EIOPA published extraordinary information for Solvency II Risk Free Interest Rate (RFR) Term Structures and Symmetric Adjustment to Equity Risk with reference to March 24, 2020. Due to COVID-19 outbreak, in the coming week, EIOPA will carry out extraordinary calculations on weekly basis to monitor the evolution of RFR interest rate term structures and the symmetric adjustment to equity risk. EIOPA is publishing this information to support insurance and reinsurance undertakings in the monitoring of their solvency and financial position.
The information will be published on a specific area of the website created for this purpose both for RFR and symmetric adjustment to equity risk named “Extraordinary weekly updates.” RFR information has been calculated applying the content of the technical documentation published on October 01, 2019 and based on RFR coding released on October 08, 2019.
- Press Release
- RFR Rate Term Structures
- Symmetric Adjustment to Equity Risk
- Technical Documentation, October 2019 (PDF)
Keywords: Europe, EU, Insurance, RFR Calculation, Solvency II, Reporting, Risk-Free Interest Rate, RFR Coding, COVID-19, Reinsurance, EIOPA
Previous ArticleEC Consults on Renewed Sustainable Finance Strategy
ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.
ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).
ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.
ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.
EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).
APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.
FED released hypothetical scenarios for a second round of stress tests for banks.
FED is proposing to temporarily revise the capital assessments and stress testing reports (FR Y-14A/Q/M) to implement the changes necessary to conduct stressed analysis in connection with the re-submission of capital plans, using data as of June 30, 2020.
FED adopted a proposal to extend for three years, with revision, the information collection under the market risk capital rule (FR 4201; OMB No. 7100-0314).
EBA published a voluntary online survey seeking input from credit institutions on their practices and future plans for Pillar 3 disclosures on the environmental, social, and governance (ESG) risks.