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Commission Delegated Regulation (EU) 2015/35Show full title
Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (Text with EEA relevance)
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- Revised 30/07/202048.27 MB
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- Revised 08/07/201944.91 MB
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- Revised 15/09/201740.90 MB
- Revised 09/04/201746.19 MB
- Revised 02/04/201646.19 MB
- Revised 17/01/201539.54 MB
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Article 50Formula to calculate the spread underlying the volatility adjustment
For each currency and each country the spread referred to in Article 77d(2) and (4) of Directive 2009/138/EC shall be equal to the following:
where:
(a)
wgov denotes the ratio of the value of government bonds included in the reference portfolio of assets for that currency or country and the value of all the assets included in that reference portfolio;
(b)
Sgov denotes the average currency spread on government bonds included in the reference portfolio of assets for that currency or country;
(c)
wcorp denotes the ratio of the value of bonds other than government bonds, loans and securitisations included in the reference portfolio of assets for that currency or country and the value of all the assets included in that reference portfolio;
(d)
Scorp denotes the average currency spread on bonds other than government bonds, loans and securitisations included in the reference portfolio of assets for that currency or country.
For the purposes of this Article, ‘government bonds’ means exposures to central governments and central banks.
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