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art_2__point_10__point_b__text_2

European Securities and Markets Authority
Directive 2014/51/EU of the European Parliament and of the Council of 16 April 2014 amending Directives 2003/71/EC and 2009/138/EC and Regulations (EC) No 1060/2009, (EU) No 1094/2010 and (EU) No 1095/2010 in respect of the powers of the European Supervisory Authority (European Insurance and Occupational Pensions Authority) and the European Supervisory Authority (European Securities and Markets Authority) · European Union

‘2a. As regards asset-liability management, insurance and reinsurance undertakings shall regularly assess: (a) the sensitivity of their technical provisions and eligible own funds to the assumptions underlying the extrapolation of the relevant risk-free interest rate term structure referred to in Article 77a; (b) where the matching adjustment referred to in Article 77b is applied: (i) the sensitivity of their technical provisions and eligible own funds to the assumptions underlying the calculation of the matching adjustment, including the calculation of the fundamental spread referred to in Article 77c(1)(b), and the possible effect of a forced sale of assets on their eligible own funds; (ii) the sensitivity of their technical provisions and eligible own funds to changes in the composition of the assigned portfolio of assets; (iii) the impact of a reduction of the matching adjustment to zero; (c) where the volatility adjustment referred to in Article 77d is applied: (i) the sensitivity of their technical provisions and eligible own funds to the assumptions underlying the calculation of the volatility adjustment and the possible effect of a forced sale of assets on their eligible own funds; (ii) the impact of a reduction of the volatility adjustment to zero. Insurance and reinsurance undertakings shall submit the assessments referred to in points (a), (b) and (c) of the first subparagraph annually to the supervisory authority as part of the information reported under Article 35. Where the reduction of the matching adjustment or the volatility adjustment to zero would result in non-compliance with the Solvency Capital Requirement, the undertaking shall also submit an analysis of the measures it could apply in such a situation to re-establish the level of eligible own funds covering the Solvency Capital Requirement or to reduce its risk profile to restore compliance with the Solvency Capital Requirement. Where the volatility adjustment referred to in Article 77d is applied, the written policy on risk management referred to in Article 41(3) shall comprise a policy on the criteria for the application of the volatility adjustment.’;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-20 · Text as adopted (Official Journal); later amendments are not incorporated in this text.