Question ID: 2379
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: N/A
Template: S.29.01
Status: Final
Date of submission: 17 Jan 2022
Question
What should be the procedure in the S.29.XX QRTS when the volatility adjustment is applied for the first time? For example: Year N-1: No use of volatility adjustment. Year N: Use of volatility adjustment. Should the reported prior year values N-1 (e.g. in S.29.01, C0020) correspond to the officially reported values, therefore without volatility adjustment? Or should they be reported with volatility adjustment for better comparability of the positions?
EIOPA answer
As it is the first year of application of the VA, year N-1 values should be reported without VA and year N values should include VA for all S.29.XX templates. The use of VA will have an impact on the technical provisions and, therefore, in the reconciliation reserve. This impact will appear in S.29.01 as follows:
S.29.01: In the reconciliation reserve.
S.29.02: No impact.
S.29.03: While changes in discount rates are usually reported in R0100 (R0250), in this case the impact of the first application of VA is a change in the term structure used for discounting, so the impact of the first application of VA should be considered a change in the model and therefore reported in R0020 (R0160), Exceptional elements triggering restating of opening Best Estimate. This impact should be calculated as the difference between TPs calculated with the RFR and TPs calculated with RFR + VA, both at the reporting date (year N). The impact of change in the RFR from N-1 to N should be reported in R0100 (R0250) as usual. Future changes on the BE due to changes of the VA should also be reported in R0100 (R0250).
S.29.04: In the cell “variation of BE"