Question ID: 1260
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35, 176
Template: S.06.02
Status: Final
Date of submission: 15 Sep 2017
Question
I seek a confirmation of your response to question nb. 970:
"EIOPA highlights that the duration requested in S.06.02.C0360 is not the duration in years but the 'modified duration' expressed in %."
I see an inconsistency here because in teh standard formula there is modified duration expressed in years used and in the annotated templates Metric=Decimal for C0360.
Furthermore, I seek a confirmation whether for variable interest bonds we should calculate duration according to Article 176, par. 2 of Delegated Regulation (EU) 2015/35 and if yes, what is meant by "forward interest rate"? Is it risk-free forward interets rate derived from risk-free curve ?
EIOPA answer
EIOPA confirms that the duration requested in S.06.02.C0360 is the ’residual modified duration’ as stated in the Instructions. The annotated template indicated Metric: Decimal for this item, which is fully consistent.
Please note that the list of assets is used for the supervision of the Prudent Person Principle and not to re-calculate the SCR.