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Recital 22

Recital 22

(22)The extrapolation method used to value long-term liabilities contributes to smoothening the effect of changes in interest rates on the best estimate of insurance liabilities. The current standard formula capital requirements to interest rate risk do, however, not reflect the extrapolation of long-term interest rates. It is therefore necessary to require that stressed interest rates at maturities beyond the first smoothing point are extrapolated.

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