Question ID: 2316
Regulation Reference: (EU) No 2015/2452 - procedures, formats and templates of the solvency and financial condition report
Topic: Disclosure Templates
Article: Article 35 of SII Directive
Template: S.08.01
Status: Final
Date of submission: 23 Jul 2021
Question
I have got a question about the Solvency II value for the interest rate swap in the S.08.01. Should the notional amount of the interest rate swap also be included for calculating the Solvency II value?
EIOPA answer
In the QRT S.08.01, in the table S.08.01.01.01 "Information on position held" the two attributes C0130 "Notional amount of the derivative" and C0240 "SII value" need both to be reported. Please not that these values correspond to the position, not to the individual derivative.