Regulatory Alerts2024-12-05
Order on the Risk-Free Yield Curve, Matching Adjustment, and Volatility Adjustment for Group 1 Insurance Undertakings
The Danish Financial Supervisory Authority issued this Order to implement Solvency II requirements for Group 1 insurance undertakings regarding the risk-free yield curve, matching adjustment, and volatility adjustment. It establishes strict eligibility criteria, calculation methodologies, and ongoing monitoring obligations for insurers utilizing these technical features to mitigate interest rate risk. The regulation mandates annual reporting to the supervisor and imposes penalties for non-compliance, with the Order entering into force on January 1, 2025.
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