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)
TABLE OF CONTENTS
TITLE I ►C1 VALUATION AND RISK-BASED CAPITAL REQUIREMENTS (PILLAR I), ENHANCED GOVERNANCE (PILLAR II) AND INCREASED TRANSPARENCY (PILLAR III) ◄
CHAPTER I General provisions
SECTION 1 Definitions and general principles
SECTION 2 External credit assessments
CHAPTER II Valuation of assets and liabilities
CHAPTER III Rules relating to technical provisions
SECTION 1 General provisions
SECTION 2 Data quality
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 4 Risk margin
SUBSECTION 5 Calculation of technical provisions as a whole
SUBSECTION 6 Recoverables from reinsurance contracts and special purpose vehicles
SECTION 4 Relevant risk-free interest rate term structure
SUBSECTION 1 General provisions
SUBSECTION 2 Basic risk free interest rate term structure
SUBSECTION 3 Volatility adjustment
SUBSECTION 4 Matching adjustment
SECTION 5 Lines of business
SECTION 6 Proportionality and simplifications
CHAPTER IV Own funds
SECTION 1 Determination of own funds
SUBSECTION 1 Supervisory approval of ancillary own funds
SUBSECTION 2 Own funds treatment of participations
SECTION 2 Classification of own funds
SECTION 3 Eligibility of own funds
SUBSECTION 1 Ring-fenced funds
SUBSECTION 2 Quantitative limits
CHAPTER V Solvency capital requirement standard formula
SECTION 1 General provisions
SUBSECTION 1 Scenario based calculations
SUBSECTION 2 Look-through approach
SUBSECTION 3 Regional governments and local authorities
SUBSECTION 4 Material basis risk
SUBSECTION 5 Calculation of the basic solvency capital requirement
SUBSECTION 6 Proportionality and simplifications
SUBSECTION 7 Scope of the underwriting risk modules
SECTION 2 Non-life underwriting risk module
SECTION 3 Life underwriting risk module
SECTION 4 Health underwriting risk module
SECTION 5 Market risk module
SUBSECTION 1 Correlation coefficients
SUBSECTION 1a Qualifying infrastructure investments
SUBSECTION 2 Interest rate risk sub-module
SUBSECTION 3 Equity risk sub-module
SUBSECTION 4 Property risk sub-module
SUBSECTION 5 Spread risk sub-module
SUBSECTION 6 Market risk concentrations sub-module
SUBSECTION 7 Currency risk sub-module
SECTION 6 Counterparty default risk module
SUBSECTION 1 General provisions
SUBSECTION 2 Type 1 exposures
SUBSECTION 3 Type 2 exposures
SECTION 7 Intangible asset module
SECTION 8 Operational risk
SECTION 9 Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes
SECTION 10 Risk mitigation techniques
SECTION 11 Ring fenced funds
SECTION 12 Undertaking-specific parameters
SECTION 13 Procedure for updating correlation parameters
CHAPTER VI Solvency capital requirement — full and partial internal models
SECTION 1 Definitions
SECTION 2 Use test
SECTION 3 Statistical quality standards
SECTION 4 Calibration standards
SECTION 5 Integration of partial internal models
SECTION 6 Profit and loss attribution
SECTION 7 Validation standards
SECTION 8 Documentation standards
SECTION 9 External models and data
CHAPTER VII Minimum capital requirement
CHAPTER VIII Investments in securitisation positions
CHAPTER IX System of governance
SECTION 1 Elements of the system of governance
SECTION 2 Functions
SECTION 3 Fit and proper requirements
SECTION 4 Outsourcing
SECTION 5 ►C1 Remuneration ◄ policy
SECTION 6 Investments
CHAPTER X Capital add-on
SECTION 1 Circumstances for imposing a capital add-on
SECTION 2 Methodologies for calculating capital add-ons
CHAPTER XI Extension of the recovery period
CHAPTER XII Public disclosure
SECTION 1 Solvency and financial condition report: structure and contents
SECTION 2 Solvency and financial condition report: non-disclosure of information
SECTION 3 Solvency and financial condition report: deadlines, means of disclosure and updates
CHAPTER XIII Regular supervisory reporting
SECTION 1 Elements and contents
SECTION 2 Deadlines and means of communication
CHAPTER XIV Transparency and accountability of supervisory authorities
CHAPTER XV Special purpose vehicles
SECTION 1 Authorization
SECTION 2 Mandatory contract conditions
SECTION 3 System of governance
SECTION 4 Supervisory reporting
SECTION 5 Solvency requirements
TITLE II INSURANCE GROUPS
CHAPTER I Solvency calculation at group level
SECTION 1 Group solvency: choice of calculation method and general principles
SECTION 2 Group solvency: calculation methods
CHAPTER II Internal models for the calculation of the consolidated group solvency capital requirement
SECTION 1 Full and partial internal models used to calculate only the group solvency capital requirement
SECTION 2 Use of a group internal model
CHAPTER III Supervision of group solvency for groups with centralised risk management
CHAPTER IV Coordination of group supervision
SECTION 1 Colleges of supervisors
SECTION 2 Exchange of information
SECTION 3 National or regional subgroup supervision
CHAPTER V Public disclosure
SECTION 1 Group solvency and financial condition report
SECTION 2 Single solvency and financial condition report
CHAPTER VI Group supervisory reporting
SECTION 1 Regular reporting
SECTION 2 Reporting on risk concentrations and intragroup transactions
TITLE III THIRD COUNTRY EEQUIVALENCE AND FINAL PROVISIONS
CHAPTER I Undertakings carrying out reinsurance activities with their head office in a third country
CHAPTER II Related third country insurance and reinsurance undertakings
CHAPTER III Insurance and reinsurance undertakings with the parent undertakings outside the union
CHAPTER IV Final provisions