Section II: Prudential technical provisions

I – The value of the prudential technical provisions referred to in Article L. 351-2 is equal to the sum of the best estimate and the risk margin. II – The best estimate corresponds to the probability-weighted average of future cash flows taking into account the time value of money estimated on the basis of the relevant risk-free rate curve, i.e. the expected present value of future cash flows. The…

For the undertakings referred to in Article L. 310-3-1 which are authorised to carry out the operations referred to in 1° of Article L. 310-1, the calculation of the best estimate referred to in II of Article R. 351-2 takes account of the payments and withdrawals which would be made from the capitalisation reserve constituted on the calculation date, in accordance with the provisions of Article R. 343-14, throughout the…

The determination of the relevant risk-free yield curve referred to in Article R. 351-2 uses information derived from relevant financial instruments and remains consistent with this information. This determination takes into account the relevant financial instruments for maturities at which the markets for these financial instruments, like the bond markets, are deep, liquid and transparent. For maturities at which the markets for the relevant financial instruments or bonds are no…

I.-Insurance and reinsurance undertakings may apply an equalising adjustment to the relevant risk-free interest rate curve to calculate the best estimate of a portfolio of life insurance or reinsurance liabilities, including annuities arising from non-life insurance or reinsurance contracts, subject to the agreement of the Autorité de contrôle prudentiel et de résolution, where the following conditions are met: 1° Insurance and reinsurance undertakings have assigned a portfolio of assets made…

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…