​The Review of Long-Term Guarantees Measures and Measures on Equity Risk: Information Request

EIOPA requests insurance and reinsurance undertakings from the European Economic Area and subject to Solvency II to provide the following information in the context of EIOPA's 2nd Long-Term Guarantees (LTG) Report due in 2017:  

  • Impact of the symmetric adjustment mechanism to the equity risk charge on the financial position of undertakings
  • Impact of the extrapolation of risk-free interest rates on the financial position of undertakings
  • Losses due to bond defaults and downgrades of bonds in matching adjustment portfolios

Insurance undertakings are requested to complete an Excel template and submit it to the respective responsible National Supervisory Authority. The template should be filled in according to the instructions in the technical specifications and taking into account the technical information (updated on 26 April 2017).

Additional technical information can be found in Extrapolation Scenarios and Questions & Answers.

Timeline
15 June 2017
​Deadline for insurance and reinsurance undertakings to submit results to their National Supervisory Authorities
​16 July 2017
​Deadline for National Supervisory Authorities to report to EIOPA


The Long-Term Guarantees Review

The long-term guarantees (LTG) measures were introduced in the Solvency II Directive to ensure an appropriate treatment of insurance products that include long-term guarantees. The long-term guarantees measures are the following:

  • The extrapolation of risk-free interest rates
  • The matching adjustment
  • The volatility adjustment
  • The extension recovery period in case of non-compliance with the Solvency Capital Requirement
  • The transitional measure on the risk-free interest rates
  • The transitional measure on technical provisions 

The equity risk measures are the application of a symmetric adjustment mechanism to the equity risk charge and the duration-based equity risk sub-module. The measures on equity risk should ensure an appropriate allowance for equity risk in the capital requirement for insurance and reinsurance undertakings.  

According to Article 77f the Solvency II Directive requires a review of the LTG measures and the measures on equity risk by 1 January 2021. The review will consist of the following phases:

  • EIOPA's annual reports on the impact of the application of the LTG measures and the measures on equity risk to the European Parliament, the Council of the European Union and the European Commission. The reports published by EIOPA can be accessed here.
  • EIOPA's will submit an Opinion on the assessment of the application of the LTG measures and the measures on equity risk to the European Commission in 2020.
  • Based on EIOPA's Opinion the European Commission will submit a report on the impact of the LTG measures and the measures on equity risk to the European Parliament and to the Council of the European Union.