EC published the Implementing Regulation 2020/1145, which lays down technical information for calculation of technical provisions and basic own funds. This technical information is relevant for reporting with reference dates from June 30, 2020 to September 29, 2020, in accordance with the Solvency II Directive. This regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
Insurance and reinsurance undertakings shall use the technical information in this regulation when calculating technical provisions and basic own funds for reporting with reference dates from June 30, 2020 until September 29, 2020. For each relevant currency, the technical information used to calculate the best estimate in accordance with Article 77 of Solvency II Directive (2009/138/EC), the matching adjustment in accordance with Article 77c of that Directive, and the volatility adjustment in accordance with Article 77d of that Directive shall be the following:
- The relevant risk-free rate term structures, as set out in Annex I
- The fundamental spreads for calculation of the matching adjustment, as set out in Annex II
- The volatility adjustments for each relevant national insurance market, as set out in Annex III
On July 03, 2020, EIOPA provided EC with the technical information related to end of June 2020 market data. Given the need for the immediate availability of the technical information, it is important that this regulation enters into force as a matter of urgency. For prudential reasons, it is necessary that insurance and reinsurance undertakings use the same technical information for calculating technical provisions and basic own funds, irrespective of the date on which they report to their competent authorities. This regulation should, therefore, apply from the first reporting reference date (that is, June 30, 2020) to which this regulation applies.
Effective Date: August 04, 2020
Keywords: Europe, EU, Insurance Solvency II, Reporting, Basic Own Funds, Volatility Adjustment, Matching Adjustment, Technical Provisions, Regulation 2020/1145
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