Book III: Companies

I.-In each currency, the equalisation adjustment referred to in Article R. 351-4 is calculated in accordance with the following principles: 1° The equalisation adjustment must be equal to the difference between the following amounts: a) The effective annual rate, calculated as the single discount rate which, if it were applied to the cash flows of the portfolio of insurance or reinsurance commitments, would give a value equal to the value…

I.- Insurance and reinsurance undertakings may apply a volatility adjustment to the relevant risk-free interest rate curve to be used in calculating the best estimate referred to in Article R. 351-2. For each currency concerned, the adjustment for volatility of the relevant risk-free interest rate curve is a function of the difference between the interest rate that it would be possible to withdraw from the assets included in a reference…

Insurance and reinsurance undertakings shall use the technical information developed pursuant to Article 77e of Directive 2009/138/EC of 25 November 2009 as amended to calculate the best estimate referred to in II of Article R. 351-2, the equalisation adjustment referred to in Article R. 351-5 and the volatility adjustment referred to in Article R. 351-6. For national currencies and markets for which the volatility adjustment referred to in Article R….

The Autorité de contrôle prudentiel et de résolution shall provide the European Insurance and Occupational Pensions Authority with the following information on an annual basis until 1 January 2021: a) The availability of long-term guarantees for insurance products on the French market and the practices of insurance and reinsurance undertakings as long-term investors; b) The number of insurance and reinsurance undertakings that apply the equalisation adjustment, the volatility adjustment, the…

In addition to the provisions of Article R. 351-2, insurance and reinsurance undertakings shall take into account the following items when calculating their prudential provisions within the meaning of Article L. 351-2 : 1° All expenses that will be incurred for the purpose of honouring insurance and reinsurance commitments. These expenses are determined in accordance with the procedures laid down in Article 31 of Commission Delegated Regulation (EU) No 2015/35…

When calculating their prudential technical provisions, within the meaning of Article L. 351-2, insurance and reinsurance undertakings shall take account of the value of financial guarantees and any options included in their contracts. Any assumptions made by insurance and reinsurance undertakings concerning the likelihood of policyholders, contract holders, beneficiaries and reinsured undertakings exercising the options available to them, including reduction and surrender rights, must be realistic and based on current…

When calculating their prudential technical provisions within the meaning of Article L. 351-2, insurance and reinsurance undertakings segment their commitments into homogeneous risk groups and, at a minimum, by lines of business as defined in Article 55 of Commission Delegated Regulation (EU) No 2015/35 of 10 October 2014.

When calculating claims arising from reinsurance contracts and securitisation vehicles, insurance and reinsurance undertakings shall comply with Articles L. 351-2 and R. 351-2 to R. 351-11. They take into account the time lag between recoveries and direct payments. The result of this calculation is adjusted to take account of probable losses due to counterparty default. This adjustment is based on an assessment of the probability of default by the counterparty…

Insurance and reinsurance undertakings must put in place internal processes and procedures to ensure the appropriateness, completeness and accuracy of the data used in the calculation of their prudential technical provisions referred to in Article L. 351-2. Where, in particular circumstances, as defined in Article 19 of Commission Delegated Regulation (EU) No 2015/35 of 10 October 2014, insurance and reinsurance undertakings do not have sufficient data of appropriate quality to…

Insurance and reinsurance undertakings shall put in place processes and procedures to ensure that their best estimates and the assumptions underlying the calculation of their best estimates are regularly compared with experience. Where this comparison reveals a systematic difference between experience and the company’s best estimate calculations, the company shall make the appropriate adjustments to the actuarial methods used or assumptions made.