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s2md_tSR.22.03.01.01 - Information on the matching adjustment calculation

SR.22.03.01.01
Information on:
C0010
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Overall calculation of the matching adjustment
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Annual effective rate applied to the CF of the obligationsR0010
concepts2md_met:pi2241y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Annual effective rate of the best estimateR0020
concepts2md_met:pi2242y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Probability of default used to de-risk assets cash flowsR0030
concepts2md_met:pi2243y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Portion of the fundamental spread not reflected when de-risking assets cash flowsR0040
concepts2md_met:pi2244y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Increase of fundamental spread for sub investment grade assetsR0050
concepts2md_met:pi2245y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Matching adjustment to the risk free rateR0060
concepts2md_met:pi2246y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
SCR
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Mortality risk stress for the purpose of matching adjustmentR0070
concepts2md_met:mi2223y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Portfolio
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Market value of assets of the portfolioR0080
concepts2md_met:mi201y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:TAs2c_AM:x120y
s2c_dim:VGs2c_AM:x80z
Market value of assets linked to inflationR0090
concepts2md_met:mi2247y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:TAs2c_AM:x120y
s2c_dim:VGs2c_AM:x80z
Best estimate linked to inflationR0100
concepts2md_met:mi363y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:RZs2c_LB:x166y
s2c_dim:VGs2c_AM:x80z
s2c_dim:VLs2c_VM:x5y
Market value assets where third party can change the cash flowsR0110
concepts2md_met:mi2248y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:TAs2c_AM:x120y
s2c_dim:VGs2c_AM:x80z
Return on assets - portfolio assetsR0120
concepts2md_met:pi2249y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Market value of surrended contractsR0130
concepts2md_met:mi2250y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:TAs2c_AM:x120y
s2c_dim:VGs2c_AM:x80z
Number of surrender options exercisedR0140
concepts2md_met:ii2251y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
Market value of assets appliedR0150
concepts2md_met:mi2252y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:TAs2c_AM:x120y
s2c_dim:VGs2c_AM:x80z
Surrender rights satisfied to policyholdersR0160
concepts2md_met:mi2250y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:TAs2c_AM:x86y
s2c_dim:VGs2c_AM:x80z
Liabilities
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z
DurationR0170
concepts2md_met:ri2254y
s2c_dim:MP*z
s2c_dim:POs2c_PU:x53z
s2c_dim:VGs2c_AM:x80z

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