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

Definitions
Article 1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Expert judgement
Article 2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Technical standards

The PRA's powers to make technical standards and publish technical information
Article 3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

General requirements on the use of credit assessments
Article 4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Issuers and issue credit assessment
Article 5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Double credit rating for securitisation positions
Article 6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER II

VALUATION OF ASSETS AND LIABILITIES

Valuation assumptions
Article 7. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Scope
Article 8. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation methodology — general principles
Article 9. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation methodology — valuation hierarchy
Article 10. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Recognition of contingent liabilities
Article 11. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation methods for goodwill and intangible assets
Article 12. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation methods for related undertakings
Article 13. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation methods for specific liabilities
Article 14. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Deferred taxes
Article 15. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Exclusion of valuation methods
Article 16. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER III

RULES RELATING TO TECHNICAL PROVISIONS
SECTION 1

General provisions

Recognition and derecognition of insurance and reinsurance obligations
Article 17. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Boundary of an insurance or reinsurance contract
Article 18. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Data quality

Data used in the calculation of technical provisions
Article 19. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Limitations of data
Article 20. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Appropriate use of approximations to calculate the best estimate
Article 21. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 3

Methodologies to calculate technical provisions
Subsection 1

Assumptions underlying the calculation of technical provisions

General provisions
Article 22. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Future management actions
Article 23. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Future discretionary benefits
Article 24. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Separate calculation of the future discretionary benefits
Article 25. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Policyholder behaviour
Article 26. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 2

Information underlying the calculation of best estimates

Credibility of information
Article 27. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 3

Cash flow projections for the calculation of the best estimate

Cash flows
Article 28. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Expected future developments in the external environment
Article 29. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Uncertainty of cash flows
Article 30. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Expenses
Article 31. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Contractual options and financial guarantees
Article 32. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Currency of the obligation
Article 33. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Calculation methods
Article 34. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Homogeneous risk groups of life insurance obligations
Article 35. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Non-life insurance obligations
Article 36. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 4

Risk margin

Calculation of the risk margin
Article 37. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Reference undertaking
Article 38. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Cost-of-Capital rate
Article 39. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 5

Calculation of technical provisions as a whole

Circumstances in which technical provisions shall be calculated as a whole and the method to be used
Article 40. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 6

Recoverables from reinsurance contracts and special purpose vehicles

General provisions
Article 41. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Counterparty default adjustment
Article 42. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 4

Relevant risk-free interest rate term structure
Subsection 1

General provisions

General provisions
Article 43
Subsection 2

Basic risk free interest rate term structure

Relevant financial instruments to derive the basic risk-free interest rates
Article 44. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Adjustment to swap rates for credit risk
Article 45. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Extrapolation
Article 46. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Ultimate forward rate
Article 47. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Basic risk-free interest rate term structure of currencies pegged to the euro
Article 48. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 3

Volatility adjustment

Reference portfolios
Article 49. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Formula to calculate the spread underlying the volatility adjustment
Article 50. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk-corrected spread
Article 51. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 4

Matching adjustment

Mortality risk stress
Article 52. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Article 53. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Article 54. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 5

Lines of business

Lines of business
Article 55. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 6

Proportionality and simplifications

Proportionality
Article 56. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of recoverables from reinsurance contracts and special purpose vehicles
Article 57. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the risk margin
Article 58. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Calculations of the risk margin during the financial year
Article 59. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the best estimate for insurance obligations with premium adjustment mechanism
Article 60. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the counterparty default adjustment
Article 61. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER IV

OWN FUNDS
SECTION 1

Determination of own funds
Subsection 1

Supervisory approval of ancillary own funds

Assessment of the application
Article 62. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of the application — Status of the counterparties
Article 63. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of the application — Recoverability of the funds
Article 64. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of the application — Information on the outcome of past calls
Article 65. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Specification of amount relating to an unlimited amount of ancillary own funds
Article 66. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Specification of amount and timing relating to the approval of a method
Article 67. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 2

Own funds treatment of participations

Treatment of participations in the determination of basic own funds
Article 68. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Classification of own funds

Tier 1 — List of own-fund items
Article 69. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Reconciliation Reserve
Article 70. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Tier 1 — Features determining classification
Article 71. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Tier 2 Basic own-funds — List of own-fund items
Article 72. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Tier 2 Basic own-funds — Features determining classification
Article 73. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Tier 2 Ancillary own-funds — List of own-fund items
Article 74. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Tier 2 Ancillary own-funds — Features determining classification
Article 75. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Tier 3 Basic own-funds– List of own-fund items
Article 76. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Tier 3 Basic own-funds– Features determining classification
Article 77. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Tier 3 Ancillary own-funds– List of own-funds items
Article 78. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Supervisory Authorities approval of the assessment and classification of own-fund items
Article 79. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 3

Eligibility of own funds
Subsection 1

Ring-fenced funds

Ring-fenced funds requiring adjustments
Article 80. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Adjustment for ring-fenced funds and matching adjustment portfolios
Article 81. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 2

Quantitative limits

Eligibility and limits applicable to Tiers 1, 2 and 3
Article 82. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER V

SOLVENCY CAPITAL REQUIREMENT STANDARD FORMULA
SECTION 1

General provisions
Subsection 1

Scenario based calculations
Article 83. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 2

Look-through approach
Article 84. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 3

Regional governments and local authorities
Article 85. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 4

Material basis risk
Article 86. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 5

Calculation of the basic solvency capital requirement
Article 87. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 6

Proportionality and simplifications

Proportionality
Article 88. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

General provisions for simplifications for captives
Article 89. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation for captive insurance and reinsurance undertakings of the capital requirement for non-life premium and reserve risk
Article 90. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation for discontinuance of insurance policies in the non-life lapse risk sub-module
Article 90a

Simplified calculation of the sum insured for natural catastrophe risks
Article 90b

Simplified calculation of the capital requirement for fire risk
Article 90c

Simplified calculation of the capital requirement for life mortality risk
Article 91. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for life longevity risk
Article 92. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for life disability-morbidity risk
Article 93. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for life-expense risk
Article 94. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for permanent changes in lapse rates
Article 95. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for risks in the life lapse risk sub-module
Article 95a

Simplified calculation of the capital requirement for life-catastrophe risk
Article 96. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation for discontinuance of insurance policies in the NSLT health lapse risk sub-module
Article 96a

Simplified calculation of the capital requirement for health mortality risk
Article 97. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for health longevity risk
Article 98. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for medical expense disability-morbidity risk
Article 99. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for income protection disability-morbidity risk
Article 100. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for health expense risk
Article 101. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for SLT health lapse risk
Article 102. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the capital requirement for risks in the SLT health lapse risk sub-module
Article 102a

Simplified calculation of the capital requirement for interest rate risk for captive insurance or reinsurance undertakings
Article 103. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation for spread risk on bonds and loans
Article 104. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation for captive insurance or reinsurance undertakings of the capital requirement for spread risk on bonds and loans
Article 105. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation for the risk factor in the spread risk sub-module and the market risk concentration sub-module
Article 105a

Simplified calculation of the capital requirement for market risk concentration for captive insurance or reinsurance undertakings
Article 106. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the risk mitigating effect for reinsurance arrangements or securitisation
Article 107. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the risk mitigating effect for proportional reinsurance arrangements
Article 108. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculations for pooling arrangements
Article 109. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation — grouping of single name exposures
Article 110

Simplified calculation of the risk mitigating effect
Article 111. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the risk-mitigating effect on underwriting risk
Article 111a

Simplified calculation of the risk adjusted value of collateral to take into account the economic effect of the collateral
Article 112. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation of the loss-given-default for reinsurance
Article 112a

Simplified calculation of the capital requirement for counterparty default risk on type 1 exposures
Article 112b
Subsection 7

Scope of the underwriting risk modules
Article 113. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Non-life underwriting risk module

Non-life underwriting risk module
Article 114. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Non-life premium and reserve risk sub-module
Article 115. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Volume measure for non-life premium and reserve risk
Article 116. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Standard deviation for non-life premium and reserve risk
Article 117. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Non-life lapse risk sub-module
Article 118. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Non-life catastrophe risk sub-module
Article 119. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Natural catastrophe risk sub-module
Article 120. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Windstorm risk sub-module
Article 121. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Earthquake risk sub-module
Article 122. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Flood risk sub-module
Article 123. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Hail risk sub-module
Article 124. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Subsidence risk sub-module
Article 125. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Interpretation of catastrophe scenarios
Article 126. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Sub-module for catastrophe risk of non-proportional property reinsurance
Article 127. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Man-made catastrophe risk sub-module
Article 128. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Motor vehicle liability risk sub-module
Article 129. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Marine risk sub-module
Article 130. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Aviation risk sub-module
Article 131. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Fire risk sub-module
Article 132. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Liability risk sub-module
Article 133. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Credit and suretyship risk sub-module
Article 134. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Sub-module for other non-life catastrophe risk
Article 135. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 3

Life underwriting risk module

Correlation coefficients
Article 136. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Mortality risk sub-module
Article 137. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Longevity risk sub-module
Article 138. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Disability-morbidity risk sub-module
Article 139. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Life-expense risk sub-module
Article 140. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Revision risk sub-module
Article 141. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Lapse risk sub-module
Article 142. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Life-catastrophe risk sub-module
Article 143. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 4

Health underwriting risk module

Health underwriting risk module
Article 144. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

NSLT health underwriting risk sub-module
Article 145. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

NSLT health premium and reserve risk sub-module
Article 146. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Volume measure for NSLT health premium and reserve risk
Article 147. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Standard deviation for NSLT health premium and reserve risk
Article 148. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Health risk equalisation systems
Article 149. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

NSLT health lapse risk sub-module
Article 150. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

SLT health underwriting risk sub-module
Article 151. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Health mortality risk sub-module
Article 152. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Health longevity risk sub-module
Article 153. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Health disability-morbidity risk sub-module
Article 154. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Capital requirement for medical expense disability-morbidity risk
Article 155. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Capital requirement for income protection disability-morbidity risk
Article 156. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Health expense risk sub-module
Article 157. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Health revision risk sub-module
Article 158. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

SLT health lapse risk sub-module
Article 159. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Health catastrophe risk sub-module
Article 160. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Mass accident risk sub-module
Article 161. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Accident concentration risk sub-module
Article 162. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Pandemic risk sub-module
Article 163. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 5

Market risk module
Subsection 1

Correlation coefficients
Article 164. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 1a

Qualifying infrastructure investments

Qualifying infrastructure investments
Article 164a

Qualifying infrastructure corporate investments
Article 164b
Subsection 2

Interest rate risk sub-module

General provisions
Article 165. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Increase in the term structure of interest rates
Article 166. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Decrease in the term structure of interest rates
Article 167. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 3

Equity risk sub-module

General provisions
Article 168. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Qualifying unlisted equity portfolios
Article 168a

Standard equity risk sub-module
Article 169

Duration-based equity risk sub-module
Article 170. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Strategic equity investments
Article 171. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Long-term equity investments
Article 171a

Symmetric adjustment of the equity capital charge
Article 172. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Criteria for the use of transitional measure for standard equity risk
Article 173
Subsection 4

Property risk sub-module
Article 174. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 5

Spread risk sub-module

Scope of the spread risk sub-module
Article 175. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Spread risk on bonds and loans
Article 176. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Internal assessment of credit quality steps of bonds and loans
Article 176a

Requirements for an undertaking's own internal credit assessment of bonds and loans
Article 176b

Assessment of credit quality steps of bonds and loans based on an approved internal model
Article 176c

Spread risk on securitisation positions: general provisions
Article 177

Spread risk on securitisation positions: calculation of the capital requirement
Article 178

Spread risk on securitisation positions: transitional provisions
Article 178a

Spread risk on credit derivatives
Article 179. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Specific exposures
Article 180. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Application of the spread risk scenarios to matching adjustment portfolios
Article 181. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 6

Market risk concentrations sub-module

Single name exposure
Article 182. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Calculation of the capital requirement for market risk concentration
Article 183. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Excess exposure
Article 184. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Relative excess exposure thresholds
Article 185. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk factor for market risk concentration
Article 186. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Specific exposures
Article 187. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 7

Currency risk sub-module
Article 188. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 6

Counterparty default risk module
Subsection 1

General provisions

Scope
Article 189. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Single name exposures
Article 190. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Mortgage loans
Article 191. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Loss-given-default
Article 192. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Exposure to clearing members
Article 192a

Loss-given-default for pool exposures of type A
Article 193. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Loss-given-default for pool exposures of type B
Article 194. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Loss-given-default for pool exposures of type C
Article 195. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk-mitigating effect
Article 196

Risk-adjusted value of collateral
Article 197. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk-adjusted value of mortgage
Article 198. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 2

Type 1 exposures

Probability of default
Article 199. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Type 1 exposures
Article 200. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Variance of the loss distribution of type 1 exposures
Article 201. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Subsection 3

Type 2 exposures

Type 2 exposures
Article 202. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 7

Intangible asset module
Article 203. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 8

Operational risk
Article 204. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 9

Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes

General provisions
Article 205. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Adjustment for the loss-absorbing capacity of technical provisions
Article 206. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Adjustment for the loss-absorbing capacity of deferred taxes
Article 207. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 10

Risk mitigation techniques

Methods and Assumptions
Article 208. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Qualitative Criteria
Article 209. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Effective Transfer of Risk
Article 210. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk-Mitigation techniques using reinsurance contracts or special purpose vehicles
Article 211. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Financial Risk-Mitigation techniques
Article 212. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Status of the counterparties
Article 213. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Collateral Arrangements
Article 214. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Guarantees
Article 215. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 11

Ring fenced funds

Calculation of the Solvency Capital Requirement in the case of ring-fenced funds and matching adjustment portfolios
Article 216. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Solvency Capital Requirement calculation method for ring-fenced funds and matching adjustment portfolios
Article 217. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 12

Undertaking-specific parameters

Subset of standard parameters that may be replaced by undertaking-specific parameters
Article 218. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Data criteria
Article 219. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Standardised methods to calculate the undertaking-specific parameters
Article 220. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 13

Procedure for updating correlation parameters
Article 221. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER VI

SOLVENCY CAPITAL REQUIREMENT — FULL AND PARTIAL INTERNAL MODELS
SECTION 1

Definitions

Materiality
Article 222. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Use test

Use of the internal model
Article 223. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Fit to the business
Article 224. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Understanding of the internal model
Article 225. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Support of decision-making and integration with risk management
Article 226. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Simplified calculation
Article 227. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 3

Statistical quality standards

Probability distribution forecast
Article 228. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Adequate, applicable and relevant actuarial techniques
Article 229. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Information and assumptions used for the calculation of the probability distribution forecast
Article 230. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Data used in the internal model
Article 231. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Ability to rank risk
Article 232. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Coverage of all material risks
Article 233. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Diversification effects
Article 234. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk-mitigation techniques
Article 235. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Future management actions
Article 236. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Understanding of external models and data
Article 237. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 4

Calibration standards
Article 238. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 5

Integration of partial internal models
Article 239. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 6

Profit and loss attribution
Article 240. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 7

Validation standards

Model validation process
Article 241. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Validation tools
Article 242. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 8

Documentation standards

General provisions
Article 243. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Minimum content of the documentation
Article 244. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Circumstances under which the internal model does not work effectively
Article 245. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Changes to the internal model
Article 246. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 9

External models and data
Article 247. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER VII

MINIMUM CAPITAL REQUIREMENT

Minimum Capital Requirement
Article 248. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Linear Minimum Capital Requirement
Article 249. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Linear formula component for non-life insurance and reinsurance obligations
Article 250. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Linear formula component for life insurance and reinsurance obligations
Article 251. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Minimum Capital Requirement: composite insurance undertakings
Article 252. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Absolute floor of the Minimum Capital Requirement
Article 253. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER VIII

INVESTMENTS IN SECURITISATION POSITIONS

Risk retention requirements relating to the originators, sponsors or original lenders
Article 254. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Exemptions to risk retention requirements
Article 255. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Qualitative requirements relating to insurance and reinsurance undertakings
Article 256. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Requirements for investments in securitisation that no longer comply with the risk-retention and qualitative requirements
Article 257. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER IX

SYSTEM OF GOVERNANCE
SECTION 1

Elements of the system of governance

General governance requirements
Article 258. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk Management System
Article 259. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk management areas
Article 260. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk management in undertakings providing loans and/or mortgage insurance or reinsurance
Article 261. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk management for qualifying infrastructure investments or qualifying infrastructure corporate investments
Article 261a. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Overall solvency needs
Article 262. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Alternative methods for valuation
Article 263. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation of technical provisions — validation
Article 264. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation of technical provisions — documentation
Article 265. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Internal control system
Article 266. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Internal control of valuation of assets and liabilities
Article 267. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Functions

Specific provisions
Article 268. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk management function
Article 269. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Compliance function
Article 270. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Internal audit function
Article 271. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Actuarial function
Article 272. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 3

Fit and proper requirements
Article 273. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 4

Outsourcing
Article 274. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 5

Remuneration policy
Article 275. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER X

CAPITAL ADD-ON
SECTION 1

Circumstances for imposing a capital add-on

Assessment of a significant deviation as regards the SCR
Article 276. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of a significant deviation as regards the governance
Article 277. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of a significant deviation as regards adjustments to the relevant risk-free rate and transitional measures
Article 278. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Add-ons in relation to deviations from Solvency Capital Requirement assumptions
Article 279. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of the requirement to use an internal model
Article 280. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Appropriate timeframe for adapting the internal model
Article 281. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Methodologies for calculating capital add-ons

Calculation of add-ons in relation to deviations from SCR assumptions
Article 282. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Scope and approach of modifications as regards a deviation from SCR assumptions
Article 283. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Calculation of add-ons in relation to adjustments to the relevant risk-free rate or transitional measures
Article 284. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Scope and approach of modifications as regards adjustments to the relevant risk-free rate and transitional measures
Article 285. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Calculation of add-ons in relation to deviations from governance standards
Article 286. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Apportionment of add-ons for undertakings which simultaneously pursue life and non-life insurance activities
Article 287. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER XI

EXTENSION OF THE RECOVERY PERIOD

Assessment of exceptional adverse situations
Article 288. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Factors and criteria to determine the extension of the recovery period
Article 289. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER XII

PUBLIC DISCLOSURE
SECTION 1

Solvency and financial condition report: structure and contents

Structure
Article 290. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Materiality
Article 291. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Summary
Article 292. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Business and performance
Article 293. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

System of governance
Article 294. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk profile
Article 295. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation for solvency purposes
Article 296. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Capital management
Article 297. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Additional voluntary information
Article 298. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Solvency and financial condition report: non-disclosure of information
Article 299. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 3

Solvency and financial condition report: deadlines, means of disclosure and updates

Deadlines
Article 300. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Means of disclosure
Article 301. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Updates
Article 302. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Transitional arrangements on comparative information
Article 303. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER XIII

REGULAR SUPERVISORY REPORTING
SECTION 1

Elements and contents

Elements of the regular supervisory reporting
Article 304. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Materiality
Article 305. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Own-risk and solvency assessment supervisory report
Article 306. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Business and performance
Article 307. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

System of governance
Article 308. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Risk profile
Article 309. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Valuation for solvency purposes
Article 310. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Capital management
Article 311. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Deadlines and means of communication

Deadlines
Article 312. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Means of communication
Article 313. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Transitional information requirements
Article 314. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER XIV

TRANSPARENCY AND ACCOUNTABILITY OF SUPERVISORY AUTHORITIES

Confidential information
Article 315. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Aggregate statistical data
Article 316. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Means of disclosure
Article 317. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER XV

SPECIAL PURPOSE VEHICLES
SECTION 1

Authorization
Article 318. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Mandatory contract conditions

Fully Funded
Article 319. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Effective transfer of risk
Article 320. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Rights of the providers of debt or financing mechanisms
Article 321. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 3

System of governance

Fit and proper requirements of persons who effectively run a special purpose vehicle
Article 322. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Fit and proper requirements for shareholders or members with a qualifying holding
Article 323. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Sound administrative and accounting procedures, adequate internal control mechanisms and risk-management requirements
Article 324. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 4

Supervisory reporting

Supervisory reporting
Article 325. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 5

Solvency requirements

Solvency requirements
Article 326. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Solvency requirements on investments
Article 327. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
TITLE II

INSURANCE GROUPS
CHAPTER I

SOLVENCY CALCULATION AT GROUP LEVEL
SECTION 1

Group solvency: choice of calculation method and general principles

Choice of method
Article 328. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Treatment of specific related undertakings
Article 329. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Availability at group level of the eligible own funds of related undertakings
Article 330. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Group solvency: calculation methods

Classification of own-fund items of related insurance and reinsurance undertakings at group level
Article 331. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Classification of own-fund items of related third-country insurance or reinsurance undertakings at group level
Article 332. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Classification of own-fund items of insurance holding companies, mixed financial holding companies, and subsidiary ancillary services undertakings at group level
Article 333. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Classification of own-fund items of residual related undertakings
Article 334. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Method 1: determination of consolidated data
Article 335. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Method 1: Calculation of the consolidated group Solvency Capital Requirement
Article 336. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Method 1: determination of the local currency for the purposes of the currency risk calculation
Article 337. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Method 1: group-specific parameters
Article 338. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Method 1: best estimate
Article 339. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Method 1: Risk margin
Article 340. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Combination of methods 1 and 2: minimum consolidated group Solvency Capital Requirement
Article 341. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Method 2: Elimination of intra-group creation of capital in relation to the best estimate
Article 342. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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

Application for the use of an internal model to calculate only the consolidated group Solvency Capital Requirement
Article 343. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of the application for the use of an internal model to calculate only the consolidated group Solvency Capital Requirement
Article 344. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Decision on the application and transitional plan to extend the scope of a partial internal model used to calculate only the consolidated group Solvency Capital Requirement
Article 345. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Use test for internal models used to calculate only the consolidated group Solvency Capital Requirement
Article 346. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Use of a group internal model

Application to use a group internal model
Article 347. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of the completeness of an application to use a group internal model
Article 348. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Decision on the application and transitional plan to extend the scope of the model
Article 349. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Use test for group internal models
Article 350. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER III

SUPERVISION OF GROUP SOLVENCY FOR GROUPS WITH CENTRALISED RISK MANAGEMENT

Assessment of conditions: criteria
Article 351. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of conditions: procedures
Article 352. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Assessment of an emergency situation: criteria
Article 353. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER IV

COORDINATION OF GROUP SUPERVISION
SECTION 1

Group specific parameters

Definition of significant branches
Article 354. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Coordination arrangements
Article 355. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Supervisory approval of group-specific parameters
Article 356. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Exchange of information

Information to be exchanged on a systematic basis
Article 357. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 3

National or regional subgroup supervision
Article 358. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER V

PUBLIC DISCLOSURE
SECTION 1

Group solvency and financial condition report

Structure and contents
Article 359. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Languages
Article 360. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Non-disclosure of information
Article 361. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Deadlines
Article 362. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Updates
Article 363. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Transitional arrangements on comparative information
Article 364. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Single solvency and financial condition report

Structure and contents
Article 365. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Languages
Article 366. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Non-disclosure of information
Article 367. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Deadlines
Article 368. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Updates
Article 369. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Reference
Article 370. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Transitional arrangements on comparative information
Article 371. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER VI

GROUP SUPERVISORY REPORTING
SECTION 1

Regular reporting

Elements and contents
Article 372. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Deadlines
Article 373. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Languages
Article 374. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Additional transitional information on groups
Article 375. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SECTION 2

Reporting on risk concentrations and intragroup transactions

Significant risk concentrations (definition, identification and thresholds)
Article 376. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Significant intragroup transactions (definition, identification)
Article 377. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
TITLE III

THIRD COUNTRY EEQUIVALENCE AND FINAL PROVISIONS
CHAPTER I

UNDERTAKINGS CARRYING OUT REINSURANCE ACTIVITIES WITH THEIR HEAD OFFICE IN A THIRD COUNTRY

References to United Kingdom law
Article 377A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Criteria for assessing third country equivalence
Article 378. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Article 378A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Article 378B. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER II

RELATED THIRD COUNTRY INSURANCE AND REINSURANCE UNDERTAKINGS

Criteria for assessing third country equivalence
Article 379. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Article 379A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER III

INSURANCE AND REINSURANCE UNDERTAKINGS WITH THE PARENT UNDERTAKINGS OUTSIDE THE UNION

Criteria for assessing third country equivalence
Article 380. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Article 380A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHAPTER IV

FINAL PROVISIONS

Regulations
Article 380B. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Article 381. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ANNEX I

LINES OF BUSINESS
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
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ANNEX V

PARAMETERS FOR THE WINDSTORM RISK SUB-MODULE

Regions and windstorm risk factors

WINDSTORM RISK CORRELATION COEFFICIENTS FOR REGIONS
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ANNEX VI

PARAMETERS FOR THE EARTHQUAKE RISK SUB-MODULE

Regions and earthquake risk factors

EARTHQUAKE RISK CORRELATION COEFFICIENTS FOR REGIONS
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ANNEX VII

PARAMETERS FOR THE FLOOD RISK SUB-MODULE

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:
1. 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;
2. 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;
3. 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.
4. 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
A.

Definitions and notations
(1)

For the purpose of this Annex, the following definitions shall apply:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.

Premium risk method

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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C.

Reserve risk method 1

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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D.

Reserve risk method 2

Input data and method-specific data requirements
(1). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2)

The following method-specific data requirements shall apply:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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:
1. 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).
2. for all development years, Sj denotes for a specific development year j the following amount:
S_j = ∑_{i = 0}^{I − j − 1} C_{(i,j)}
3. for all development years, S′j denotes for a specific development year j the following amount:
S′_j = ∑_{i = 0}^{I − j} C_{(i,j)}
4. for all development years, denotes for a specific development year j the following amount:
where:
  1. denotes the development factor estimate of development year j as set out in paragraph 4(c);
  2. denotes the following amount:
E.

Revision risk method

Input data and method-specific data requirements
(1). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2)

The following method-specific data requirements shall apply:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F1.

Non-proportional reinsurance method 1

Input data and method-specific data requirements
(1). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2)

The following method-specific data requirements shall apply:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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:
- μ_2 = μ × N((ln(b_2) − θ)/η − η) + b_2 × N(− (ln(b_2) − θ)/η)
- ω_1 = ω × N((ln(b_1) − θ)/η − 2 × η) + b_2^1 × N(− (ln(b_1) − θ)/η)
- ω_2 = ω × N((ln(b_2) − θ)/η − 2 × η) + b_2^2 × N(− (ln(b_2) − θ)/η)
where:
1. N denotes the cumulative probability function of the normal distribution;
2. ln denotes the natural logarithm;
3. the parameters θ and η are equal to the following:
  - θ = 2ln μ − 1/2 ln ω
  - η = sqrt(ln ω − 2ln μ).
(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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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:
  1. the data are representative for the premium risk that the insurance or reinsurance undertaking is exposed to during the following 12 months;
  2. 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;
  3. the aggregated annual losses are estimated in the year the insurance and reinsurance claims were reported;
  4. data are available for at least five reporting years;
  5. where the recognisable stop loss reinsurance contract applies to gross claims, the aggregated annual losses are gross;
  6. 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;
  7. the aggregated annual losses shall not include expenses incurred in servicing the insurance and reinsurance obligations;
  8. 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:
  1. n denotes the number of financial years for which aggregated annual losses data is available;
  2. Y i denotes the aggregated losses in financial year i ;
  3. μ and ω denote the first and second moment, respectively, of the aggregated annual losses distribution, being equal to the following amounts:
    - μ = 1/n ∑_{i = 1}^n Y_i
and
ω = 1/n ∑_{i = 1}^n Y_2^i
  4. b 1 denotes the amount of the retention of the recognisable stop loss reinsurance contract referred to in Article 218(2);
  5. 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:
  1. c denotes the credibility factor set out in section G;
  2. NP′ denotes the estimated adjustment factor for non-proportional reinsurance set out in paragraph 5;
  3. 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:
  - μ_1 = μ × N((ln(b_1 − θ))/η − η) + b_1 × N(− (ln(b_1) − θ)/η)
  - μ_2 = μ × N((ln(b_2 − θ))/η − η) + b_2 × N(− (ln(b_2) − θ)/η)
  - ω_1 = ω × N((ln(b_1 − θ))/η − 2 × η) + b_2^1 × N(− (ln(b_1) − θ)/η)
  - ω_2 = ω × N((ln(b_2 − θ))/η − 2 × η) + b_2^2 × N(− (ln(b_2) − θ)/η)
where:
  1. N denotes the cumulative probability function of the normal distribution;
  2. ln denotes the natural logarithm;
  3. the parameters θ and η are equal to the following:
    - θ = 2ln μ − 1/2 ln ω
    - η = sqrt(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′ = (∑_h V_{(prem,h)} × NP′_{(h)})/(∑_h V_{(prem,h)})
where:
  1. 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;
  2. NP′ ( h ) denotes the estimated adjustment factor for non-proportional reinsurance of homogeneous risk group h determined in accordance with paragraph 5.
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
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
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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:
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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

Summary
A.

Business and Performance
A.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A.2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A.4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
A.5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.

System of Governance
B.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.7. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
B.8. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C.

Risk Profile
C.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C.2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C.4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C.5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C.6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
C.7. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D.

Valuation for Solvency Purposes
D.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D.2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D.4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
D.5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E.

Capital Management
E.1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E.2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E.3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E.4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E.5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
E.6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ANNEX XXI

AGGREGATE STATISTICAL DATA
A.

Data on supervised undertakings and groups

Data with regard to insurance and reinsurance undertakings supervised under Directive 2009/138/EC
(1). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(3). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(4). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(5). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(6). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(7). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(8). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(9). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(10). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(11). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(12). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(13). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(14). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(15). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(16). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(17). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(18). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(19). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(20). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(21). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(22). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(23). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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.

Data with regard to insurance groups supervised under Directive 2009/138/EC
(24). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(25). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(26). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(27). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(28). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(29). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(30). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(31). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(32). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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.
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
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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
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Regulation revoked (30.6.2024 for the revocation of Arts. 52-54; 31.12.2024 in so far as not already in force) by Financial Services and Markets Act 2023 (c. 29), s. 86(3), Sch. 1 Pt. 3 (with s. 1(4)); S.I. 2023/1382, reg. 5(c)(i); S.I. 2024/620, Sch. (with savings in relation to a Gibraltar group or a Gibraltar undertaking in S.I. 2024/1083, reg. 3)