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 VALUATION AND RISK-BASED CAPTAL REQUIREMENTS (PILLAR I), ENHANCED GOVERNANCE (PILLAR II) AND INCREASED TRANPARENCY (PILLAR III) 20
CHAPTER I General provisions 20
SECTION 1 Definitions and general principles 20
SECTION 2 External credit assessments 24
CHAPTER II Valuation of assets and liabilities 25
CHAPTER III Rules relating to technical provisions 29
SECTION 1 General provisions 29
SECTION 2 Data quality 31
SECTION 3 Methodologies to calculate technical provisions 32
SUBSECTION 1 Assumptions underlying the calculation of technical provisions 32
SUBSECTION 2 Information underlying the calculation of best estimates 34
SUBSECTION 3 Cash flow projections for the calculation of the best estimate 35
SUBSECTION 4 Risk margin 37
SUBSECTION 5 Calculation of technical provisions as a whole 39
SUBSECTION 6 Recoverables from reinsurance contracts and special purpose vehicles 39
SECTION 4 Relevant risk-free interest rate term structure 40
SUBSECTION 1 General provisions 40
SUBSECTION 2 Basic risk free interest rate term structure 41
SUBSECTION 3 Volatility adjustment 42
SUBSECTION 4 Matching adjustment 43
SECTION 5 Lines of business 44
SECTION 6 Proportionality and simplifications 45
CHAPTER IV Own funds 47
SECTION 1 Determination of own funds 47
SUBSECTION 1 Supervisory approval of ancillary own funds 47
SUBSECTION 2 Own funds treatment of participations 49
SECTION 2 Classification of own funds 50
SECTION 3 Eligibility of own funds 58
SUBSECTION 1 Ring-fenced funds 58
SUBSECTION 2 Quantitative limits 59
CHAPTER V Solvency capital requirement standard formula 59
SECTION 1 General provisions 59
SUBSECTION 1 Scenario based calculations 59
SUBSECTION 2 Look-through approach 60
SUBSECTION 3 Regional governments and local authorities 60
SUBSECTION 4 Material basis risk 60
SUBSECTION 5 Calculation of the basic solvency capital requirement 61
SUBSECTION 6 Proportionality and simplifications 61
SUBSECTION 7 Scope of the underwriting risk modules 72
SECTION 2 Non-life underwriting risk module 72
SECTION 3 Life underwriting risk module 87
SECTION 4 Health underwriting risk module 91
SECTION 5 Market risk module 104
SUBSECTION 1 Correlation coefficients 104
SUBSECTION 2 Interest rate risk sub-module 105
SUBSECTION 3 Equity risk sub-module 108
SUBSECTION 4 Property risk sub-module 111
SUBSECTION 5 Spread risk sub-module 111
SUBSECTION 6 Market risk concentrations sub-module 120
SUBSECTION 7 Currency risk sub-module 123
SECTION 6 Counterparty default risk module 124
SUBSECTION 1 General provisions 124
SUBSECTION 2 Type 1 exposures 131
SUBSECTION 3 Type 2 exposures 133
SECTION 7 Intangible asset module 134
SECTION 8 Operational risk 134
SECTION 9 Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes 135
SECTION 10 Risk mitigation techniques 136
SECTION 11 Ring fenced funds 141
SECTION 12 Undertaking-specific parameters 142
SECTION 13 Procedure for updating correlation parameters 144
CHAPTER VI Solvency capital requirement — full and partial internal models 144
SECTION 1 Definitions 144
SECTION 2 Use test 145
SECTION 3 Statistical quality standards 146
SECTION 4 Calibration standards 151
SECTION 5 Integration of partial internal models 151
SECTION 6 Profit and loss attribution 152
SECTION 7 Validation standards 152
SECTION 8 Documentation standards 153
SECTION 9 External models and data 155
CHAPTER VII Minimum capital requirement 155
CHAPTER VIII Investments in securitisation positions 159
CHAPTER IX System of governance 162
SECTION 1 Elements of the system of governance 162
SECTION 2 Functions 168
SECTION 3 Fit and proper requirements 171
SECTION 4 Outsourcing 171
SECTION 5 Renumeration policy 173
CHAPTER X Capital add-on 174
SECTION 1 Circumstances for imposing a capital add-on 174
SECTION 2 Methodologies for calculating capital add-ons 175
CHAPTER XI Extension of the recovery period 178
CHAPTER XII Public disclosure 179
SECTION 1 Solvency and financial condition report: structure and contents 179
SECTION 2 Solvency and financial condition report: non-disclosure of information 185
SECTION 3 Solvency and financial condition report: deadlines, means of disclosure and updates 186
CHAPTER XIII Regular supervisory reporting 187
SECTION 1 Elements and contents 187
SECTION 2 Deadlines and means of communication 193
CHAPTER XIV Transparency and accountability of supervisory authorities 194
CHAPTER XV Special purpose vehicles 195
SECTION 1 Authorization 195
SECTION 2 Mandatory contract conditions 195
SECTION 3 System of governance 196
SECTION 4 Supervisory reporting 197
SECTION 5 Solvency requirements 197
TITLE II INSURANCE GROUPS 199
CHAPTER I Solvency calculation at group level 199
SECTION 1 Group solvency: choice of calculation method and general principles 199
SECTION 2 Group solvency: calculation methods 201
CHAPTER II Internal models for the calculation of the consolidated group solvency capital requirement 206
SECTION 1 Full and partial internal models used to calculate only the group solvency capital requirement 206
SECTION 2 Use of a group internal model 208
CHAPTER III Supervision of group solvency for groups with centralised risk management 210
CHAPTER IV Coordination of group supervision 211
SECTION 1 Colleges of supervisors 211
SECTION 2 Exchange of information 213
SECTION 3 National or regional subgroup supervision 213
CHAPTER V Public disclosure 214
SECTION 1 Group solvency and financial condition report 214
SECTION 2 Single solvency and financial condition report 216
CHAPTER VI Group supervisory reporting 217
SECTION 1 Regular reporting 217
SECTION 2 Reporting on risk concentrations and intragroup transactions 219
TITLE III THIRD COUNTRY EEQUIVALENCE AND FINAL PROVISIONS 220
CHAPTER I Undertakings carrying out reinsurance activities with their head office in a third country 220
CHAPTER II Related third country insurance and reinsurance undertakings 223
CHAPTER III Insurance and reinsurance undertakings with the parent undertakings outside the union 224
CHAPTER IV Final provisions 226
THE EUROPEAN COMMISSION
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Directive 2009/138/EC and in particular Article 31(4), Article 35(9), Article 37(6), Article 37(7), Article 50(1)(a), Article 50(1)(b), Article 50(2)(a), Article 50(2)(b), Article 50(3), Article 56, Article 75(2), Article 75(3), Article 86(1)(a) to (i), Article 86(2)(a), Article 86(2)(b), Article 92(1), Article 92(1a), Article 97(1), Article 97(2), Article 99(a), Article 99(b), Article 109a(5), Article 111(1)(a) to (f), Article 111(1)(g) to (q), Article 114(1)(a), Article 114(1)(b), Article 126, Article 127, Article 130, Article 135(2)(a), Article 135(2)(b), Article 135(2)(c), Article 135(3), Article 143(1), Article 172(1), Article 211(2), Article 216(7), Article 217(3), Article 227(3), Article 234, Article 241(a), Article 241(b), Article 241(c), Article 244(4), Article 244(5), Article 245(4), Article 245(5), Article 248(7), Article 248(8), Article 249(3), Article 256(4), Article 260(2) and Article 308b(13) thereof,
Whereas:
HAS ADOPTED THIS REGULATION: