Question ID: 846
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35, 44
Template: S.22.01
Status: Final
Date of submission: 19 Oct 2016
Question
Template S.22.01 refers only to the impacts of removing long term guarantees and transitionals, whereas Article 44 (2a) of the Directive includes the following additional assessments:
• Sensitivity to assumptions underlying the ultimate forward rate, matching adjustment and volatility adjustment
• Sensitivity of the matching adjustment to changes in the composition of the assigned portfolio of assets for matching adjustment portfolios
• The possible effect of a forced sale of assets on matching adjustment and volatility adjustment
Am I right in saying that these additional assessments are also not required as part of the Group RSR?
EIOPA answer
In fact, template S.22.01 at group level covers only the impacts of removing long term guarantees and transitionals. However article 44 (2a) of the Solvency II Directive, applicable at solo and group level, requires undertakings to submit the assessments referred to in points (a), (b) and (c) of the first subparagraph annually to the supervisory authority as part of the information reported under Article 35.
This would mean that the assessments referred should be part of the group RSR.