# 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) (revoked) EU Regulation 2015/35 · adopted 10 October 2014 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) ## Introductory text 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) (revoked) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Title I: 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 ## 1 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 2 Expert judgement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Technical standards ## 3 The PRA's powers to make technical standards and publish technical information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 4 General requirements on the use of credit assessments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 5 Issuers and issue credit assessment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 6 Double credit rating for securitisation positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter II: VALUATION OF ASSETS AND LIABILITIES ## 7 Valuation assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 8 Scope . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 9 Valuation methodology — general principles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 10 Valuation methodology — valuation hierarchy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 11 Recognition of contingent liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 12 Valuation methods for goodwill and intangible assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 13 Valuation methods for related undertakings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 14 Valuation methods for specific liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 15 Deferred taxes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 16 Exclusion of valuation methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter III: RULES RELATING TO TECHNICAL PROVISIONS ### Section 1: General provisions ## 17 Recognition and derecognition of insurance and reinsurance obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 18 Boundary of an insurance or reinsurance contract . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Data quality ## 19 Data used in the calculation of technical provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 20 Limitations of data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 21 Appropriate use of approximations to calculate the best estimate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 3: Methodologies to calculate technical provisions ### Subsection 1: Assumptions underlying the calculation of technical provisions ## 22 General provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 23 Future management actions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 24 Future discretionary benefits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 25 Separate calculation of the future discretionary benefits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 26 Policyholder behaviour . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 2: Information underlying the calculation of best estimates ## 27 Credibility of information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 3: Cash flow projections for the calculation of the best estimate ## 28 Cash flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 29 Expected future developments in the external environment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 30 Uncertainty of cash flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 31 Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 32 Contractual options and financial guarantees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 33 Currency of the obligation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 34 Calculation methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 35 Homogeneous risk groups of life insurance obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 36 Non-life insurance obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 4: Risk margin ## 37 Calculation of the risk margin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 38 Reference undertaking . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 39 Cost-of-Capital rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 5: Calculation of technical provisions as a whole ## 40 Circumstances in which technical provisions shall be calculated as a whole and the method to be used . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 6: Recoverables from reinsurance contracts and special purpose vehicles ## 41 General provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 42 Counterparty default adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 4: Relevant risk-free interest rate term structure ### Subsection 1: General provisions ## 43 General provisions ### Subsection 2: Basic risk free interest rate term structure ## 44 Relevant financial instruments to derive the basic risk-free interest rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 45 Adjustment to swap rates for credit risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 46 Extrapolation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 47 Ultimate forward rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 48 Basic risk-free interest rate term structure of currencies pegged to the euro . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 3: Volatility adjustment ## 49 Reference portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 50 Formula to calculate the spread underlying the volatility adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 51 Risk-corrected spread . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 4: Matching adjustment ## 52 Mortality risk stress . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 53 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 54 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 5: Lines of business ## 55 Lines of business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 6: Proportionality and simplifications ## 56 Proportionality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 57 Simplified calculation of recoverables from reinsurance contracts and special purpose vehicles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 58 Simplified calculation of the risk margin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 59 Calculations of the risk margin during the financial year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 60 Simplified calculation of the best estimate for insurance obligations with premium adjustment mechanism . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 61 Simplified calculation of the counterparty default adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter IV: OWN FUNDS ### Section 1: Determination of own funds ### Subsection 1: Supervisory approval of ancillary own funds ## 62 Assessment of the application . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 63 Assessment of the application — Status of the counterparties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 64 Assessment of the application — Recoverability of the funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 65 Assessment of the application — Information on the outcome of past calls . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 66 Specification of amount relating to an unlimited amount of ancillary own funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 67 Specification of amount and timing relating to the approval of a method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 2: Own funds treatment of participations ## 68 Treatment of participations in the determination of basic own funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Classification of own funds ## 69 Tier 1 — List of own-fund items . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 70 Reconciliation Reserve . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 71 Tier 1 — Features determining classification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 72 Tier 2 Basic own-funds — List of own-fund items . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 73 Tier 2 Basic own-funds — Features determining classification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 74 Tier 2 Ancillary own-funds — List of own-fund items . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 75 Tier 2 Ancillary own-funds — Features determining classification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 76 Tier 3 Basic own-funds– List of own-fund items . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 77 Tier 3 Basic own-funds– Features determining classification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 78 Tier 3 Ancillary own-funds– List of own-funds items . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 79 Supervisory Authorities approval of the assessment and classification of own-fund items . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 3: Eligibility of own funds ### Subsection 1: Ring-fenced funds ## 80 Ring-fenced funds requiring adjustments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 81 Adjustment for ring-fenced funds and matching adjustment portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 2: Quantitative limits ## 82 Eligibility and limits applicable to Tiers 1, 2 and 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter V: SOLVENCY CAPITAL REQUIREMENT STANDARD FORMULA ### Section 1: General provisions ### Subsection 1: Scenario based calculations ## 83 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 2: Look-through approach ## 84 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 3: Regional governments and local authorities ## 85 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 4: Material basis risk ## 86 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 5: Calculation of the basic solvency capital requirement ## 87 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 6: Proportionality and simplifications ## 88 Proportionality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 89 General provisions for simplifications for captives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 90 Simplified calculation for captive insurance and reinsurance undertakings of the capital requirement for non-life premium and reserve risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 90a Simplified calculation for discontinuance of insurance policies in the non-life lapse risk sub-module ## 90b Simplified calculation of the sum insured for natural catastrophe risks ## 90c Simplified calculation of the capital requirement for fire risk ## 91 Simplified calculation of the capital requirement for life mortality risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 92 Simplified calculation of the capital requirement for life longevity risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 93 Simplified calculation of the capital requirement for life disability-morbidity risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 94 Simplified calculation of the capital requirement for life-expense risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 95 Simplified calculation of the capital requirement for permanent changes in lapse rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 95a Simplified calculation of the capital requirement for risks in the life lapse risk sub-module ## 96 Simplified calculation of the capital requirement for life-catastrophe risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 96a Simplified calculation for discontinuance of insurance policies in the NSLT health lapse risk sub-module ## 97 Simplified calculation of the capital requirement for health mortality risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 98 Simplified calculation of the capital requirement for health longevity risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 99 Simplified calculation of the capital requirement for medical expense disability-morbidity risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 100 Simplified calculation of the capital requirement for income protection disability-morbidity risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 101 Simplified calculation of the capital requirement for health expense risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 102 Simplified calculation of the capital requirement for SLT health lapse risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 102a Simplified calculation of the capital requirement for risks in the SLT health lapse risk sub-module ## 103 Simplified calculation of the capital requirement for interest rate risk for captive insurance or reinsurance undertakings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 104 Simplified calculation for spread risk on bonds and loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 105 Simplified calculation for captive insurance or reinsurance undertakings of the capital requirement for spread risk on bonds and loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 105a Simplified calculation for the risk factor in the spread risk sub-module and the market risk concentration sub-module ## 106 Simplified calculation of the capital requirement for market risk concentration for captive insurance or reinsurance undertakings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 107 Simplified calculation of the risk mitigating effect for reinsurance arrangements or securitisation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 108 Simplified calculation of the risk mitigating effect for proportional reinsurance arrangements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 109 Simplified calculations for pooling arrangements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 110 Simplified calculation — grouping of single name exposures ## 111 Simplified calculation of the risk mitigating effect . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 111a Simplified calculation of the risk-mitigating effect on underwriting risk ## 112 Simplified calculation of the risk adjusted value of collateral to take into account the economic effect of the collateral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 112a Simplified calculation of the loss-given-default for reinsurance ## 112b Simplified calculation of the capital requirement for counterparty default risk on type 1 exposures ### Subsection 7: Scope of the underwriting risk modules ## 113 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Non-life underwriting risk module ## 114 Non-life underwriting risk module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 115 Non-life premium and reserve risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 116 Volume measure for non-life premium and reserve risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 117 Standard deviation for non-life premium and reserve risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 118 Non-life lapse risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 119 Non-life catastrophe risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 120 Natural catastrophe risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 121 Windstorm risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 122 Earthquake risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 123 Flood risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 124 Hail risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 125 Subsidence risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 126 Interpretation of catastrophe scenarios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 127 Sub-module for catastrophe risk of non-proportional property reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 128 Man-made catastrophe risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 129 Motor vehicle liability risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 130 Marine risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 131 Aviation risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 132 Fire risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 133 Liability risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 134 Credit and suretyship risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 135 Sub-module for other non-life catastrophe risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 3: Life underwriting risk module ## 136 Correlation coefficients . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 137 Mortality risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 138 Longevity risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 139 Disability-morbidity risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 140 Life-expense risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 141 Revision risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 142 Lapse risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 143 Life-catastrophe risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 4: Health underwriting risk module ## 144 Health underwriting risk module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 145 NSLT health underwriting risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 146 NSLT health premium and reserve risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 147 Volume measure for NSLT health premium and reserve risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 148 Standard deviation for NSLT health premium and reserve risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 149 Health risk equalisation systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 150 NSLT health lapse risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 151 SLT health underwriting risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 152 Health mortality risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 153 Health longevity risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 154 Health disability-morbidity risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 155 Capital requirement for medical expense disability-morbidity risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 156 Capital requirement for income protection disability-morbidity risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 157 Health expense risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 158 Health revision risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 159 SLT health lapse risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 160 Health catastrophe risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 161 Mass accident risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 162 Accident concentration risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 163 Pandemic risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 5: Market risk module ### Subsection 1: Correlation coefficients ## 164 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 1a: Qualifying infrastructure investments ## 164a Qualifying infrastructure investments ## 164b Qualifying infrastructure corporate investments ### Subsection 2: Interest rate risk sub-module ## 165 General provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 166 Increase in the term structure of interest rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 167 Decrease in the term structure of interest rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 3: Equity risk sub-module ## 168 General provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 168a Qualifying unlisted equity portfolios ## 169 Standard equity risk sub-module ## 170 Duration-based equity risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 171 Strategic equity investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 171a Long-term equity investments ## 172 Symmetric adjustment of the equity capital charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 173 Criteria for the use of transitional measure for standard equity risk ### Subsection 4: Property risk sub-module ## 174 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 5: Spread risk sub-module ## 175 Scope of the spread risk sub-module . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 176 Spread risk on bonds and loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 176a Internal assessment of credit quality steps of bonds and loans ## 176b Requirements for an undertaking's own internal credit assessment of bonds and loans ## 176c Assessment of credit quality steps of bonds and loans based on an approved internal model ## 177 Spread risk on securitisation positions: general provisions ## 178 Spread risk on securitisation positions: calculation of the capital requirement ## 178a Spread risk on securitisation positions: transitional provisions ## 179 Spread risk on credit derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 180 Specific exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 181 Application of the spread risk scenarios to matching adjustment portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 6: Market risk concentrations sub-module ## 182 Single name exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 183 Calculation of the capital requirement for market risk concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 184 Excess exposure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 185 Relative excess exposure thresholds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 186 Risk factor for market risk concentration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 187 Specific exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 7: Currency risk sub-module ## 188 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 6: Counterparty default risk module ### Subsection 1: General provisions ## 189 Scope . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 190 Single name exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 191 Mortgage loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 192 Loss-given-default . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 192a Exposure to clearing members ## 193 Loss-given-default for pool exposures of type A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 194 Loss-given-default for pool exposures of type B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 195 Loss-given-default for pool exposures of type C . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 196 Risk-mitigating effect ## 197 Risk-adjusted value of collateral . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 198 Risk-adjusted value of mortgage . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 2: Type 1 exposures ## 199 Probability of default . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 200 Type 1 exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 201 Variance of the loss distribution of type 1 exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Subsection 3: Type 2 exposures ## 202 Type 2 exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 7: Intangible asset module ## 203 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 8: Operational risk ## 204 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 9: Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes ## 205 General provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 206 Adjustment for the loss-absorbing capacity of technical provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 207 Adjustment for the loss-absorbing capacity of deferred taxes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 10: Risk mitigation techniques ## 208 Methods and Assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 209 Qualitative Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 210 Effective Transfer of Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 211 Risk-Mitigation techniques using reinsurance contracts or special purpose vehicles . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 212 Financial Risk-Mitigation techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 213 Status of the counterparties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 214 Collateral Arrangements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 215 Guarantees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 11: Ring fenced funds ## 216 Calculation of the Solvency Capital Requirement in the case of ring-fenced funds and matching adjustment portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 217 Solvency Capital Requirement calculation method for ring-fenced funds and matching adjustment portfolios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 12: Undertaking-specific parameters ## 218 Subset of standard parameters that may be replaced by undertaking-specific parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 219 Data criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 220 Standardised methods to calculate the undertaking-specific parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 13: Procedure for updating correlation parameters ## 221 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter VI: SOLVENCY CAPITAL REQUIREMENT — FULL AND PARTIAL INTERNAL MODELS ### Section 1: Definitions ## 222 Materiality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Use test ## 223 Use of the internal model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 224 Fit to the business . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 225 Understanding of the internal model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 226 Support of decision-making and integration with risk management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 227 Simplified calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 3: Statistical quality standards ## 228 Probability distribution forecast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 229 Adequate, applicable and relevant actuarial techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 230 Information and assumptions used for the calculation of the probability distribution forecast . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 231 Data used in the internal model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 232 Ability to rank risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 233 Coverage of all material risks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 234 Diversification effects . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 235 Risk-mitigation techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 236 Future management actions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 237 Understanding of external models and data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 4: Calibration standards ## 238 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 5: Integration of partial internal models ## 239 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 6: Profit and loss attribution ## 240 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 7: Validation standards ## 241 Model validation process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 242 Validation tools . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 8: Documentation standards ## 243 General provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 244 Minimum content of the documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 245 Circumstances under which the internal model does not work effectively . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 246 Changes to the internal model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 9: External models and data ## 247 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter VII: MINIMUM CAPITAL REQUIREMENT ## 248 Minimum Capital Requirement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 249 Linear Minimum Capital Requirement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 250 Linear formula component for non-life insurance and reinsurance obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 251 Linear formula component for life insurance and reinsurance obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 252 Minimum Capital Requirement: composite insurance undertakings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 253 Absolute floor of the Minimum Capital Requirement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter VIII: INVESTMENTS IN SECURITISATION POSITIONS ## 254 Risk retention requirements relating to the originators, sponsors or original lenders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 255 Exemptions to risk retention requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 256 Qualitative requirements relating to insurance and reinsurance undertakings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 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 ## 258 General governance requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 259 Risk Management System . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 260 Risk management areas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 261 Risk management in undertakings providing loans and/or mortgage insurance or reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 261a Risk management for qualifying infrastructure investments or qualifying infrastructure corporate investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 262 Overall solvency needs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 263 Alternative methods for valuation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 264 Valuation of technical provisions — validation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 265 Valuation of technical provisions — documentation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 266 Internal control system . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 267 Internal control of valuation of assets and liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Functions ## 268 Specific provisions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 269 Risk management function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 270 Compliance function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 271 Internal audit function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 272 Actuarial function . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 3: Fit and proper requirements ## 273 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 4: Outsourcing ## 274 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 5: Remuneration policy ## 275 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter X: CAPITAL ADD-ON ### Section 1: Circumstances for imposing a capital add-on ## 276 Assessment of a significant deviation as regards the SCR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 277 Assessment of a significant deviation as regards the governance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 278 Assessment of a significant deviation as regards adjustments to the relevant risk-free rate and transitional measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 279 Add-ons in relation to deviations from Solvency Capital Requirement assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 280 Assessment of the requirement to use an internal model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 281 Appropriate timeframe for adapting the internal model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Methodologies for calculating capital add-ons ## 282 Calculation of add-ons in relation to deviations from SCR assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 283 Scope and approach of modifications as regards a deviation from SCR assumptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 284 Calculation of add-ons in relation to adjustments to the relevant risk-free rate or transitional measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 285 Scope and approach of modifications as regards adjustments to the relevant risk-free rate and transitional measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 286 Calculation of add-ons in relation to deviations from governance standards . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 287 Apportionment of add-ons for undertakings which simultaneously pursue life and non-life insurance activities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter XI: EXTENSION OF THE RECOVERY PERIOD ## 288 Assessment of exceptional adverse situations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 289 Factors and criteria to determine the extension of the recovery period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter XII: PUBLIC DISCLOSURE ### Section 1: Solvency and financial condition report: structure and contents ## 290 Structure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 291 Materiality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 292 Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 293 Business and performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 294 System of governance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 295 Risk profile . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 296 Valuation for solvency purposes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 297 Capital management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 298 Additional voluntary information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Solvency and financial condition report: non-disclosure of information ## 299 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 3: Solvency and financial condition report: deadlines, means of disclosure and updates ## 300 Deadlines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 301 Means of disclosure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 302 Updates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 303 Transitional arrangements on comparative information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter XIII: REGULAR SUPERVISORY REPORTING ### Section 1: Elements and contents ## 304 Elements of the regular supervisory reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 305 Materiality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 306 Own-risk and solvency assessment supervisory report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 307 Business and performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 308 System of governance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 309 Risk profile . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 310 Valuation for solvency purposes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 311 Capital management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Deadlines and means of communication ## 312 Deadlines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 313 Means of communication . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 314 Transitional information requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter XIV: TRANSPARENCY AND ACCOUNTABILITY OF SUPERVISORY AUTHORITIES ## 315 Confidential information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 316 Aggregate statistical data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 317 Means of disclosure . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter XV: SPECIAL PURPOSE VEHICLES ### Section 1: Authorization ## 318 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Mandatory contract conditions ## 319 Fully Funded . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 320 Effective transfer of risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 321 Rights of the providers of debt or financing mechanisms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 3: System of governance ## 322 Fit and proper requirements of persons who effectively run a special purpose vehicle . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 323 Fit and proper requirements for shareholders or members with a qualifying holding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 324 Sound administrative and accounting procedures, adequate internal control mechanisms and risk-management requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 4: Supervisory reporting ## 325 Supervisory reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 5: Solvency requirements ## 326 Solvency requirements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 327 Solvency requirements on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Title II: INSURANCE GROUPS ### Chapter I: SOLVENCY CALCULATION AT GROUP LEVEL ### Section 1: Group solvency: choice of calculation method and general principles ## 328 Choice of method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 329 Treatment of specific related undertakings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 330 Availability at group level of the eligible own funds of related undertakings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Group solvency: calculation methods ## 331 Classification of own-fund items of related insurance and reinsurance undertakings at group level . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 332 Classification of own-fund items of related third-country insurance or reinsurance undertakings at group level . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 333 Classification of own-fund items of insurance holding companies, mixed financial holding companies, and subsidiary ancillary services undertakings at group level . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 334 Classification of own-fund items of residual related undertakings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 335 Method 1: determination of consolidated data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 336 Method 1: Calculation of the consolidated group Solvency Capital Requirement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 337 Method 1: determination of the local currency for the purposes of the currency risk calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 338 Method 1: group-specific parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 339 Method 1: best estimate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 340 Method 1: Risk margin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 341 Combination of methods 1 and 2: minimum consolidated group Solvency Capital Requirement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 342 Method 2: Elimination of intra-group creation of capital in relation to the best estimate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### 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 ## 343 Application for the use of an internal model to calculate only the consolidated group Solvency Capital Requirement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 344 Assessment of the application for the use of an internal model to calculate only the consolidated group Solvency Capital Requirement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 346 Use test for internal models used to calculate only the consolidated group Solvency Capital Requirement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Use of a group internal model ## 347 Application to use a group internal model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 348 Assessment of the completeness of an application to use a group internal model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 349 Decision on the application and transitional plan to extend the scope of the model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 350 Use test for group internal models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter III: SUPERVISION OF GROUP SOLVENCY FOR GROUPS WITH CENTRALISED RISK MANAGEMENT ## 351 Assessment of conditions: criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 352 Assessment of conditions: procedures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 353 Assessment of an emergency situation: criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter IV: COORDINATION OF GROUP SUPERVISION ### Section 1: Group specific parameters ## 354 Definition of significant branches . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 355 Coordination arrangements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 356 Supervisory approval of group-specific parameters . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Exchange of information ## 357 Information to be exchanged on a systematic basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 3: National or regional subgroup supervision ## 358 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter V: PUBLIC DISCLOSURE ### Section 1: Group solvency and financial condition report ## 359 Structure and contents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 360 Languages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 361 Non-disclosure of information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 362 Deadlines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 363 Updates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 364 Transitional arrangements on comparative information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Single solvency and financial condition report ## 365 Structure and contents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 366 Languages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 367 Non-disclosure of information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 368 Deadlines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 369 Updates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 370 Reference . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 371 Transitional arrangements on comparative information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter VI: GROUP SUPERVISORY REPORTING ### Section 1: Regular reporting ## 372 Elements and contents . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 373 Deadlines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 374 Languages . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 375 Additional transitional information on groups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Section 2: Reporting on risk concentrations and intragroup transactions ## 376 Significant risk concentrations (definition, identification and thresholds) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 377 Significant intragroup transactions (definition, identification) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Title III: THIRD COUNTRY EEQUIVALENCE AND FINAL PROVISIONS ### Chapter I: UNDERTAKINGS CARRYING OUT REINSURANCE ACTIVITIES WITH THEIR HEAD OFFICE IN A THIRD COUNTRY ## 377A References to United Kingdom law . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 378 Criteria for assessing third country equivalence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 378A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 378B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter II: RELATED THIRD COUNTRY INSURANCE AND REINSURANCE UNDERTAKINGS ## 379 Criteria for assessing third country equivalence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 379A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter III: INSURANCE AND REINSURANCE UNDERTAKINGS WITH THE PARENT UNDERTAKINGS OUTSIDE THE UNION ## 380 Criteria for assessing third country equivalence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 380A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Chapter IV: FINAL PROVISIONS ## 380B Regulations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 381 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Signature . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex I: LINES OF BUSINESS ### Division A: Non-life insurance obligations ## (1) Medical expense insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) Income protection insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (3) Workers' compensation insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (4) Motor vehicle liability insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (5) Other motor insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (6) Marine, aviation and transport insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (7) Fire and other damage to property insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (8) General liability insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (9) Credit and suretyship insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (10) Legal expenses insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (11) Assistance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (12) Miscellaneous financial loss . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B Proportional non-life reinsurance obligations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division C: Non-proportional non-life reinsurance obligations ## (25) Non-proportional health reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (26) Non-proportional casualty reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (27) Non-proportional marine, aviation and transport reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (28) Non-proportional property reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division D: Life insurance obligations ## (29) Health insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (30) Insurance with profit participation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (31) Index-linked and unit-linked insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (32) Other life insurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (33) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (34) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division E: Life reinsurance obligations ## (35) Health reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (36) Life reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex II SEGMENTATION OF NON-LIFE INSURANCE AND REINSURANCE OBLIGATIONS AND STANDARD DEVIATIONS FOR THE NON-LIFE PREMIUM AND RESERVE RISK SUB-MODULE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex III: FACTOR FOR GEOGRAPHICAL DIVERSIFICATION OF PREMIUM AND RESERVE RISK ## 1 For all segments set out in Annexes II and XIV, the factor for geographical diversification of a particular segment s referred to in Articles 116 and 147 shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 8 Regions for the calculation of the factor for geographical diversification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex IV CORRELATION MATRIX FOR NON-LIFE PREMIUM AND RESERVE RISK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division: PARAMETERS FOR THE WINDSTORM RISK SUB-MODULE ### Division: Regions and windstorm risk factors ## WINDSTORM RISK CORRELATION COEFFICIENTS FOR REGIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division: PARAMETERS FOR THE EARTHQUAKE RISK SUB-MODULE ### Division: Regions and earthquake risk factors ## EARTHQUAKE RISK CORRELATION COEFFICIENTS FOR REGIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division: PARAMETERS FOR THE FLOOD RISK SUB-MODULE ### Division: Regions and flood risk factors ## FLOOD RISK CORRELATION COEFFICIENTS FOR REGIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex VIII: PARAMETERS FOR THE HAIL RISK SUB-MODULE ## Regions and hail risk factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Hail risk correlation coefficients for regions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex IX THE GEOGRAPHICAL DIVISION OF REGIONS SET OUT IN ANNEXES V-VIII INTO RISK ZONES The risk zones of regions set out in annexes V-VIII as referred to in annexes X-XIII shall be equal to the postal code areas or administrative units in the following tables. ## Mappings of risk zones for regions with only one risk zone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Mappings of risk zones for regions where the zonation is based on postal codes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Mapping of risk zones for regions where the zonation is based on administrative units — part 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Mappings of risk zones for regions where the zonation is based on administrative units — part 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Mapping of risk zones for the Republic of Finland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Mapping of risk zones for the Republic of France . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Mapping of risk zones for the Republic of Slovenia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Mapping of risk zones for the Kingdom of Denmark . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex X: RISK WEIGHTS FOR CATASTROPHE RISK ZONES ## Risk weights for windstorm risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Risk weights for earthquake risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Risk weights for flood risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Risk weights for hail risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XI LIABILITY RISK GROUPS, RISK FACTORS AND CORRELATION COEFFICIENTS FOR THE LIABILITY RISK SUB-MODULE For the purpose of the above table, the following definitions shall apply: (a)Professional malpractice liability insurance obligations mean liability insurance obligations included in line of business 8 as set out in Annex I which cover liabilities arising out of professional practice in relation to clients and patients; (b)Employers liability insurance obligations mean liability insurance obligations included in line of business 8 as set out in Annex I which cover liabilities of employers arising out of death, illness, accident, disability or infirmity of an employee in the course of the employment; (c)Directors and officers insurance obligations mean liability insurance obligations included in line of business 8 as set out in Annex I which cover liabilities of directors and officers of a company, arising out of the management of that company, or losses of the company itself to the extent it indemnifies its directors and officers in relation to such liabilities. (d)Personal liability insurance obligations mean liability insurance obligations included in line of business 8 as set out in Annex I which cover liabilities of natural persons in their capacity of private householders. ## LIABILITY RISK CORRELATION COEFFICIENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XII GROUPS OF OBLIGATIONS AND RISK FACTORS FOR THE SUB-MODULE FOR OTHER NON-LIFE CATASTROPHE RISK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XIII LIST OF REGIONS FOR WHICH NATURAL CATASTROPHE RISK IS NOT CALCULATED BASED ON PREMIUMS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XIV SEGMENTATION OF NSLT HEALTH INSURANCE AND REINSURANCE OBLIGATIONS AND STANDARD DEVIATIONS FOR THE NSLT HEALTH PREMIUM AND RESERVE RISK SUB-MODULE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XV CORRELATION MATRIX FOR NSLT HEALTH PREMIUM AND RESERVE RISK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XVI: HEALTH CATASTROPHE RISK SUB-MODULE OF THE SOLVENCY CAPITAL REQUIREMENT STANDARD FORMULA ## GEOGRAPHICAL SEGMENTATION AND RISK FACTORS FOR THE MASS ACCIDENT RISK SUB-MODULE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## DEFINITION OF EVENTS AND RISK FACTORS FOR THE MASS ACCIDENT RISK SUB-MODULE AND ACCIDENT CONCENTRATION RISK SUB-MODULE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## DEFINITION OF HEALTHCARE UTILISATION AND RISK FACTORS FOR THE PANDEMIC RISK SUB-MODULE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XVII: METHOD-SPECIFIC DATA REQUIREMENTS AND METHOD SPECIFICATIONS FOR UNDERTAKING-SPECIFIC PARAMETERS OF THE STANDARD FORMULA ### Division A: Definitions and notations ## (1) For the purpose of this Annex, the following definitions shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division B: Premium risk method ### Division: Input data and method-specific data requirements ## (1) The data for estimating the undertaking-specific standard deviation of segment s shall consist of the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) The following method-specific data requirements shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division: Method specification ## (3) For the purpose of paragraphs 4-6, the following notation shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (4) The undertaking-specific standard deviation of segment s shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (5) The standard deviation function shall be equal to the following function of two variables: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (6) The mixing parameter and the logarithmic variation coefficient shall be the values and respectively for which the following amount becomes minimal: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division C: Reserve risk method 1 ### Division: Input data and method-specific data requirements ## (1) The data for estimating the undertaking-specific standard deviation for non-life reserve risk or NSLT health reserve risk of segment s shall consist of the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) The following method-specific data requirements shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division: Method specification ## (3) For the purpose of paragraphs 4-6, the following notation shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (4) The undertaking-specific standard deviation for non-life reserve risk or NSLT health reserve risk of segment s shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (5) The standard deviation function shall be equal to the following function of two variables: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (6) The mixing parameter and the logarithmic variation coefficient shall be the values and respectively for which the following amount becomes minimal: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division D: Reserve risk method 2 ### Division: Input data and method-specific data requirements ## (1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) The following method-specific data requirements shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division: Method specification ## (3) For the purpose of paragraphs 4 and 5, the following notation shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (4) The undertaking-specific standard deviation for non-life reserve risk or NSLT health reserve risk of segment s shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (5) The mean squared error of prediction shall be equal to the following: where: (a)for all accident years and development years, denotes the cumulative claim estimate in the specific accident year i and development year j, as set out in paragraph 4(c). (b)for all development years, Sj denotes for a specific development year j the following amount: Sj=∑i=0I−j−1Ci,j (c)for all development years, S′j denotes for a specific development year j the following amount: S′j=∑i=0I−jCi,j (d)for all development years, denotes for a specific development year j the following amount: where: (i)denotes the development factor estimate of development year j as set out in paragraph 4(c); (ii)denotes the following amount: ### Division E: Revision risk method ### Division: Input data and method-specific data requirements ## (1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) The following method-specific data requirements shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division: Method specification ## (3) For the purpose of paragraphs 4-8, the following notation shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (4) The undertaking-specific increase in the amount of annuity benefits shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (5) The expected value of annuity increases shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (6) The annuity increases shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (7) The estimated standard deviation of the number of changes in annuity benefits shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (8) The estimated standard deviation of changes in annuity benefits shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division F1: Non-proportional reinsurance method 1 ### Division: Input data and method-specific data requirements ## (1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) The following method-specific data requirements shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division: Method specification ## (3) For the purpose of paragraphs 4-7, the following notation shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (4) The undertaking-specific specific adjustment factor for non-proportional reinsurance shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (5) The estimated adjustment factor for non-proportional reinsurance shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (6) The parameters, μ 2, ω 1 and ω 2 shall be equal to the following: μ2=μ×Nlnb2−θη−η+b2×N−lnb2−θη ω1=ω×Nlnb1−θη−2×η+b21×N−lnb1−θη ω2=ω×Nlnb2−θη−2×η+b22×N−lnb2−θη where: (a)N denotes the cumulative probability function of the normal distribution; (b)ln denotes the natural logarithm; (c)the parameters θ and η are equal to the following: θ=2lnμ−12lnω η=lnω−2lnμ. ## (7) Notwithstanding paragraph 5, where non-proportional reinsurance covers homogeneous risk-groups within a segment, the estimated adjustment factor for non-proportional reinsurance shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division F2: Non-proportional reinsurance method 2 ## Input data and method-specific data requirements (1)The data for estimating the undertaking-specific adjustment factor for non-proportional reinsurance shall consist of the aggregated annual losses of insurance and reinsurance claims that were reported to the insurance or reinsurance undertaking in segment s during the last financial years. (2)The following method-specific data requirements shall apply: (a)the data are representative for the premium risk that the insurance or reinsurance undertaking is exposed to during the following 12 months; (b)the data do not indicate a higher premium risk than reflected in the standard deviation for premium risk used to calculate the Solvency Capital Requirement; (c)the aggregated annual losses are estimated in the year the insurance and reinsurance claims were reported; (d)data are available for at least five reporting years; (e)where the recognisable stop loss reinsurance contract applies to gross claims, the aggregated annual losses are gross; (f)where the recognisable stop loss reinsurance contract applies to claims after deduction of the recoverables from certain other reinsurance contracts and special purpose vehicles, the amounts receivable from those certain other reinsurance contracts and special purpose vehicles are deducted from the aggregated annual losses; (g)the aggregated annual losses shall not include expenses incurred in servicing the insurance and reinsurance obligations; (h)the data are consistent with the assumption that aggregated annual losses follow a lognormal distribution, including in the tail of the distribution. ## Method specification (1)For the purpose of paragraphs 4-7, the following notation shall apply: (a) n denotes the number of financial years for which aggregated annual losses data is available; (b) Y i denotes the aggregated losses in financial year i ; (c)μ and ω denote the first and second moment, respectively, of the aggregated annual losses distribution, being equal to the following amounts: μ=1n∑i=1nYi and ω=1n∑i=1nY2i (d) b 1 denotes the amount of the retention of the recognisable stop loss reinsurance contract referred to in Article 218(2); (e)where the recognisable stop loss reinsurance contract referred to in Article 218(2) provides compensation only up to a specified limit, b 2 denotes the amount of that limit. (2)The undertaking-specific specific adjustment factor for non-proportional reinsurance shall be equal to the following: NP USP = c · NP′ + (1 – c ) · NP where: (a) c denotes the credibility factor set out in section G; (b) NP′ denotes the estimated adjustment factor for non-proportional reinsurance set out in paragraph 5; (c) NP denotes the adjustment factor for non-proportional reinsurance set out in Article 117(2). (3)The estimated adjustment factor for non-proportional reinsurance shall be equal to the following: where the parameters μ 1 , μ 2 , ω 1 and ω 2 are set out in paragraph 6. (4)The parameters μ 1 , μ 2 , ω 1 and ω 2 shall be equal to the following: μ1=μ×Nlnb1−θη−η+b1×N−lnb1−θη μ2=μ×Nlnb2−θη−η+b2×N−lnb2−θη ω1=ω×Nlnb1−θη−2×η+b21×N−lnb1−θη ω2=ω×Nlnb2−θη−2×η+b22×N−lnb2−θη where: (a) N denotes the cumulative probability function of the normal distribution; (b) ln denotes the natural logarithm; (c)the parameters θ and η are equal to the following: θ=2ln μ−12 ln ω η=ln ω−2ln μ (5)Notwithstanding paragraph 5, where non-proportional reinsurance covers homogeneous risk-groups within a segment, the estimated adjustment factor for non-proportional reinsurance shall be equal to the following: NP′=∑hVprem,h×NP′h∑hVprem,h where: (a) V ( prem,h ) denotes the volume measure for premium risk of the homogeneous risk group h determined in accordance with paragraph 3 of Article 116; (b) NP′ ( h ) denotes the estimated adjustment factor for non-proportional reinsurance of homogeneous risk group h determined in accordance with paragraph 5. ### Division G: Credibility factor ## (1) The credibility factor for segments 1, 5 and 6 set out in Annex II shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) The credibility factor for segments 2 to 4 and 7 to 12 set out in Annex II, for the segments set out Annex XIV and for the revision risk method shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (3) The time length shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XVIII: INTEGRATION TECHNIQUES FOR PARTIAL INTERNAL MODELS ### Division A: General provisions ## (1) For the purposes of this Annex, the following definitions shall apply: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) Where insurance and reinsurance undertakings apply integration techniques 1 to 5, their Solvency Capital Requirement shall be the sum of the following items: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (3) Where the adjustment for the loss-absorbing capacity of technical provisions and deferred taxes is not within the scope of the partial internal model, it shall be calculated as laid down in Articles 205 to 207, but with the following changes: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B Integration technique 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division C: Integration technique 2 ## (1) The Basic Solvency Capital Requirement shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) The items on the aggregation list shall meet the following requirements: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (3) The correlation parameters referred to in point (b) of paragraph 1 shall comply with the following requirements: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division D: Integration technique 3 ## (1) The Basic Solvency Capital Requirement shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) The first implied correlation parameter shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (3) The second implied correlation parameter shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (4) The third implied correlation parameter shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division E: Integration technique 4 ## (1) The Basic Solvency Capital Requirement shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) For all modules of the standard formula referred to in paragraph 1(h)(ii), the capital requirement of a particular module shall be calculated with the formula set out in paragraph 1, applying the following denominations: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (3) For all sub-modules of the standard formula referred to in paragraph 2(h)(ii), the capital requirement of a particular sub-module shall be calculated with the formula set out in paragraph 1, applying the following denominations: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division F: Integration technique 5 ## (1) The Basic Solvency Capital Requirement shall be equal to the following: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) For all modules of the standard formula referred to in paragraph 1(b)(ii), the capital requirement of a particular module shall be calculated with the formula set out in paragraph 1, applying the following denominations: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (3) For all modules of the standard formula referred to in paragraph 2(b)(ii), the capital requirement of a particular module shall be calculated with the formula set out in paragraph 1, applying the following denominations: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XIX MCR RISK FACTORS FOR NON-LIFE AND HEALTH INSURANCE OR REINSURANCE OBLIGATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XX: STRUCTURE OF THE SOLVENCY AND FINANCIAL CONDITION REPORT AND REGULAR SUPERVISORY REPORT ### Division: Summary ### Division A: Business and Performance ## A.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## A.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## A.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## A.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## A.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division B: System of Governance ## B.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B.6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B.7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B.8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division C: Risk Profile ## C.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## C.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## C.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## C.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## C.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## C.6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## C.7 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division D: Valuation for Solvency Purposes ## D.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## D.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## D.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## D.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## D.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ### Division E: Capital Management ## E.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## E.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## E.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## E.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## E.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## E.6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XXI: AGGREGATE STATISTICAL DATA ### Division A: Data on supervised undertakings and groups ## Data with regard to insurance and reinsurance undertakings supervised under Directive 2009/138/EC The information set out in paragraphs 1 to 5, 7 to 17 shall be provided separately for: all insurance and reinsurance undertakings; life insurance undertakings; non-life insurance undertakings; insurance undertakings which simultaneously pursue both life and non-life insurance activities; reinsurance undertakings. ## (1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (3) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (5) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (7) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (9) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (10) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (12) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (13) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (14) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (15) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (16) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (17) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (18) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (19) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (20) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (21) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (22) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (23) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Data with regard to insurance groups supervised under Directive 2009/138/EC The information set out in paragraphs 1 to 32 shall be provided in relation to the end of the last calendar year. In relation to paragraphs 12 to 21, 23, 24 and 29 to 31 the information shall relate to the financial year-ends of insurance and reinsurance undertakings and insurance groups which ended in the last calendar year. ## (24) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (25) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (26) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (27) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (28) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (29) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (30) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (31) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## (32) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## B Data on the supervisory authority . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XXII CORRELATION COEFFICIENTS FOR WINDSTORM RISK The correlation parameter Corr(windstorm,r,i,j) referred to in Article 121(5) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX. ## 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 Germany . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Correlation coefficients for windstorm risk in the Republic of Ireland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Correlation coefficients for windstorm risk in the Kingdom of the Netherlands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 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 Great Britain and Northern Ireland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Correlation coefficients for windstorm risk in the Republic of Hungary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XXIII CORRELATION COEFFICIENTS FOR EARTHQUAKE RISK The correlation parameter Corr(earthquake,r,i,j) referred to in Article 122(2) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX. ## 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 Germany . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XXIV CORRELATION COEFFICIENTS FOR FLOOD RISK The correlation parameter Corr(flood,r,i,j) referred to in Article 123(5) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX. ## 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 Germany . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 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 Great Britain and Northern Ireland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XXV CORRELATION COEFFICIENTS FOR HAIL RISK The correlation parameter Corr(hail,r,i,j) referred to in Article 124(5) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX. ## 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 Germany . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Correlation coefficients for hail risk in the Italian Republic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Correlation coefficients for hail risk in the Kingdom of the Netherlands . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## 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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ## Annex XXVI CORRELATION COEFFICIENTS FOR SUBSIDENCE RISK The correlation parameter Corr(subsidence,i,j) referred to in Article 125(1) for region r shall be equal to the item set out in row i and in column j of the following correlation matrices. The headings of the rows and columns denote the region specific risk zones according to the numbers of the segments set out in Annex IX. ## Correlation coefficients for subsidence risk in the French Republic . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . --- Source: https://www.legislation.gov.uk/eur/2015/35 (the official version) Page: https://openlegislation.uk/eu-regulation-2015-35 Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.