Question ID: 701
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 14 Sep 2016
Question
I have a follow-up question to the one below.
Regarding UL assets where the investment risk is FULLY borne by policyholders – what EIOPA expects me to fill in cells Assets/Liabilities after the shock (shock being e.g. 25% decrease in the value of assets):
imagine that SII value of UL assets = 100 and corresponding TP = 100 (therefore if the value of assets decrease, value of liabilities decrease by the same amount)
a) A after stress = 100, L after stress = 100
or
b) A after stress = 75, L after stress = 75
EIOPA answer
In unit linked we do expect to see the values of the assets and liabilities reported before and after shock and we do expect that the impact in assets is balanced with the shock in liabilities leading to none or reduced capital charge.
In your example the values before shock would be 100 and after shock would be 75.
Please note that under solvency II there might not be a complete match due to valuation of expenses or any embedded guarantee.