1.The Commission shall adopt delegated acts in accordance with Article 301a laying down the following:
actuarial and statistical methodologies to calculate the best estimate referred to in Article 77(2);
the prudent deterministic valuation referred to in Article 77(8) as well as the conditions under which that valuation may be used to value the best estimate of technical provisions with options and guarantees;
the methodologies, principles and techniques for the determination of the relevant risk-free interest rate term structure to be used to calculate the best estimate referred to in Article 77(2), in particular:
the formula for the extrapolation referred to in Article 77a(1), including the parameters that determine the convergence speed of the extrapolation;
the method for the determination of the depth, liquidity and transparency of markets for financial instruments referred to in Article 77a(1);
the currency related percentages below which the share of bonds with maturities longer than or equal to a given maturity among all bonds shall be regarded as low for the purposes of Article 77a(1);
the phasing-in mechanism referred to in Article 77a(2);
the circumstances in which technical provisions shall be calculated as a whole, or as a sum of a best estimate and a risk margin, and the methods to be used in the case where technical provisions are calculated as a whole, as referred to in Article 77(4);
the methods and assumptions to be used in the calculation of the risk margin including the determination of the amount of eligible own funds necessary to support the insurance and reinsurance obligations and the calibration of the cost-of-capital rate, as referred to in Article 77(5);
the lines of business on the basis of which insurance and reinsurance obligations are to be segmented in order to calculate technical provisions referred to in Article 80;
the standards to be met with respect to ensuring the appropriateness, completeness and accuracy of the data used in the calculation of technical provisions, and the specific circumstances in which it would be appropriate to use approximations, including case-by-case approaches, to calculate the best estimate, as referred to in Article 82;
specifications with respect to the requirements set out in Article 77b(1) including the methods, assumptions and standard parameters to be used when calculating the impact of the mortality risk stress referred to in Article 77b(1)(e);
specifications with respect to the requirements set out in Article 77c including assumptions and methods to apply in the calculation of the matching adjustment and the fundamental spread;
methods and assumptions for the calculation of the volatility adjustment referred to in Article 77d, including the following:
a formula for the calculation of the credit spread sensitivity ratio referred to in Article 77d(3) and (4);
for each relevant asset class, the percentage of the spread that represents the portion of the spread that is attributable to a realistic assessment of expected losses, unexpected credit risk or any other risk, to be calculated as referred to in Article 77d(3); such percentage shall decrease as spreads increase, taking into account at least the following three cases:
where spreads do not exceed their long-term average;
where spreads exceed their long-term average but do not exceed twice their long-term average;
where spreads exceed twice their long-term average.
The risk correction shall never exceed an appropriate percentage of the long-term average spreads.
1a.The Commission may supplement this Directive by adopting delegated acts in accordance with Article 301a laying down criteria for assets to be eligible to be included in the portfolio of assets referred to in Article 77b(1), point (a).
1b.Where the periodical review of the Cost-of-Capital rate referred to in Article 77(5) concludes that the assumed value is no longer appropriate, the Commission may adopt a delegated act amending the assumed value of the Cost-of-Capital rate set out in Article 77(6). The Commission may only set the assumed value of the Cost-of-Capital rate at a level that is not lower than 4 % and not higher than 5 %.
2.In order to ensure consistent harmonisation in relation to the methods for the calculation of technical provisions, EIOPA shall, subject to Article 301b, develop draft regulatory technical standards to specify:
the methodologies to be used when calculating the counterparty default adjustment referred to in Article 81 designed to capture expected losses due to default of the counterparty;
where necessary, simplified methods and techniques to calculate technical provisions, in order to ensure the actuarial and statistical methods referred to in points (a) and (d) are proportionate to the nature, scale and complexity of the risks supported by insurance and reinsurance undertakings including captive insurance and reinsurance undertakings.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1094/2010.
2a.In order to ensure uniform conditions of application of Article 77(8), EIOPA shall develop draft implementing technical standards specifying the methodology to determine the set of scenarios to be used for the prudent deterministic valuation of the best estimate for life obligations referred to in that paragraph. EIOPA shall submit those draft implementing technical standards to the Commission by 29 January 2026.
Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph of this paragraph in accordance with Article 15 of Regulation (EU) No 1094/2010.
3.In order to ensure consistent conditions of application of Article 77b, EIOPA shall develop draft implementing technical standards on the procedures for the approval of the application of a matching adjustment referred to in Article 77b(1).
EIOPA shall submit those draft implementing technical standards to the Commission by 31 October 2014.
Power is conferred on the Commission to adopt those implementing technical standards in accordance with Article 15 of Regulation (EU) No 1094/2010.