Question ID: 1015
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: SR.12.01
Status: Final
Date of submission: 16 Dec 2016
Question
• What would you expect to be included in the Matching Adjustment Portfolios (MAPs) reported in the “SR” QRTs? Specifically, would you expect the risk margin to be included in the MAP Technical Provisions in SR.12.01? Our current interpretation is that the MAP relates to the assigned portfolio only, and so the risk margin is not included as it is held outside of the assigned portfolio.
• If the risk margin is not to be included in the MAP Technical Provisions, would you expect the SCR for the MAP to be reported in SR.25.02, as this is also not part of the assigned portfolio? Our current interpretation is that this would be reported (despite the inconsistency) as the SCR relates to the stressed position of the assigned portfolio. Additionally, the SCR is impacted by the application of the MA, but the risk margin is not.
EIOPA answer
The amounts reported for each MAP in template SR.12.01 should only cover the best estimate of the portfolio of insurance or reinsurance obligations (as defined according to article 77b (1) (a)).
According to article 81 of the Delegated Regulation undertakings have to calculate the notional SCR for all MAP, so it is expected that template SR.25.01 (or SR.25.02 or SR.25.03, depending on the calculation method) is reported for each MAP.