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Commission Delegated Regulation (EU) 2015/35Dangos y teitl llawn
Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (Text with EEA relevance)
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Changes to legislation:
There are outstanding changes not yet made to Commission Delegated Regulation (EU) 2015/35. Any changes that have already been made to the legislation appear in the content and are referenced with annotations.
Changes to Legislation
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Changes and effects yet to be applied to Title I Chapter V Section 5 Subsection 2:
- Recital 53 Sentence 1 replacement by EUR 2016/2283 Regulation
Newidiadau ac effeithiau heb eu gweithredu eto ar yr eitem ddeddfwriaeth gyfan a’r darpariaethau cysylltiedig.
- Art. 1(18a) words substituted by S.I. 2024/705 Sch. 2 para. 27(a)
- Art. 1(18b)(a) substituted by S.I. 2024/705 Sch. 2 para. 27(b)(i)
- Art. 1(18b)(a) word omitted by S.I. 2024/705 Sch. 2 para. 27(b)(ii)
- Art. 1(18b)(c) and word inserted by S.I. 2024/705 Sch. 2 para. 27(b)(iii)
- Art. 1(19) words substituted by S.I. 2024/705 Sch. 2 para. 27(c)
- Art. 1(20) words substituted by S.I. 2024/705 Sch. 2 para. 27(d)
- Art. 1(21) words substituted by S.I. 2024/705 Sch. 2 para. 27(e)
- Art. 1(22) words substituted by S.I. 2024/705 Sch. 2 para. 27(f)
- Art. 1(23) words substituted by S.I. 2024/705 Sch. 2 para. 27(g)
- Art. 177(2)(b) words omitted by S.I. 2019/407 reg. 11(25)(a) (This amendment not applied to legislation.gov.uk. Reg. 11(25)(39) omitted immediately before IP completion day by virtue of S.I. 2019/710, regs. 1(2), 22)
- Art. 177(2)(h)(i) words omitted by S.I. 2019/407 reg. 11(25)(b)(ii) (This amendment not applied to legislation.gov.uk. Reg. 11(25)(39) omitted immediately before IP completion day by virtue of S.I. 2019/710, regs. 1(2), 22)
- Art. 177(2)(h)(i) words substituted by S.I. 2019/407 reg. 11(25)(b)(i) (This amendment not applied to legislation.gov.uk. Reg. 11(25)(39) omitted immediately before IP completion day by virtue of S.I. 2019/710, regs. 1(2), 22)
- Art. 177(2)(r) words substituted by S.I. 2019/407 reg. 11(25)(c) (This amendment not applied to legislation.gov.uk. Reg. 11(25)(39) omitted immediately before IP completion day by virtue of S.I. 2019/710, regs. 1(2), 22)
- Art. 177(2)(s) words substituted by S.I. 2019/407 reg. 11(25)(c) (This amendment not applied to legislation.gov.uk. Reg. 11(25)(39) omitted immediately before IP completion day by virtue of S.I. 2019/710, regs. 1(2), 22)
- Art. 177(2)(t) words substituted by S.I. 2019/407 reg. 11(25)(d) (This amendment not applied to legislation.gov.uk. Reg. 11(25)(39) omitted immediately before IP completion day by virtue of S.I. 2019/710, regs. 1(2), 22)
- Art. 177(5)(a) words substituted by S.I. 2019/407 reg. 11(25)(f) (This amendment not applied to legislation.gov.uk. Reg. 11(25)(39) omitted immediately before IP completion day by virtue of S.I. 2019/710, regs. 1(2), 22)
- Art. 177(5)(c) words substituted by S.I. 2019/407 reg. 11(25)(f) (This amendment not applied to legislation.gov.uk. Reg. 11(25)(39) omitted immediately before IP completion day by virtue of S.I. 2019/710, regs. 1(2), 22)
- Art. 257(1A) inserted by S.I. 2024/705 Sch. 2 para. 28(3)
- Art. 257(6) inserted by S.I. 2024/705 Sch. 2 para. 28(7)
Subsection 2 U.K. Interest rate risk sub-module
Article 165U.K.General provisions
1.The capital requirement for interest rate risk referred to in point (a) of the second subparagraph Article 105(5) of Directive 2009/138/EC shall be equal to the larger of the following:
(a)the sum, over all currencies, of the capital requirements for the risk of an increase in the term structure of interest rates as set out in Article 166 of this Regulation;
(b)the sum, over all currencies, of the capital requirements for the risk of a decrease in the term structure of interest rates as set out in Article 167 of this Regulation.
2.Where the larger of the capital requirements referred to in points (a) and (b) of paragraph 1 and the larger of the corresponding capital requirements calculated in accordance with Article 206(2) are not based on the same scenario, the capital requirement for interest rate risk shall be the capital requirement referred to in points (a) or (b) of paragraph 1 for which the underlying scenario results in the largest corresponding capital requirement calculated in accordance with Article 206(2).
Article 166U.K.Increase in the term structure of interest rates
1.The capital requirement for the risk of an increase in the term structure of interest rates for a given currency shall be equal to the loss in the basic own funds that would result from an instantaneous increase in basic risk-free interest rates for that currency at different maturities in accordance with the following table:
For maturities not specified in the table above, the value of the increase shall be linearly interpolated. For maturities shorter than 1 year, the increase shall be 70 %. For maturities longer than 90 years, the increase shall be 20 %.
2.In any case, the increase of basic-risk-free interest rates at any maturity shall be at least one percentage point.
3.The impact of the increase in the term structure of basic risk-free interest rates on the value of participations as referred to in [F1Article 68(6) of this Regulation] in financial and credit institutions shall be considered only on the value of the participations that are not deducted from own funds pursuant to Article 68 of this Regulation. The part deducted from own funds shall be considered only to the extent that such impact increases the basic own funds.
Textual Amendments
F1 Words in Art. 166(3) substituted (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 11(18) (as amended by S.I. 2020/1385, regs. 1(2), 54(2) and with savings in S.I. 2019/680, reg. 11)
Article 167U.K.Decrease in the term structure of interest rates
1.The capital requirement for the risk of a decrease in the term structure of interest rates for a given currency shall be equal to the loss in the basic own funds that would result from an instantaneous decrease in basic risk-free interest rates for that currency at different maturities in accordance with the following table:
For maturities not specified in the table above, the value of the decrease shall be linearly interpolated. For maturities shorter than 1 year, the decrease shall be 75 %. For maturities longer than 90 years, the decrease shall be 20 %.
2.Notwithstanding paragraph 1, for negative basic risk-free interest rates the decrease shall be nil.
3.The impact on the value of participations as referred to in [F2Article 68(6) of this Regulation] in financial and credit institutions of the decrease in the term structure of basic risk-free interest rates shall be considered only on the value of the participations that are not deducted from own funds pursuant to Article 68 of this Regulation. The part deducted from own funds shall be considered only to the extent that such impact increases the basic own funds.
Textual Amendments
F2 Words in Art. 167(3) substituted (31.12.2020) by The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019 (S.I. 2019/407), regs. 1(2), 11(19) (as amended by S.I. 2020/1385, regs. 1(2), 54(2) and with savings in S.I. 2019/680, reg. 11)
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