1.The Commission shall adopt delegated acts in accordance with Article 301a providing for the following:
a standard formula in accordance with Articles 101 and 103 to 109;
any sub-modules necessary or covering more precisely the risks which fall under the respective risk modules referred to in Article 104 as well as any subsequent updates;
the methods, assumptions and standard parameters to be calibrated to the confidence level referred to in Article 101(3) and to be used when calculating each of the risk modules or sub-modules of the basic Solvency Capital Requirement laid down in Articles 104, 105 and 304, the symmetric adjustment mechanism and the appropriate period of time, expressed in the number of months, as referred to in Article 106, and the appropriate approach for integrating the method referred to in Article 304 in the Solvency Capital Requirement as calculated in accordance with the standard formula;
the correlation parameters, including, where necessary, those set out in Annex IV, and the procedures for updating those parameters;
where insurance and reinsurance undertakings use risk-mitigation techniques, the methods and assumptions to be used to assess the changes in the risk profile of the undertaking concerned and to adjust the calculation of the Solvency Capital Requirement;
the qualitative criteria that the risk-mitigation techniques referred to in point (e) must fulfil in order to ensure that the risk has been effectively transferred to a third party;
the method and parameters to be used when assessing the capital requirement for counterparty default risk in the case of exposures to qualifying central counterparties, those parameters ensuring consistency with the treatment of such exposures in the case of credit institutions and financial institutions within the meaning of Article 4(1)(1) and (26) of Regulation (EU) No 575/2013;
the methods and parameters to be used when assessing the capital requirement for operational risk set out in Article 107, including the percentage referred to in Article 107(3);
the methods and adjustments to be used to reflect the reduced scope for risk diversification of insurance and reinsurance undertakings relating to ring-fenced funds;
the method to be used when calculating the adjustment for the loss absorbing capacity of technical provisions or deferred taxes, as laid down in Article 108;
the subset of standard parameters in the life, non-life and health underwriting risk modules that may be replaced by undertaking-specific parameters as set out in Article 104(7);
the standardised methods to be used by the insurance or reinsurance undertaking to calculate the undertaking-specific parameters referred to in point (j), and any criteria with respect to the completeness, accuracy, and appropriateness of the data used that must be met before supervisory approval is given together with the procedure to be followed for such approval;
the simplified calculations provided for specific risk modules and risk sub-modules referred to in Article 109(1) and for immaterial risk modules and risk sub-modules referred to in Article 109(2), as well as the criteria that insurance and reinsurance undertakings, including captive insurance undertakings and captive reinsurance undertakings, shall be required to fulfil in order to be entitled to use simplifications, as set out in Article 109(1);
the approach to be used with respect to qualifying holdings within the meaning of Article 13, point (21), in the calculation of the Solvency Capital Requirement, in particular the calculation of the equity risk sub-module referred to in Article 105(5), taking into account the likely reduction in the volatility of the value of those qualifying holdings arising from the strategic nature of those investments and the influence exercised by the insurance or reinsurance undertaking on those investees;
how to use external credit assessments from ECAIs in the calculation of the Solvency Capital Requirement in accordance with the standard formula and the allocation of external credit assessments to a scale of credit quality steps referred to in Article 109a(1) which shall be consistent with the use of external credit assessments from ECAIs in the calculation of the capital requirements for credit institutions as defined in Article 4(1)(1) of Regulation (EU) No 575/2013 and financial institutions as defined in Article 4(1)(26) thereof;
the detailed criteria for the equity index referred to in Article 109a(2)(c);
the detailed criteria for the adjustments for currencies pegged to the euro for the purpose of facilitating the calculation of the currency risk sub-module referred to in Article 109a(2)(d);
the conditions for a categorisation of regional governments and local authorities referred to in Article 109a(2)(a).
For the purposes of the first subparagraph, point (c), of this paragraph, the methods, assumptions and standard parameters for the interest rate risk sub-module referred to in Article 105(5), second subparagraph, point (a), shall reflect the risk that interest rates may further decrease even where they are low or negative and the calculation of the interest rate risk sub-module shall be consistent with the extrapolation of interest rates in accordance with Article 77a. Notwithstanding the first sentence of this subparagraph, the calculation of the interest rate risk sub-module shall not be required to take into account the risk of interest rates falling to levels below a negative floor where a negative floor is determined such that the likelihood of interest rates across relevant currencies and across maturities not being at all times above the negative floor is sufficiently small.
For the purposes of the first subparagraph, point (h), of this paragraph, the methods and adjustments to be used to reflect the reduced scope for risk diversification of insurance and reinsurance undertakings relating to ring-fenced funds shall not apply to the portfolios of assets that are not ring-fenced funds and that are assigned to cover a corresponding best estimate of insurance or reinsurance obligations as referred to in Article 77b(1), point (a).
2.In order to ensure uniform conditions of application of this Article, EIOPA shall develop draft implementing technical standards on the procedures for supervisory approval of undertaking-specific parameters referred to in point (k) of paragraph 1.
EIOPA shall submit those draft implementing technical standards to the Commission by 31 October 2014.
Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No 1094/2010.
2a.Where the Commission, pursuant to paragraph 1, first subparagraph, point (c), of this Article adopts delegated acts to supplement this Directive by specifying the methods, assumptions and standard parameters to be used for calculating the interest rate risk sub-module referred to in Article 105(5), second subparagraph, point (a), with the objective to improve the sensitivity of capital requirements in line with developments in interest rates, amendments to the interest rate risk sub-module may be phased in over a transitional period of up to five years. Such phasing-in shall be mandatory and apply to all insurance or reinsurance undertakings.
3.By 29 January 2030, and every five years thereafter, EIOPA shall carry out an assessment of the appropriateness of the methods, assumptions, and standard parameters used when calculating the Solvency Capital Requirement on the basis of the standard formula. It shall, in particular, take into account the performance of any asset class and financial instruments, the behaviour of investors in those asset classes and financial instruments as well as developments in international standard setting in financial services. The review of certain risks and certain asset classes may be prioritised. On the basis of EIOPA’s assessment, the Commission shall present, where appropriate, proposals for the amendment of this Directive, or of delegated or implementing acts adopted pursuant thereto.
Insurance and reinsurance undertakings applying the phasing-in referred to in paragraph 2a of this Article shall within the part of their report on their solvency financial condition consisting of information targeted at market professionals referred to in Article 51(1b) publicly disclose:
the fact that they apply the phasing-in referred to in paragraph 2a of this Article; and
the quantification of the impact of not applying the phasing-in referred to in paragraph 2a of this Article on their financial position.
4.In order to ensure consistent harmonisation in relation to the Solvency Capital Requirement, EIOPA shall, subject to Article 301b, develop draft regulatory technical standards to specify quantitative limits and asset eligibility criteria where those risks are not adequately covered by a sub-module.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1094/2010.
Those regulatory technical standards shall apply to assets covering technical provisions, excluding assets held in respect of life insurance contracts where the investment risk is borne by the policy holders. They shall be reviewed by the Commission in the light of developments in the standard formula and financial markets.