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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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CHAPTER III RULES RELATING TO TECHNICAL PROVISIONS
SECTION 3 Methodologies to calculate technical provisions
Subsection 1 Assumptions underlying the calculation of technical provisions
Subsection 2 Information underlying the calculation of best estimates
Subsection 3 Cash flow projections for the calculation of the best estimate
Subsection 6 Recoverables from reinsurance contracts and special purpose vehicles
SECTION 4 Relevant risk-free interest rate term structure
SECTION 6 Proportionality and simplifications
Article 57.Simplified calculation of recoverables from reinsurance contracts and special purpose vehicles
Article 59.Calculations of the risk margin during the financial year
Article 60.Simplified calculation of the best estimate for insurance obligations with premium adjustment mechanism
Article 61.Simplified calculation of the counterparty default adjustment
SECTION 1 Determination of own funds
Subsection 1 Supervisory approval of ancillary own funds
Article 63.Assessment of the application — Status of the counterparties
Article 64.Assessment of the application — Recoverability of the funds
Article 65.Assessment of the application — Information on the outcome of past calls
Article 66.Specification of amount relating to an unlimited amount of ancillary own funds
Article 67.Specification of amount and timing relating to the approval of a method
SECTION 2 Classification of own funds
Article 73.Tier 2 Basic own-funds — Features determining classification
Article 74.Tier 2 Ancillary own-funds — List of own-fund items
Article 75.Tier 2 Ancillary own-funds — Features determining classification
Article 77.Tier 3 Basic own-funds– Features determining classification
Article 78.Tier 3 Ancillary own-funds– List of own-funds items
Article 79.Supervisory Authorities approval of the assessment and classification of own-fund items
CHAPTER V SOLVENCY CAPITAL REQUIREMENT STANDARD FORMULA
Subsection 5 Calculation of the basic solvency capital requirement
Subsection 6 Proportionality and simplifications
Article 89.General provisions for simplifications for captives
Article 90.Simplified calculation for captive insurance and reinsurance undertakings of the capital requirement for non-life premium and reserve risk
Article 90a. Simplified calculation for discontinuance of insurance policies in the non-life lapse risk sub-module
Article 90b. Simplified calculation of the sum insured for natural catastrophe risks
Article 90c. Simplified calculation of the capital requirement for fire risk
Article 91.Simplified calculation of the capital requirement for life mortality risk
Article 92.Simplified calculation of the capital requirement for life longevity risk
Article 93.Simplified calculation of the capital requirement for life disability-morbidity risk
Article 94.Simplified calculation of the capital requirement for life-expense risk
Article 95.Simplified calculation of the capital requirement for permanent changes in lapse rates
Article 95a. Simplified calculation of the capital requirement for risks in the life lapse risk sub-module
Article 96.Simplified calculation of the capital requirement for life-catastrophe risk
Article 96a. Simplified calculation for discontinuance of insurance policies in the NSLT health lapse risk sub-module
Article 97.Simplified calculation of the capital requirement for health mortality risk
Article 98.Simplified calculation of the capital requirement for health longevity risk
Article 99.Simplified calculation of the capital requirement for medical expense disability-morbidity risk
Article 100.Simplified calculation of the capital requirement for income protection disability-morbidity risk
Article 101.Simplified calculation of the capital requirement for health expense risk
Article 102.Simplified calculation of the capital requirement for SLT health lapse risk
Article 102a. Simplified calculation of the capital requirement for risks in the SLT health lapse risk sub-module
Article 103.Simplified calculation of the capital requirement for interest rate risk for captive insurance or reinsurance undertakings
Article 104.Simplified calculation for spread risk on bonds and loans
Article 105.Simplified calculation for captive insurance or reinsurance undertakings of the capital requirement for spread risk on bonds and loans
Article 105a. Simplified calculation for the risk factor in the spread risk sub-module and the market risk concentration sub-module
Article 106.Simplified calculation of the capital requirement for market risk concentration for captive insurance or reinsurance undertakings
Article 107.Simplified calculation of the risk mitigating effect for reinsurance arrangements or securitisation
Article 108.Simplified calculation of the risk mitigating effect for proportional reinsurance arrangements
Article 109.Simplified calculations for pooling arrangements
Article 110. Simplified calculation — grouping of single name exposures
Article 111.Simplified calculation of the risk mitigating effect
Article 111a. Simplified calculation of the risk-mitigating effect on underwriting risk
Article 112.Simplified calculation of the risk adjusted value of collateral to take into account the economic effect of the collateral
Article 112a. Simplified calculation of the loss-given-default for reinsurance
Article 112b. Simplified calculation of the capital requirement for counterparty default risk on type 1 exposures
SECTION 3 Life underwriting risk module
Subsection 5 Spread risk sub-module
Article 176a. Internal assessment of credit quality steps of bonds and loans
Article 176b. Requirements for an undertaking's own internal credit assessment of bonds and loans
Article 176c. Assessment of credit quality steps of bonds and loans based on an approved internal model
Article 177. Spread risk on securitisation positions: general provisions
Article 178. Spread risk on securitisation positions: calculation of the capital requirement
Article 178a. Spread risk on securitisation positions: transitional provisions
Article 181.Application of the spread risk scenarios to matching adjustment portfolios
SECTION 9 Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes
CHAPTER VI SOLVENCY CAPITAL REQUIREMENT — FULL AND PARTIAL INTERNAL MODELS
CHAPTER VII MINIMUM CAPITAL REQUIREMENT
Article 250.Linear formula component for non-life insurance and reinsurance obligations
Article 251.Linear formula component for life insurance and reinsurance obligations
Article 252.Minimum Capital Requirement: composite insurance undertakings
Article 253.Absolute floor of the Minimum Capital Requirement
CHAPTER VIII INVESTMENTS IN SECURITISATION POSITIONS
Article 254. Risk retention requirements relating to the originators, sponsors or original lenders
Article 256. Qualitative requirements relating to insurance and reinsurance undertakings
Article 257.Requirements for investments in securitisation that no longer comply with the risk-retention and qualitative requirements
CHAPTER IX SYSTEM OF GOVERNANCE
SECTION 1 Elements of the system of governance
Article 261.Risk management in undertakings providing loans and/or mortgage insurance or reinsurance
Article 261a. Risk management for qualifying infrastructure investments or qualifying infrastructure corporate investments
Article 265.Valuation of technical provisions — documentation
Article 267.Internal control of valuation of assets and liabilities
SECTION 1 Circumstances for imposing a capital add-on
Article 276.Assessment of a significant deviation as regards the SCR
Article 277.Assessment of a significant deviation as regards the governance
Article 278.Assessment of a significant deviation as regards adjustments to the relevant risk-free rate and transitional measures
Article 279.Add-ons in relation to deviations from Solvency Capital Requirement assumptions
Article 280.Assessment of the requirement to use an internal model
Article 281.Appropriate timeframe for adapting the internal model
SECTION 2 Methodologies for calculating capital add-ons
Article 282.Calculation of add-ons in relation to deviations from SCR assumptions
Article 283.Scope and approach of modifications as regards a deviation from SCR assumptions
Article 284.Calculation of add-ons in relation to adjustments to the relevant risk-free rate or transitional measures
Article 285.Scope and approach of modifications as regards adjustments to the relevant risk-free rate and transitional measures
Article 286.Calculation of add-ons in relation to deviations from governance standards
Article 287.Apportionment of add-ons for undertakings which simultaneously pursue life and non-life insurance activities
CHAPTER XIV TRANSPARENCY AND ACCOUNTABILITY OF SUPERVISORY AUTHORITIES
CHAPTER XV SPECIAL PURPOSE VEHICLES
SECTION 3 System of governance
Article 322.Fit and proper requirements of persons who effectively run a special purpose vehicle
Article 323.Fit and proper requirements for shareholders or members with a qualifying holding
Article 324.Sound administrative and accounting procedures, adequate internal control mechanisms and risk-management requirements
CHAPTER I SOLVENCY CALCULATION AT GROUP LEVEL
SECTION 1 Group solvency: choice of calculation method and general principles
SECTION 2 Group solvency: calculation methods
Article 331.Classification of own-fund items of related insurance and reinsurance undertakings at group level
Article 332.Classification of own-fund items of related third-country insurance or reinsurance undertakings at group level
Article 333.Classification of own-fund items of insurance holding companies, mixed financial holding companies, and subsidiary ancillary services undertakings at group level
Article 334.Classification of own-fund items of residual related undertakings
Article 336.Method 1: Calculation of the consolidated group Solvency Capital Requirement
Article 337. Method 1: determination of the local currency for the purposes of the currency risk calculation
Article 341.Combination of methods 1 and 2: minimum consolidated group Solvency Capital Requirement
Article 342.Method 2: Elimination of intra-group creation of capital in relation to the best estimate
Article 343.Application for the use of an internal model to calculate only the consolidated group Solvency Capital Requirement
Article 344.Assessment of the application for the use of an internal model to calculate only the consolidated group Solvency Capital Requirement
Article 345.Decision on the application and transitional plan to extend the scope of a partial internal model used to calculate only the consolidated group Solvency Capital Requirement
Article 346.Use test for internal models used to calculate only the consolidated group Solvency Capital Requirement
CHAPTER III SUPERVISION OF GROUP SOLVENCY FOR GROUPS WITH CENTRALISED RISK MANAGEMENT
CHAPTER IV COORDINATION OF GROUP SUPERVISION
FACTOR FOR GEOGRAPHICAL DIVERSIFICATION OF PREMIUM AND RESERVE RISK
4. For the purpose of the calculations set out in paragraphs...
5. Notwithstanding paragraph 1, the factor for geographical diversification shall be...
6. Notwithstanding paragraph 1, the factor for geographical diversification for a...
7. Notwithstanding paragraph 1, the factor for geographical diversification for a...
8. Regions for the calculation of the factor for geographical diversification...
THE GEOGRAPHICAL DIVISION OF REGIONS SET OUT IN ANNEXES V-VIII INTO RISK ZONES
LIABILITY RISK GROUPS, RISK FACTORS AND CORRELATION COEFFICIENTS FOR THE LIABILITY RISK SUB-MODULE
GROUPS OF OBLIGATIONS AND RISK FACTORS FOR THE SUB-MODULE FOR OTHER NON-LIFE CATASTROPHE RISK
LIST OF REGIONS FOR WHICH NATURAL CATASTROPHE RISK IS NOT CALCULATED BASED ON PREMIUMS
HEALTH CATASTROPHE RISK SUB-MODULE OF THE SOLVENCY CAPITAL REQUIREMENT STANDARD FORMULA
(3) For the purpose of paragraphs 4-6, the following notation shall...
(4) The undertaking-specific standard deviation for non-life reserve risk or NSLT...
(5) The standard deviation function shall be equal to the following...
(6) The mixing parameter and the logarithmic variation coefficient shall be...
(3) For the purpose of paragraphs 4-8, the following notation shall...
(4) The undertaking-specific increase in the amount of annuity benefits shall...
(5) The expected value of annuity increases shall be equal to...
(7) The estimated standard deviation of the number of changes in...
(8) The estimated standard deviation of changes in annuity benefits shall...
INTEGRATION TECHNIQUES FOR PARTIAL INTERNAL MODELS
MCR RISK FACTORS FOR NON-LIFE AND HEALTH INSURANCE OR REINSURANCE OBLIGATIONS
STRUCTURE OF THE SOLVENCY AND FINANCIAL CONDITION REPORT AND REGULAR SUPERVISORY REPORT
E.2 Solvency Capital Requirement and Minimum Capital Requirement
E.3 Use of the duration-based equity risk sub-module in the calculation...
E.4 Differences between the standard formula and any internal model used...
E.5 Non-compliance with the Minimum Capital Requirement and non-compliance with the...
CORRELATION COEFFICIENTS FOR WINDSTORM RISK
The correlation parameter Corr(windstorm,r,i,j) referred to in Article 121(5) for...
Correlation coefficients for regions with only one risk zone
Correlation coefficients for windstorm risk in the Republic of Austria...
Correlation coefficients for windstorm risk in the Kingdom of Belgium...
Correlation coefficients for windstorm risk in the Czech Republic
Correlation coefficients for windstorm risk in the Kingdom of Denmark...
Correlation coefficients for windstorm risk in the French Republic
Correlation coefficients for windstorm risk in the Federal Republic of...
Correlation coefficients for windstorm risk in the Republic of Ireland...
Correlation coefficients for windstorm risk in the Kingdom of the...
Correlation coefficients for windstorm risk in the Kingdom of Norway...
Correlation coefficients for windstorm risk in the Republic of Poland...
Correlation coefficients for windstorm risk in the Kingdom of Spain...
Correlation coefficients for windstorm risk in the Republic of Finland...
Correlation coefficients for windstorm risk in the Kingdom of Sweden...
Correlation coefficients for windstorm risk in the Republic of Slovenia...
Correlation coefficients for windstorm risk in the Swiss Confederation
Correlation coefficients for windstorm risk in the United Kingdom of...
Correlation coefficients for windstorm risk in the Republic of Hungary...
CORRELATION COEFFICIENTS FOR EARTHQUAKE RISK
The correlation parameter Corr(earthquake,r,i,j) referred to in Article 122(2) for...
Correlation coefficients for regions with only one risk zone
Correlation coefficients for earthquake risk in the Republic of Austria...
Correlation coefficients for earthquake risk in the Kingdom of Belgium...
Correlation coefficients for earthquake risk in the Republic of Bulgaria...
Correlation coefficients for earthquake risk in the Czech Republic
Correlation coefficients for earthquake risk in the Republic of Croatia...
Correlation coefficients for earthquake risk in the Republic of Cyprus...
Correlation coefficients for earthquake risk in the French Republic
Correlation coefficients for earthquake risk in the Federal Republic of...
Correlation coefficients for earthquake risk in the Guadalupe
Correlation coefficients for earthquake risk in the Hellenic Republic
Correlation coefficients for earthquake risk in the Republic of Hungary...
Correlation coefficients for earthquake risk in the Italian Republic
Correlation coefficients for earthquake risk in the Portuguese Republic
Correlation coefficients for earthquake risk in the Republic of Romania...
Correlation coefficients for earthquake risk in the Slovak Republic
Correlation coefficients for earthquake risk in the Republic of Slovenia...
Correlation coefficients for earthquake risk in the Swiss Confederation
CORRELATION COEFFICIENTS FOR FLOOD RISK
The correlation parameter Corr(flood,r,i,j) referred to in Article 123(5) for...
Correlation coefficients for flood risk in the Republic of Austria...
Correlation coefficients for flood risk in the Kingdom of Belgium...
Correlation coefficients for flood risk in the Republic of Bulgaria...
Correlation coefficients for flood risk in the Czech Republic
Correlation coefficients for flood risk in the French Republic
Correlation coefficients for flood risk in the Federal Republic of...
Correlation coefficients for flood risk in the Republic of Hungary...
Correlation coefficients for flood risk in the Italian Republic
Correlation coefficients for flood risk in the Republic of Poland...
Correlation coefficients for flood risk in the Republic of Romania...
Correlation coefficients for flood risk in the Slovak Republic
Correlation coefficients for flood risk in the Swiss Confederation
Correlation coefficients for flood risk in the Republic of Slovenia...
Correlation coefficients for flood risk in the United Kingdom of...
CORRELATION COEFFICIENTS FOR HAIL RISK
The correlation parameter Corr(hail,r,i,j) referred to in Article 124(5) for...
Correlation coefficients for regions with only one risk zone
Correlation coefficients for hail risk in the Republic of Austria...
Correlation coefficients for hail risk in the Kingdom of Belgium...
Correlation coefficients for hail risk in the Czech Republic
Correlation coefficients for hail risk in the French Republic
Correlation coefficients for hail risk in the Federal Republic of...
Correlation coefficients for hail risk in the Italian Republic
Correlation coefficients for hail risk in the Kingdom of the...
Correlation coefficients for hail risk in the Kingdom of Spain...
Correlation coefficients for hail risk in the Swiss Confederation
Correlation coefficients for hail risk in the Republic of Slovenia...
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