05 February 2016

The European Commission adopts Implementing Act on the risk-free rate under the Solvency II Directive

This Implementing Regulation lays down technical information to be used by insurance companies when calculating technical provisions and basic own funds for reporting with reference dates from 1 January until 30 March 2016.

In  order  to  ensure uniform  conditions  for  the  calculation  of  technical  provisions  and basic own  funds by  insurance  and  reinsurance  undertakings for  the  purposes  of Directive  2009/138/EC, technical  information  on  relevant  risk-free interest rate  term structures,  fundamental  spreads  for  the  calculation  of  the  matching  adjustment  and volatility adjustments should be laid down for every reference date.

Insurance and  re-insurance  undertakings  should  use  the  technical  information,  which is  based  on  market  data related  to the end  of  the last  month preceding the first reporting reference date  to  which  this  Regulation  applies. On 14 January  2016, the European  Insurance  and  Occupational  Pensions  Authority  (EIOPA) provided the Commission with the  technical  information  related  to end  December  2015  market data.  That information was published on 13 January.

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 to which this Implementing Regulation applies.

Text of the Implementing Regulation

Annexes to the Implementing Regulation

© European Commission