On August 8, 2016, the European Commission adopted an Implementing Regulation laying down information for the calculation of technical provisions and basic own funds for reporting with reference dates from June 30 until September 29, 2016 (that is, the third quarter of 2016) in accordance with the Solvency II Directive (2009/138/EC).
In the Regulation, technical information on relevant risk-free interest rate term structures, fundamental spreads for the calculation of the matching adjustment and volatility adjustments are formulated for every reference date, in order to guarantee uniform conditions for the calculation of technical provisions and basic own funds by insurance and reinsurance undertakings for the purposes of Solvency II.
The technical information to be used by insurance and reinsurance undertakings when calculating technical provisions and basic own funds for reporting with reference dates from June 30 until September 29, 2016 are detailed in the annexes to the Implementing Regulation, as follows:
- Annex 1: the relevant risk-free rate term structures
- Annex 2: the fundamental spreads for the calculation of the matching adjustment
- Annex 3: the volatility adjustments for each relevant national market
The Regulation will enter into force the day after it has been published in the Official Journal of the EU (OJ). It will apply from June 30, 2016.