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European Insurance and Occupational Pensions Authority

810

Q&A

Question ID: 810

Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities

Article: 35

Template: S.16.01

Status: Final

Date of submission: 19 Oct 2016

Question

In the report S.16.01, for the cell C0010/R0020, shall the average duration be calculated by weighting with:
- cash-flows discounted with RFR curve
- undiscounted cash-flows

EIOPA answer

The average duration calculated in C0010/R0020 should be based on the cash-flows discounted.