Index
Constraints
DPM Maps2md_tSR.22.03.01.01 - Information on the matching adjustment calculation
| SR.22.03.01.01 | ||
| Information on: | ||
| C0010 | ||
| Overall calculation of the matching adjustment | ||
| Annual effective rate applied to the CF of the obligations | R0010 | |
| Annual effective rate of the best estimate | R0020 | |
| Probability of default used to de-risk assets cash flows | R0030 | |
| Portion of the fundamental spread not reflected when de-risking assets cash flows | R0040 | |
| Increase of fundamental spread for sub investment grade assets | R0050 | |
| Matching adjustment to the risk free rate | R0060 | |
| SCR | ||
| Mortality risk stress for the purpose of matching adjustment | R0070 | |
| Portfolio | ||
| Market value of assets of the portfolio | R0080 | |
| Market value of assets linked to inflation | R0090 | |
| Best estimate linked to inflation | R0100 | |
| Market value assets where third party can change the cash flows | R0110 | |
| Return on assets - portfolio assets | R0120 | |
| Market value of surrended contracts | R0130 | |
| Number of surrender options exercised | R0140 | |
| Market value of assets applied | R0150 | |
| Surrender rights satisfied to policyholders | R0160 | |
| Liabilities | ||
| Duration | R0170 | |