CEIOPS Task Force Report on the Illiquidity Premium

CEIOPS has published on 03/03/2010 the report of its Task Force on the Illiquidity Premium containing technical considerations for the application of a liquidity premium regarding the valuation of insurance liabilities, principles for extrapolation and considerations on the choice of the reference risk-free rate. The report serves as an input for the discussions that will be held by the Commission with Member States in view of determining the risk-free rate for the Solvency II Level 2 implementing measures. This report is available on the Groupe’s web site at http://www.gcactuaries.org/documents/ceiops_illiq_prem_010310.pdf.

The Groupe Consultatif participated along with industry stakeholders and representatives of several CEIOPS members to produce this important report, under the able chairmanship of Claude Wirion of Luxembourg. The subject matter of the report is relevant also to IFRS and MCEV, and to technical provisions for pensions.