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1.In order to fully integrate a partial internal model into the Solvency Capital Requirement standard formula, insurance and reinsurance undertakings shall use as a default integration technique the correlation matrices and formulas of the standard formula set out in Annex IV of Directive 2009/138/EC and Title I, Chapter V of this Regulation.
2.Where the insurance or reinsurance undertaking demonstrates to the supervisory authorities that it would not be appropriate to use the default integration technique referred to in paragraph 1 for any of the reasons referred to in paragraph 5, insurance and reinsurance undertakings shall use the most appropriate integration technique set out in Annex XVIII. The insurance or reinsurance undertakings shall demonstrate the appropriateness of the integration technique proposed.
3.Where the insurance or reinsurance undertaking further demonstrates to the supervisory authorities that it would not be appropriate to use any of the integration techniques set out in Annex XVIII for any of the reasons referred to in paragraph 5, the insurance and reinsurance undertaking may use an alternative integration technique. The insurance or reinsurance undertaking shall demonstrate the appropriateness of the integration technique proposed.
4.The alternative integration technique used shall result in a Solvency Capital Requirement that complies with the principles set out in Title I, Chapter VI, Section 4, subsections 1 and 3 of Directive 2009/138/EC and which more appropriately reflects the risk profile of the insurance or reinsurance undertaking.
5.An integration technique shall not be appropriate where any of the following conditions is met:
(a)the resulting Solvency Capital Requirement would not comply with Article 101 of Directive 2009/138/EC;
(b)the resulting Solvency Capital Requirement would not appropriately reflect the risk profile of the insurance or reinsurance undertaking;
(c)the design of the partial internal model is consistent with the principles set out in Articles 101 and 102 of Directive 2009/138/EC but would not allow its integration into the solvency capital requirement standard formula.
Editorial Information
X1 Substituted by Corrigendum to 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) (Official Journal of the European Union L 12 of 17 January 2015).