EIOPA · 2316
Disclosure Templates
- Regulation
- (EU) No 2015/2452 - procedures, formats and templates of the solvency and financial condition report
- Article
- Article 35 of SII Directive
- Topic
- Disclosure Templates
- Submitted
- 2021-07-23
- Answered
- 2023-01-13
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?
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.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
Similar Q&As
More Q&As on this topic
📋 Track EU financial regulation continuously
Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.
14-day free trial. No credit card required.