ANNEX II Instructions regarding reporting templates for individual undertakings

S.22.04 — Information on the transitional on interest rates calculation
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported by currency for which the transitional adjustment to the relevant risk-free interest rate term structure is applied. When filling C0020 only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.
The assessment to distinguish between the Solvency I interest rate intervals might be done by Homogeneous Risk Groups (HRG).
	ITEM	INSTRUCTIONS
Overall calculation of the transitional adjustment		
Z0010	Currency	Identify the ISO 4217 alphabetic code of each of the currency for which the transitional adjustment to the relevant risk-free interest rate term structure is applied.
C0010/R0010	Solvency I interest rate	The interest rate (as a decimal) as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive.
C0010/R0020	Annual effective rate	The annual effective rate, calculated as the single discount rate that, where applied to the cash flows of the portfolio of admissible insurance and reinsurance obligations, results in a value that is equal to the value of the best estimate of the portfolio of admissible insurance and reinsurance obligations where the time value of money is taken into account using the relevant risk–free interest rate term structure referred to in Article 77(2) of Directive 2009/138/EC.
C0010/R0030	Portion of the difference applied at the reporting date	Percentage (as a decimal) of the difference between the Solvency I interest rate (R0010) and the Annual effective rate (R0020) (e.g. 1,00 at the beginning of the transitional period and 0,00 at the end).
C0010/R0040	Adjustment to risk free rate	Transitional adjustment to the risk free rate expressed as a percentage (as a decimal).
Solvency I interest rate		
C0020/R0100	Best estimate — Up to 0.5 per cent	Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was up to 0,5 % (inclusive). Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.
C0020/R0110 to R0200	Best estimate — Best estimate	Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was in the correspondent interval. The lower reference is exclusive and the higher reference is inclusive. Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.
C0020/R0210	Best estimate — Above 8.0 per cent	Value of the best estimate of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was above 8,0 % (exclusive). Only the guaranteed Best Estimate of obligations stemming from products providing a guaranteed rate shall be considered. The Future Discretionary Benefits shall not be considered.
C0030/R0100	Average duration of insurance and reinsurance obligations — Up to 0.5 per cent	Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was up to 0,5 % (inclusive).
C0030/R0110 to R0200	Average duration of insurance and reinsurance obligations — Average duration of insurance and reinsurance obligations	Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was in the correspondent interval. The lower reference is exclusive and the higher reference is inclusive.
C0030/R0210	Average duration of insurance and reinsurance obligations — Above 8.0 per cent	Residual Macaulay duration of the insurance and reinsurance obligations for which the interest rate as determined by the insurance or reinsurance undertaking in accordance with the laws, regulations and administrative provisions which are adopted pursuant to Article 20 of Directive 2002/83/EC at the last date of the application of that Directive was above 8,0 % (exclusive).