Question ID: 315
Regulation Reference: Risk-Free Interest Rate - General questions
Article: 43
Status: Final
Date of submission: 23 Jul 2015
Question
The calculation of Spot_NO_VA_shock_DOWN starts with:
1 -0.018%
2 -0.018%
3 0.009%
I belief this is not conform article SCR.5.26. of document
Technical Specification for the Preparatory Phase (Part I) of 30 April 2014.
Has something changed?
EIOPA answer
The Delegated Regulation on Solvency II stipulates that the shock for negative basic risk-free interest rates is nil. The published shocked term structures are based on the Delegated Regulations. This downward shock differs from the outdated Technical Specifications.
Insurance and reinsurance undertakings should base their preparations for Solvency II on the Delegated Regulations, see EIOPA's announcement on the Technical Specification beginning of this year.