The Solvency 2 and Insurance (Amendment, etc.) (EU Exit) Regulations 2019

16.  Providing for—

(a) the methods and parameters to be used when assessing the capital requirement for operational risk;

(b) the methods and adjustments to be used to reflect the reduced scope for risk diversification of insurance and reinsurance undertakings relating to ring-fenced funds;

(c) the method to be used when calculating the adjustment for the loss absorbing capacity of technical provisions or deferred taxes(1);

(d) the subset of standard parameters in the life, non-life and health underwriting risk modules that may be replaced by undertaking-specific parameters as set out in regulation 47 of the Solvency 2 Regulations 2015;

(e) the standardised methods to be used by the insurance or reinsurance undertaking to calculate the undertaking-specific parameters referred to in point (d), and any criteria with respect to the completeness, accuracy, and appropriateness of the data used that must be met before supervisory approval is given together with the procedure to be followed for such approval;

(f) the simplified calculations provided for specific sub-modules and risk modules, as well as the criteria that insurance and reinsurance undertakings, including captive insurance and reinsurance undertakings, shall be required to fulfil in order to be entitled to use those simplifications(2);

(g) the approach to be used with respect to related undertakings within the meaning of regulation 2 of the Solvency 2 Regulations 2015 in the calculation of the Solvency Capital Requirement, in particular the calculation of the equity risk sub-module, taking into account the likely reduction in the volatility of the value of those related undertakings arising from the strategic nature of those investments and the influence exercised by the participating undertaking on those related undertakings(3);

(h) how to use external credit assessments from external credit assessment institutions (ECAIs) in the calculation of the Solvency Capital Requirement in accordance with the standard formula and the allocation of external credit assessments to a scale of credit quality steps referred to in Article 3 of the Commission Delegated Regulation 2015/35(4), which must be consistent with the use of external credit assessments from ECAIs in the calculation of the capital requirements for credit institutions as defined in Article 4(1)(1) of Regulation (EU) No 575/2013 and financial institutions as defined in Article 4(1)(26) thereof;

(i) the detailed criteria for the equity index referred to in Article 3(3)(b) of Commission Delegated Regulation 2015/35;

(j) the detailed criteria for the adjustments for currencies pegged to the euro for the purpose of facilitating the calculation of the currency risk sub-module referred to in Article 3(3)(c) of Commission Delegated Regulation 2015/35;

(k) the conditions for a categorisation of regional governments and local authorities referred to in Article 3(3)(a) of the Commission Delegated Regulation 2015/35(5).

(1)

Article 108 of the Solvency 2 Directive.

(2)

Article 109 of the Solvency 2 Directive.

(3)

Article 109 of the Solvency 2 Directive.

(4)

Article 3 has been inserted into the Commission Delegated Regulation by regulation 8(5) of these Regulations, to onshore Article 109a(1) of the Solvency 2 Directive.

(5)

Article 111(1)(g) to (q) of the Solvency 2 Directive.