(a)

paragraphs 1 to 4 are replaced by the following: ‘1. Member States shall ensure that an insurance or reinsurance undertaking may apply a volatility adjustment to the relevant risk-free interest rate term structure to calculate the best estimate referred to in Article 77(2) subject to prior approval by the supervisory authorities where at least the following conditions are met: 1a. Notwithstanding paragraph 1 of this Article, insurance and reinsurance undertakings that applied a volatility adjustment to the relevant risk-free interest rate term structure to calculate the best estimate referred to in Article 77(2) before 29 January 2026 may, without prior approval by the supervisory authority, continue applying a volatility adjustment provided that they comply with the conditions for prior approval under paragraph 1 of this Article as of 30 January 2027. 1b. Member States shall ensure that supervisory authorities have the power to require an insurance or reinsurance undertaking to stop applying a volatility adjustment to the relevant risk-free interest rate term structure to calculate the best estimate referred to in Article 77(2) where the undertaking no longer meets the conditions for prior approval laid down by national law in accordance with paragraph 1 of this Article. When an undertaking restores compliance with those conditions, it may request prior approval from the supervisory authorities to apply a volatility adjustment to the relevant risk-free interest rate term structure to calculate the best estimate pursuant to paragraph 1 of this Article. 1c. Insurance and reinsurance undertakings may, subject to prior approval by the supervisory authority, apply an undertaking-specific adjustment to the risk-corrected spread of the currency referred to in paragraph 3, where: The adjustment shall correspond to the lower of 105 % and the ratio of the risk-corrected spread calculated based on the undertaking’s portfolio of investments in debt instruments and the risk-corrected spread calculated on the basis of the reference portfolio for the relevant currency. The risk-corrected spread based on the undertaking’s portfolio of investments in debt instruments shall be calculated in the same manner as the risk-corrected spread based on the reference portfolio for the relevant currency, but using undertaking-specific data on the weights and the average duration of the relevant sub-classes within the undertaking’s portfolio of investments in debt instruments for the relevant currency. Where the adjustment is applied, the volatility adjustment shall not be increased by the macro volatility adjustment referred to in paragraph 4. Insurance and reinsurance undertakings shall immediately stop applying the adjustment when it increases the risk-corrected spread of the currency referred to in paragraph 3 for two consecutive quarterly reporting periods. 2. For each relevant currency, the volatility adjustment to the relevant risk-free interest rate term structure shall be based on the spread between the interest rate that could be earned from a reference portfolio of investments in debt instruments for that currency and the rates of the relevant basic risk-free interest rate term structure for that currency. The reference portfolio of investments in debt instruments for a currency shall be representative for the assets which are denominated in that currency and in which insurance and reinsurance undertakings invest to cover the best estimate for insurance and reinsurance obligations denominated in that currency. 3. The amount of the volatility adjustment to risk-free interest rates for a currency shall be calculated as follows: VAcu= 85 % · CSSRcu · RCScu where: VAcu shall apply to the relevant risk-free interest rates of the term structure that are not derived by means of extrapolation in accordance with Article 77a. Where the extrapolated part of the relevant risk-free interest rates takes into account information from financial instruments other than bonds pursuant to Article 77a(1), VAcu shall also apply to risk-free interest rates derived from those financial instruments. The extrapolation of the relevant risk-free interest rate term structure shall be based on those adjusted risk-free interest rates. CSSRcu shall not be negative and not be higher than one. It shall take values lower than one where the sensitivity of the assets of an insurance or reinsurance undertaking in a currency to changes in credit spreads is lower than the sensitivity of the technical provisions of that undertaking in that currency to changes in interest rates. RCScu shall be calculated as the difference between the spread referred to in paragraph 2 and the portion of that spread that is attributable to a realistic assessment of expected losses or unexpected credit or other risk of the assets. The portion of the spread that is attributable to a realistic assessment of expected losses, unexpected credit risk or any other risk shall be calculated as a percentage of spreads. That percentage shall decrease as spreads increase and shall at least differentiate the following three cases: The risk correction shall never exceed an appropriate percentage of the long-term average spreads. By way of derogation from the first subparagraph, insurance and reinsurance undertakings having their head office in a Member State with a currency pegged to the euro which complies with the detailed criteria for the adjustments for currencies pegged to the euro for the purpose of facilitating the calculation of the currency risk sub-module, as established pursuant to Article 111(1), point (p), when calculating the volatility adjustment to risk-free interest rates for the pegged currency and the volatility adjustment to risk-free interest rates for the euro, shall be allowed to calculate a single CSSRcu for both their local currency and the euro, by jointly taking into account the assets and liabilities denominated in euro and their local currency. 4. Without prejudice to paragraph 1c, the volatility adjustment for the euro shall be increased by a macro volatility adjustment. The macro volatility adjustment shall be calculated as follows: VAEuro,macro= 85 %·CSSREuro·max(RCSco- 1,3·RCSEuro;0)·ωco where: CSSREuro shall be calculated as the credit spread sensitivity ratio of an insurance or reinsurance undertaking for the euro in accordance with paragraph 3. RCSco shall be calculated in the same way as the risk-corrected spread for the euro under paragraph 3, but based on a reference portfolio that is representative for the assets which insurance and reinsurance undertakings are investing in to cover the best estimate for insurance and reinsurance obligations of products sold in the insurance market of that country and denominated in euro. RCSEuro is calculated as the risk-corrected spread for the euro in accordance with paragraph 3. The country adjustment factor referred to in the first subparagraph, point (e), shall be calculated as follows: ωco= max(min (((RCSco*-0,6 %)/0,3 %);1);0) Where RCSco* is the risk-corrected spread for the country co as referred to in the first subparagraph, point (c), multiplied by the percentage of investments in debt instruments relative to total assets held by insurance and reinsurance undertakings authorised in country co . 4a. To calculate the spread underlying the volatility adjustment, for each currency and each country, the spread referred to in paragraphs 2 and 4 shall be the value weighted sum of the average currency spread on government bonds and the average currency spread on bonds other than government bonds, loans, and securitisations. For the purposes of that calculation, the respective weights shall be the ratio of the value of government bonds included in the reference portfolio of assets for that currency or country and the value of all assets included in that reference portfolio, and the ratio of the value of bonds other than government bonds, loans and securitisations included in the reference portfolio of assets for that currency or country and the value of all assets included in that reference portfolio.’ ; the volatility adjustment for a given currency is applied in the calculation of the best estimate of all insurance and reinsurance obligations of the undertaking denominated in that currency where the relevant risk-free interest rate term structure used to calculate the best estimate for those obligations does not include a matching adjustment as referred to in Article 77b; the undertaking demonstrates to the satisfaction of the supervisory authority that it has adequate processes in place to calculate the volatility adjustment pursuant to paragraphs 3 and 4 of this Article. the risk-corrected spread exceeded the risk-corrected spread calculated on the basis of the undertaking’s portfolio of investments in debt instruments for the four quarterly reporting periods prior to the reporting date; and the information that is inherent to the relevant assets of the undertaking and that is reported by the undertaking in line with Article 35(1) to (4) is of sufficient quality to allow a robust and reliable calculation of that adjustment. VAcu is the volatility adjustment for a currency cu ; CSSRcu is the credit spread sensitivity ratio of an insurance or reinsurance undertaking for the currency cu ; RCScu is the risk-corrected spread for the currency cu . where spreads do not exceed their long-term average; where spreads exceed their long-term average but do not exceed twice their long-term average; where spreads exceed twice their long-term average. VAEuro,macro is the macro volatility adjustment for a country co ; CSSREuro is the credit spread sensitivity ratio of an insurance or reinsurance undertaking for the euro; RCSco is the risk-corrected spread for the country co ; RCSEuro is the risk-corrected spread for the euro; ωco is the country adjustment factor for country co .

← (41) · All articles · (a) →

Source: EUR-Lex (Cellar) · retrieved 2026-10-14 · Text as adopted (Official Journal); later amendments are not incorporated in this text.