ESA Review 
Amendment to Solvency II concerning the volatility adjustment 
 
Reference: COM(2017)0537– 2017/0231(COD) 
 
Recital: 
(…)  Directive 2009/138/EC of the European Parliament and of the Council (Solvency II) 
provides for a country component of the volatility adjustment. In order to ensure that 
this country component effectively mitigates exaggerations of bond spreads in the 
relevant country, an appropriate threshold for the risk-corrected country spread should 
be set for the activation of the country component. 
 
Under Article 2 (Amendments to Directive 2009/138/EC): 
(…)  in paragraph 4 of Article 77d, the first sentence is replaced by the following; 
“For each relevant country, the volatility adjustment to the risk-free interest rates 
referred to in paragraph 3 for the currency of that country shall, before application of 
the 65 % factor, be increased by the difference between the risk-corrected country 
spread and twice the risk-corrected currency spread, whenever that difference is 
positive and the risk-corrected country spread is higher than 85 basis points.” 

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