On Dec. 11, DEN GVT issued order on match and volatility adjustment.
DEN GVT, via Ministry of Industry and Trade, published a new Executive Order on the risk-free yield curve, match adjustment and volatility adjustment for Group 1 insurance companies, on behalf of DEN FSA, to provide the relevant clarification under Act 718.
The terms of the new Executive Order will apply only to Group 1 insurance companies.
Approval and calculation of match adjustment and notification of volatility adjustment, cf. section 158, subsections 2 and 3, of the Insurance Act, shall, in addition to Articles 52-54 of EU Reg 2015/35 (SLV2), be carried out under provisions of Executive Order.
A Group 1 insurance company must regularly assess sensitivity of technical provisions and own funds to changes in assumptions underlying the risk-free interest rate curve.
The assessment as made under subsection 1 shall be submitted annually to DEN FSA.
A Group 1 insurance company may obtain permission to apply a matching adjustment of risk-free interest rate curve to portfolio under cf. § 158(2), Insurance business act.
The required matching adjustment shall be calculated for each currency, under rules.
iA Group 1 insurance company may, upon notification to DEN FSA, apply a volatility adjustment to risk-free interest rate curve, if it meets requirements in subsections 2-5.
A Group 1 insurance undertaking shall apply the volatility adjustment to the risk-free interest rate curve for each relevant national insurance market, which is determined and published by EIOPA for each relevant currency at least quarterly, as under SLV2.
Violation of § 3, subsections 4-8, § 5, § 6, subsections 2-6, and § 7 is punishable by a fine, and legal persons may be held criminally liable under Chapter 5 of Criminal Code.
Effectiveness
The Executive Order enters into force on Jan. 1, 2025 and at same time, the entirety of Executive Order 886 of Aug. 27, 2019 on risk-free yield curve adjustment, is repealed.
Regulators
DEN FSA; DEN GVT
Entity Types
Ins
Reference
OG BEK 1482, 12/11/2024; Act 718, 6/13/2023; Rpl BEK 886, 8/27/2019; SLV2 Reg 2015/35, Dir 2009/138
