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The report provides information on:
In its analysis, EIOPA investigated the illiquidity of insurance undertakings from two different perspectives: a total balance-sheet approach with a focus on how undertakings can hold on to their investments and a liability perspective that focuses on the predictability of the timing of the cash flows.
On asset management, a key distinction is made between the length of an investment in individual assets and of an investment in an asset class when establishing the holding period of assets. Another distinction is made between actual observed investment practices in the past and undertaking's capacity to hold on to investment in times of distress.
Regarding long term guarantee measures, the report provides detailed information about the corresponding portfolios for the matching adjustment and about the reference portfolio used to calculate the volatility adjustment. The weighted average net and gross dynamic volatility adjustment impact are analysed for solo undertakings and for groups, including under a spread-widening scenario and a spread-tightening scenario.
Finally, EIOPA's findings as to market valuation of insurance liabilities are set out in the report, but were also set out in its consultation paper on the opinion on the 2020 review of Solvency II.