Commission Delegated Regulation (EU) 2015/35Show full title

C. Integration technique 2 U.K.

(1) The Basic Solvency Capital Requirement shall be equal to the following: U.K.

where:

(a)

the sum covers all possible combinations (i,j) of the aggregation list set out in paragraph 2;

(b)

Corr_(i,j) denotes the correlation parameter, for items i and j of the aggregation list;

(c)

SCR_i and SCR_j denote the capital requirements for the items i and j of the aggregation list respectively;

(d)

SCR_int denotes the capital requirement for intangible asset risk as set out in Article 203.

(2) The items on the aggregation list shall meet the following requirements: U.K.

(a)

they shall cover each of the units of the partial internal model;

(b)

[F1 they include each of the following sub-modules of the standard formula excluding those within the scope of the partial internal model:]

i.

the sub-modules of the non-life underwriting risk module set out in Article 114(1);

ii.

the sub-modules of the life underwriting risk module set out in Article 105(3) of Directive 2009/138/EC;

iii.

the sub-modules of the health underwriting risk module set out in Article 151(1);

iv.

the sub-modules of the market risk module set out in Article 105(5) of Directive 2009/138/EC;

(c)

[F1 they include the counterparty default risk module of the standard formula unless it is within the scope of the partial internal model.]

Textual Amendments

F1 Substituted by Commission Delegated Regulation (EU) 2016/467 of 30 September 2015 amending Commission Delegated Regulation (EU) 2015/35 concerning the calculation of regulatory capital requirements for several categories of assets held by insurance and reinsurance undertakings (Text with EEA relevance).

However, where none of the sub-modules of a module of the standard formula are within the scope of the partial internal module, the aggregation list shall include that module instead of its sub-modules.

(3) The correlation parameters referred to in point (b) of paragraph 1 shall comply with the following requirements: U.K.

(a)

for all items i and j from the aggregation list the correlation parameter Corr_(i,j) shall not be less than – 1 and shall not exceed 1;

(b)

for all items i and j from the aggregation list the correlation parameters Corr_(i,j) and Corr_(j,i) shall be equal;

(c)

for all items i from the aggregation list the correlation parameter Corr_(i,i) shall be equal to 1;

(d)

for any assignment of real numbers to the items of the aggregation list the following shall hold:

where:

i.

the sum covers all possible combinations (i,j) of the aggregation list;

ii.

x_i and x_j are the numbers assigned to the items i and j, respectively, of the aggregation list;

(e)

where the items i and j from the aggregation list are modules of the standard formula, the correlation parameter Corr_(i,j) shall be equal to the correlation parameter of the standard formula that is used to aggregate those two modules;

(f)

where the items i and j from the aggregation list are sub-modules of the same module of the standard formula, then the correlation parameter Corr_(i,j) shall be equal to the correlation parameter of the standard formula that is used to aggregate those two sub-modules;

(g)

for all items i and j from the aggregation list the correlation parameter Corr_(i,j) shall not be less than Corr^min _(i,j) and shall not exceed Corr^max _(i,j) , where Corr^min _(i,j) and Corr^max _(i,j) are appropriate lower and upper bounds selected by the undertaking.

Insurance and reinsurance undertakings shall choose the correlation parameters referred to in point (b) of paragraph 1 in such a way that no other set of correlation parameters that meets the requirements set out in points (a) to (g) results in a higher Solvency Capital Requirement, calculated in accordance with paragraph 1.