6
Disclosure
6.1
Firms are reminded of the disclosure requirements set out in the Commission Delegated Regulation. In particular:
(i) the impact of a change to zero of the VA on firms’ financial position as defined in Article 296 (2)(e) must be disclosed in the Solvency and Financial Condition Report. No compensation should be included in this calculation, for example via switching off other model components, such as the modelling of sovereign risk; and
(ii) to further facilitate this, the disclosures should quantify the DVA benefit and provide an explanation of firms’ DVA methodology.
- 17/10/2018