New risk-free rate calculation for long-term guarantees test

abacus accounting

The European Insurance and Occupational Pensions Authority (Eiopa) has changed the way the Solvency II risk-free rate is calculated for the long-term guarantees impact assessment that is due to begin next week.

The authority, which is overseeing the test that is due to start on Monday, has increased the credit risk adjustment that is applied to the 3-month Libor rate that is used as the reference rate for the discount rate under Solvency II.

Insurers will now need to apply a 20 to 35-basis-point

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