(43)

Article 86 is amended as follows: paragraph 1 is amended as follows: the following point is inserted: ; the prudent deterministic valuation referred to in Article 77(8) as well as the conditions under which that valuation may be used to value the best estimate of technical provisions with options and guarantees’ point (b) is replaced by the following: ; the methodologies, principles and techniques for the determination of the relevant risk-free interest rate term structure to be used to calculate the best estimate referred to in Article 77(2), in particular: the formula for the extrapolation referred to in Article 77a(1), including the parameters that determine the convergence speed of the extrapolation; the method for the determination of the depth, liquidity and transparency of markets for financial instruments referred to in Article 77a(1); the currency related percentages below which the share of bonds with maturities longer than or equal to a given maturity among all bonds shall be regarded as low for the purposes of Article 77a(1); the phasing-in mechanism referred to in Article 77a(2);’ point (i) is replaced by the following: The risk correction shall never exceed an appropriate percentage of the long-term average spreads.’ ; methods and assumptions for the calculation of the volatility adjustment referred to in Article 77d, including the following: a formula for the calculation of the credit spread sensitivity ratio referred to in Article 77d(3) and (4); for each relevant asset class, the percentage of the spread that represents the portion of the spread that is attributable to a realistic assessment of expected losses, unexpected credit risk or any other risk, to be calculated as referred to in Article 77d(3); such percentage shall decrease as spreads increase, taking into account at least the following three cases: 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. the following paragraphs are inserted: ‘1a. The Commission may supplement this Directive by adopting delegated acts in accordance with Article 301a laying down criteria for assets to be eligible to be included in the portfolio of assets referred to in Article 77b(1), point (a). 1b. Where the periodical review of the Cost-of-Capital rate referred to in Article 77(5) concludes that the assumed value is no longer appropriate, the Commission may adopt a delegated act amending the assumed value of the Cost-of-Capital rate set out in Article 77(6). The Commission may only set the assumed value of the Cost-of-Capital rate at a level that is not lower than 4 % and not higher than 5 %.’ ; the following paragraph is inserted: ‘2a. In order to ensure uniform conditions of application of Article 77(8), EIOPA shall develop draft implementing technical standards specifying the methodology to determine the set of scenarios to be used for the prudent deterministic valuation of the best estimate for life obligations referred to in that paragraph. EIOPA shall submit those draft implementing technical standards to the Commission by 29 January 2026. Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph of this paragraph in accordance with Article 15 of Regulation (EU) No 1094/2010.’ ;

← (e) · All articles · (a) →

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