The European Commission Implementing Regulation (EU) 2016/869 (the Implementing Regulation) setting out information for the calculation of technical provisions and basic own funds for reporting with reference dates from 31 March 2016 until 29 June 2016 in accordance with the Solvency II Directive (2009/138/EC) was published in the Official Journal of the EU (OJ) on 3 June 2016.
The Implementing Regulation is based on technical information provided to the Commission by EIOPA relating to end March 2016 market data.
The Implementing Regulation, which is made pursuant to Article 77e(2) of Solvency II, sets out the technical information that insurers and reinsurers should use when calculating technical provisions and basic own funds for reporting with reference dates from 31 March 2016 until 29 June 2016.
For each currency, the technical information to calculate the best estimate, the matching adjustment (MA) and the volatility adjustment (VA) (in accordance with Articles 77, 77c and 77d of Solvency II respectively) is as follows:
- The relevant risk-free rate term structures set out in Annex I.
- The fundamental spreads for the calculation of the MA set out in Annex II.
- For each relevant national insurance market, the VA set out in Annex III.
The Implementing Regulation, which applies from 31 March 2016, entered into force on 4 June 2016 (the day after its publication in the OJ).
A copy of the Implementing Regulation can be found at: http://tinyurl.com/grvyalp