EC Rule Sets Out Technical Information for Solvency II Calculations
The European Commission (EC) published the Implementing Regulation 2021/1964 setting out technical information for calculation of technical provisions and basic own funds for reporting with reference dates from September 30, 2021 to December 30, 2021. This Regulation, which is in accordance with the Solvency II Directive, shall enter into force on the day following that of its publication in the Official Journal of the European Union. It shall apply from September 30, 2021.
Under this regulation, insurance and reinsurance undertakings shall use the provided technical information when calculating technical provisions and basic own funds for reporting with reference dates from September 30, 2021 to December 30, 2021. For each relevant currency, the technical information used to calculate the best estimate in accordance with Article 77 of Solvency II Directive, 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:
- Relevant risk-free rate term structures, as set out in Annex I
- Fundamental spreads for the calculation of the matching adjustment, as set out in Annex II
- Volatility adjustments for each relevant national insurance market, as set out in Annex III
Related Link: Regulation 2021/1964
Effective Date: November 13, 2021
Keywords: Europe, EU, Insurance, Reinsurance, Solvency II, Technical Provisions, Reporting, Volatility Adjustment, Matching Adjustment, Own Funds, EC
Featured Experts
Adam Koursaris
Asset and liability management expert; capable modeler; risk and capital specialist
Cassandra Hannibal
Life insurance actuary; risk management and economic capital specialist
Jerome Ogrodzki
Insurance asset and liabilities modeling specialist; stochastic modeling expert
Previous Article
FINMA Identifies Key Risks, Issues Update on Climate Risk WorkRelated Articles
EBA Clarifies Use of COVID-19-Impacted Data for IRB Credit Risk Models
The European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using the internal ratings based (IRB) credit risk models.
BIS Hub Updates Work Program for 2022, Announces New Projects
The Bank for International Settlements (BIS) Innovation Hub updated its work program, announcing a set of projects across various centers.
US Senate Members Seek Details on SEC Proposed Climate Disclosure Rule
Certain members of the U.S. Senate Committee on Banking, Housing, and Urban Affairs issued a letter to the Securities and Exchange Commission (SEC)
EIOPA Consults on Review of Securitization Framework in Solvency II
The European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the advice on the review of the securitization prudential framework in Solvency II.
UK Authorities Issue Regulatory and Reporting Updates for Banks
The Prudential Regulation Authority (PRA) issued a statement on PRA buffer adjustment while the Bank of England (BoE) published a notice on the statistical reporting requirements for banks.
BaFin Consults on Resolvability Requirements for Resolution Planning
The Federal Financial Supervisory Authority of Germany (BaFin) proposed to amend the “Capital Investment Conduct And Organization Ordinance” and issued a draft circular on the minimum resolvability requirements for resolution planning.
EBA Consults on Certain Standards and Guidelines Under CRR and BRRD
The European Banking Authority (EBA) proposed guidelines, for the resolution authorities, on the publication of the write-down and conversion and bail-in exchange mechanic, with the comment period ending on September 07, 2022.
OJK Publishes Regulatory Updates for Financial Sector Entities
The Financial Services Authority of Indonesia (OJK) is strengthening cooperation with the Australian Prudential Regulation Authority (APRA) and the Japanese Financial Services Agency (JFSA)
EU Publishes Rules on DLT and Data Governance
The European Parliament and the Council published Regulation 2022/868 on European data governance (Data Governance Act).
EBA Publishes Phase 2 of Reporting Framework 3.2
The European Banking Authority (EBA) published phase 2 of its reporting framework 3.2. The technical package supports the implementation of the updated reporting framework by providing standard specifications
