1. European
  2. Legislation (EU)
  3. EU Regulations
  4. 2015
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  1. Regulation 2015/35/EU - Solvency II Delegated Regulation
  2. Title I Valuation and risk-based capital requirements (pillar I), enhanced governance (pillar II) and increased transparency (pillar III) (arts. 1-327)
  3. Chapter III Rules relating to technical provisions (arts. 17-61)
  4. Section 4 Relevant risk-free interest rate term structure (arts. 43-54)
  5. Subsection 3 Volatility adjustment (arts. 49-51)
  6. Article 50 Formula to calculate the spread underlying the volatility adjustment
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Version status: Entered into force | Document consolidation status: Updated to reflect all known changes
Version date: 18 January 2015 - onwards
  Version 2 of 2    

Article 50 Formula 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 exposu

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