EC Rule Updates Technical Information for Solvency II Calculations
EC published the Implementing Regulation 2020/1647 that lays down technical information for the calculation of technical provisions and basic own funds. This technical information is relevant for reporting with reference dates from September 30, 2020 to December 30, 2020, in accordance with the Solvency II Directive. The regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
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, respectively:
- 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
EIOPA had, on October 05, 2020, provided EC with the technical information for the end of September 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, September 30, 2020) to which this regulation applies.
Related Links
Effective Date: November 11, 2020
Keywords: Europe, EU, Insurance, Solvency II, Reporting, Basic Own Funds, Volatility Adjustment, Matching Adjustment, Technical Provisions, Regulation 2020/1647, EC
Featured Experts
Adam Koursaris
Asset and liability management expert; capable modeler; risk and capital specialist
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Pierre-Etienne Chabanel
Brings expertise in technology and software solutions around banking regulation, whether deployed on-premises or in the cloud.
Previous Article
BDE Updates Reporting Instructions for Banks in November 2020Related Articles
EBA Analyzes Impact of Unwind Mechanism of Liquidity Coverage Ratio
EBA published a report analyzing the impact of the unwind mechanism of the liquidity coverage ratio (LCR) for a sample of European banks over a three-year period, from the end of 2016 to the first quarter of 2020.
ECB Outlines Views on Possible Changes to AnaCredit Rule and TLTROs
In response to questions from a member of the European Parliament, the ECB President Christine Lagarde issued a letter clarifying the possibility of amending the AnaCredit Regulation and making targeted longer-term refinancing operations (TLTROs) dependent on the climate-related impact of bank loans.
IASB Begins First Phase of Post-Implementation Review of IFRS 9
IASB started the post-implementation review of the classification and measurement requirements in IFRS 9 on financial instruments and added the review as a project to its work plan.
FSB Report Examines Progress in Resolvability of Systemic Institutions
FSB published a report that examines progress in implementing policy measures to enhance the resolvability of systemically important financial institutions.
EBA Benchmarks National Insolvency Frameworks Across EU
EBA published a report on the benchmarking of national loan enforcement frameworks across 27 EU member states, in response to the call for advice from EC.
FSB Reports Assess Impact of Pandemic on Financial Stability
FSB published a letter from its Chair Randal K. Quarles, along with two reports exploring various aspects of the market turmoil resulting from the COVID-19 event.
RBNZ Consults on Implementation of Capital Review Changes
RBNZ launched a consultation on the details for implementing the final Capital Review decisions announced in December 2019.
IASB Announces Andreas Barckow as the New Chair from July 2021
The Trustees of the IFRS Foundation, which are responsible for the governance and oversight of IASB, have announced the appointment of Dr. Andreas Barckow as the IASB Chair, effective July 2021.
HKMA Consults on Capital Rules for Bank Equity Investments in Funds
HKMA issued a letter to consult the banking industry on a full set of proposed draft amendments to the Banking (Capital) Rules for implementing the Basel standard on capital requirements for banks’ equity investments in funds in Hong Kong.
ESRB Supports Extension of Macro-Prudential Measure by Swedish FSA
ESRB published an opinion assessing the decision of Swedish Financial Supervisory Authority (FSA) to extend the application period of a stricter measure for residential mortgage lending, in accordance with Article 458 of the Capital Requirements Regulation (CRR).
