Volatility Adjustment Impact

Overview

This calculator provides the Volatility Adjustment (VA) Impact within the undertaking's capital-adequacy monitoring framework.^[1] The impact is defined as the measure of the reduction in technical provisions derived from the application of the regulator-defined spread-add-on to the risk-free rate curve.

Input Terms

• VA Spread: The additional basis-points added to the RFR-curve as provided by EIOPA.^[2]
• Best Estimate Liability (with VA): The discounted technical provisions including the volatility adjustment.
• Best Estimate Liability (without VA): The discounted technical provisions using the base (zero) RFR-curve.

Technical Rationale

The Volatility Adjustment Impact is a fundamental component of the undertaking’s financial-strength monitoring and asset-liability management. It ensures that the undertaking’s capital-adequacy is not artificially impaired by temporary, extreme fluctuations in credit-spreads that are not expected to result in actual default.

The calculation compares the undertaking's solvency position with and without the application of the VA-spread. This ensures the undertaking can identify its actual underlying solvency resilience in the absence of the regulatory spread-support. The results feed the Technical Provisions, Solvency Ratio Summary, and S.22.01.01 views.

Important Notes

- Gross vs. Net SCR: This calculator determines the VA-impact on the Net Solvency Position after all diversification and LAC adjustments have been applied at the Aggregation Layer. - Regulatory deviation: The calculated result is based on the standard volatility adjustment; any move toward a matching adjustment must be flagged.^[3] ; any move toward a matching adjustment must be flagged..^[3] - Reporting: The displayed result is the canonical VA-impact indicator for the annual S.22.01.01 LTG-impact supervisory reporting view.^[4]