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Question

In the template you are required to show separately the spread risk stresses for bonds, type 1 securitisations etc. The template also has cells to shown the effect on liabilities.  This seems inconsistment with the  instructions for working out the effect of spread risk on matching adjustment (article 181) where it implies you should look at the effect of the sum of the different kinds of spread risk.  For the preparatory reporting we calculated a single liability effect based on the change to the matching adjustment caused by all types being stressed together. Is something different required for full measures.

European Insurance and Occupational Pensions Authority · Accepted Answer

The assets subject to 181 (a) should be filled in R0410 to R0480, and C0020, C0040 and C0060 to C0080.The liabilities subject to spread risk and that are linked to the MAP should also be filled in the same rows. However, as the amount reported in C0050 should reflect the provision under 181 (b) (i.e. single liability effect) this effect should be reported in the row of the major asset, usually bonds and loans.

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