On November 11, 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 September 30 until December 30, 2016, in accordance with the Solvency II Directive (2009/138/EC).
EIOPA provided the Commission with the technical information related to end of September 2016 market data on October 11, 2016, which was published in accordance with Article 77E(1) of Solvency II.
The aim is that by setting out technical information on relevant risk-free interest rate term structures, fundamental spreads for the calculation of the matching adjustment and volatility adjustments for every reference date, conditions for the calculation of technical provisions and basic own funds will be uniform across all insurance and reinsurance undertakings for the purposes of Solvency II.
The annexes to the Implementing Regulation set out the technical information to be used by reinsurance and insurance undertakings for the reference dates from September 30 to December 30, 2016, are as follows:
- Annex I: the relevant risk-free rate term structures.
- Annex II: the fundamental spreads for the calculation of the matching adjustment.
- Annex III: the volatility adjustments for each relevant national market.
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