Paragraph 21

Laying down the following—

(a)

actuarial and statistical methodologies to calculate the best estimate^f1;

(b)

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^f2;

(c)

the circumstances in which technical provisions must be calculated as a whole, or as a sum of a best estimate and a risk margin, and the methods to be used in the case where technical provisions are calculated as a whole^f3;

(d)

the methods and assumptions to be used in the calculation of the risk margin including the determination of the amount of eligible own funds necessary to support the insurance and reinsurance obligations and the calibration of the cost-of-capital rate^f4;

(e)

the lines of business on the basis of which insurance and reinsurance obligations are to be segmented in order to calculate technical provisions^f5;

(f)

the standards to be met with respect to ensuring the appropriateness, completeness and accuracy of the data used in the calculation of technical provisions, and the specific circumstances in which it would be appropriate to use approximations, including case-by-case approaches, to calculate the best estimate^f6;

(g)

specifications with respect to the requirements as to the matching adjustment to the relevant risk-free interest rate term structure set out in regulation 39 and 42 of the Solvency 2 Regulations 2015^f7, including the methods, assumptions and standard parameters to be used when calculating the impact of the mortality risk stress referred to in regulation 42(4)(h)^f8 of the Solvency 2 Regulations 2015;

(h)

specifications with respect to the requirements for the calculation of the matching adjustment^f9 including assumptions and methods to apply in the calculation of the matching adjustment and the fundamental spread;

(i)

methods and assumptions for the calculation of the volatility adjustment in regulation 43 of the Solvency 2 Regulations 2015^f10, including a formula for the calculation of the spread referred to in regulation 4B(3) and (6) of those Regulations.

Annotations

Footnotes

f1: Article 77(2) of the Solvency 2 Directive.
f2: Article 77(2) of the Solvency 2 Directive
f3: Article 77(4) of the Solvency 2 Directive.
f4: Article 77(5) of the Solvency 2 Directive.
f5: Article 80 of the Solvency 2 Directive.
f6: Article 82 of the Solvency 2 Directive.
f7: S.I. 2015/575.
f8: Article 77(1)(e) of the Solvency 2 Directive.
f9: Article 77c of the Solvency 2 Directive.
f10: Article 77d of the Solvency 2 Directive.