‘Unpleasant surprise’ casts shadow over SII adjustments

Eiopa calculations show unexpected increase in fundamental spread

Eiopa flags

European insurers say recent detail on liability discounting under Solvency II could wipe out, in some cases, up to half their solvency coverage ratio.

Data published by the European Insurance and Occupational Pensions Authority (Eiopa) in February and March, which sets out the monthly risk-free rate curve that insurers will use to discount liabilities, has revealed unexpected changes affecting two key adjustments in the directive.

At issue is the calculation of the fundamental spread, which is