Final Report on RTS on simplified calculation of the risk margin - Solvency II Review

The Solvency II review introduces an exponential and time-dependent element (the so-called “lambda factor”) into the calculation of the risk margin to better account for the time dependency of risks and reduce both the amount of the risk margin for long-term liabilities and its sensitivity to interest rate changes. To implement this change, a new RTS was needed to align references in the Delegated Regulation.