What changed between the plenary report and the adopted text

Removed:Where the adjustment is applied, the volatility adjustment shall not be increased by a macro volatility adjustment as referred to in paragraph 4.

Removed:Insurance and reinsurance undertakings shall immediately stop applying this adjustment when it increases the risk-corrected spread of the currency referred to in paragraph 3 for four consecutive quarterly reporting periods.’;

Removed:(c) paragraphs 2 to 4 are replaced by the following:

Removed:‘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.

Removed:The reference portfolio of investments in debt instruments for a currency shall be representative for the assets which are denominated in that currency and which insurance and reinsurance undertakings are invested in to cover the best estimate for insurance and reinsurance obligations denominated in that currency.

Removed:For each currency and each country, the spread referred to in subparagraph 1 shall be the value weigthed sum of the average currency spread on government bonds and the average currency spread on bonds other than government bonds, loans, and securitisations.

Removed:3. The amount of the volatility adjustment to risk-free interest rates for a currency shall be calculated as follows:

Removed:Where:

Removed:(a) VAcu is the volatility adjustment for a currency cu;

Removed:(b) CSSRcu is the credit spread sensitivity ratio of an insurance or reinsurance undertaking for the currency cu;

Removed:(c) RCScu is the risk-corrected spread for the currency cu.

Removed: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.

Removed:RSCcu 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.

Removed: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.

Removed: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 in the same manner as the fundamental spread referred to in Article 77c(2).

Removed: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)(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.

Removed:4. For the euro, the volatility adjustment shall be increased by a macro volatility adjustment. The macro volatility adjustment shall be calculated as follows:

Removed:Where:

Removed:(a)VAEuro,macro is the macro volatility adjustment for a country co;

Removed:(b) CSSREuro is the credit spread sensitivity ratio of an insurance or reinsurance undertaking for the euro;

Removed:(c) RCSco is the risk-corrected spread for the country co;

Removed:(d) RCSEuro is the risk-corrected spread for the euro;

Removed:(e) wco is the country adjustment factor for country co.

Removed:CSSREuro shall be calculated as the credit spread sensitivity ratio of an insurance or reinsurance undertaking for the euro in accordance with paragraph 3.

Removed: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.

Removed:RSCEuro is calculated as the risk-corrected spread for the euro in accordance with paragraph 3.

Removed:The country adjustment factor referred to in point (e) shall be calculated as follows:

Removed:Where RSCco* is the risk-corrected spread for the country co as referred to in the first subparagraph, point (d), multiplied by the percentage of investments in debt instruments relative to total assets held by insurance and reinsurance undertakings authorised in country co.’;

Removed:(39) Article 77e is amended as follows:

Removed:(a) paragraph 1 is amended as follows:

Removed:(i) the following point (aa) is inserted:

Removed:‘(aa) for the purposes of the disclosures pursuant to Article 51(8), a relevant risk-free interest rate term structure without any matching adjustment or volatility adjustment and determined without the application of the transitional for the extrapolation as set out in paragraph 2 of that Article;’;

Removed:(ii) point (c) is replaced by the following:

Removed:‘(c) for each relevant currency and national insurance market a risk-corrected spread referred to in Article 77d(3) and (4) respectively;’;

Removed:(iii) following point (d) is added:

Removed:‘(d) for each relevant Member State, the percentage of investments in debt instruments relative to total assets held by insurance and reinsurance undertakings authorised in the country as referred to in Article 77d(4).’;

Removed:(b) the following paragraph 1a is inserted:

Removed:‘1a. EIOPA shall lay down and publish, at least on an annual basis, for each relevant currency and each maturity where the markets for relevant financial instruments or bonds of that maturity are deep, liquid and transparent, the percentage of bonds with that or a longer maturity among all bonds denominated in that currency as referred to in Article 77a(1);’;

Removed:(c) in paragraph 2, the first subparagraph is replaced by the following:

Removed:‘In order to ensure uniform conditions for the calculation of technical provisions and basic own funds, the Commission may adopt implementing acts which set out, for each relevant currency, the technical information referred to in paragraph 1 of this Article and the first smoothing point pursuant to Article 77a(1). Those implementing acts may make use of the information published by EIOPA pursuant to paragraph 1 of this Article.’;

Removed:(d) in paragraph 3, the second subparagraph is replaced by the following:

Removed:‘With respect to currencies where the risk-corrected spread referred to in paragraph 1, point (c), is not set out in the implementing acts referred to in paragraph 2, no volatility adjustment shall be applied to the relevant risk-free interest rate term structure to calculate the best estimate. With respect Member States whose currency is the euro and where the risk-corrected spread referred to in paragraph 1, point (c), and the percentage referred to in paragraph 1, point (d), are not set out in the implementing acts referred to in paragraph 2, no macro volatility adjustment shall be added to the volatility adjustment.’;

Removed:(e) the following paragraph 4 is added:

Removed:‘4. For the purposes of paragraph 2 of this Article, a first smoothing point for a currency set out in an implementing act shall not be modified, unless an assessment of the percentages of bonds with maturity larger than or equal to a given maturity among all bonds denominated in that currency indicates a different first smoothing point pursuant to Article 77a(1) and the percentage set out in delegated acts referred to in Article 86(1), point (b) (iii) for at least two consecutive years.’;

Removed:(40) Article 86 is amended as follows:

Removed:(a) paragraph 1 is amended as follows:

Removed:(i) the following point (aa) is inserted:

Removed:‘(aa) the prudent deterministic valuation referred to in Article 77(7) as well as the conditions under which that valuation may be used to value the best estimate of technical provisions with options and guarantees.’;

Removed:(ii) point (b) is replaced by the following:

Removed:‘(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 referred to in Article 77(2), in particular:

Removed:(i) the formula for the extrapolation referred to in Article 77a(1), including the parameters that determine the convergence speed of the extrapolation;

Removed:(ii) the method for the determination of the depth, liquidity and transparency of bond markets referred to in Article 77a(1);

Removed:(iii) the percentage 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);’;

Removed:(iii) point (i) is replaced by the following:

Removed:‘(i) methods and assumptions for the calculation of the volatility adjustment referred to in Article 77d, including the following:

Removed:(i) a formula for the calculation of the spread referred to in paragraph 2 of that Article;

Removed:(ii) a formula for the calculation of the credit spread sensitivity ratio referred to in paragraphs 3 and 4 of that Article ;

Removed:(iii) for each relevant asset class, the percentage of the spread that represents the portion attributable to a realistic assessment of expected losses or unexpected credit or other risks of the assets as referred to in Article 77d(3);

Removed:(iv) the transitional mechanism as referred to in Article 77a(2);’;

Removed:(b) the following paragraph 1a is inserted: