lexiara

(a)

Directive (EU) 2025/2 of the European Parliament and of the Council of 27 November 2024 amending Directive 2009/138/EC as regards proportionality, quality of supervision, reporting, long-term guarantee measures, macro-prudential tools, sustainability risks and group and cross-border supervision, and amending Directives 2002/87/EC and 2013/34/EU (Text with EEA relevance) · European Union

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.

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