EC Sets Out Updated Technical Information for Solvency II Calculations
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.
Related Links
Effective Date: August 04, 2020
Keywords: Europe, EU, Insurance Solvency II, Reporting, Basic Own Funds, Volatility Adjustment, Matching Adjustment, Technical Provisions, Regulation 2020/1145
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Dieter Van der Stock
IFRS subject matter expert; LDTI subject matter expert; accounting authority; risk management specialist
Previous Article
EBA Releases Erratum for Phase 2 Package on Reporting Framework 2.10Related Articles
ESAs Issue Multiple Regulatory Updates for Financial Sector Entities
The three European Supervisory Authorities (ESAs) issued a letter to inform about delay in the Sustainable Finance Disclosure Regulation (SFDR) mandate, along with a Call for Evidence on greenwashing practices.
ISSB Makes Announcements at COP27; IASB to Propose IFRS 9 Amendments
The International Sustainability Standards Board (ISSB) of the IFRS Foundations made several announcements at COP27 and with respect to its work on the sustainability standards.
IOSCO Prioritizes Green Disclosures, Greenwashing, and Carbon Markets
The International Organization for Securities Commissions (IOSCO), at COP27, outlined the regulatory priorities for sustainability disclosures, mitigation of greenwashing, and promotion of integrity in carbon markets.
EBA Finalizes Methodology for Stress Tests, Issues Other Updates
The European Banking Authority (EBA) issued a statement in the context of COP27, clarified the operationalization of intermediate EU parent undertakings (IPUs) of third-country groups
OSFI Sets Out Work Priorities and Reporting Updates for Banks
The Office of the Superintendent of Financial Institutions (OSFI) published an annual report on its activities, a report on forward-looking work.
APRA Finalizes Changes to Capital Framework, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) finalized amendments to the capital framework, announced a review of the prudential framework for groups.
BIS Hub and Central Banks Conduct CBDC and DeFI Pilots
The Bank for International Settlements (BIS) Innovation Hubs and several central banks are working together on various central bank digital currency (CBDC) pilots.
ECB Sets Deadline for Banks to Meet Its Climate Risk Expectations
The European Central Bank (ECB) published the results of its thematic review, which shows that banks are still far from adequately managing climate and environmental risks.
ESAs, ECB, & EC Issue Multiple Regulatory Updates for Financial Sector
Among its recent publications, the European Banking Authority (EBA) published the final standards and guidelines on interest rate risk arising from non-trading book activities (IRRBB)
EC Adopts Final Rules Under CRR, BRRD, and Crowdfunding Regulation
The European Commission (EC) recently adopted regulations with respect to the calculation of own funds requirements for market risk, the prudential treatment of global systemically important institutions (G-SIIs)
