligations surrendered at
    the time the surrender options were exercised.
    C0010/R0160Amount paid to
    policyholders    		Value of the amount paid to policyholders according
    to their surrender rights.
    This amount differs from row R0130 and R0150
    where the surrender clause of the contract does not
    give the policyholder the right to receive the full
    amount in those rows.
    Liabilities
    C0010/R0170DurationMeasure equivalent to Macaulay duration for
    liabilities considering all cash flows of insurance or
    reinsurance obligations arising from portfolios where
    the matching adjustment has been used.