Delegated Regulation (EU) 2015/35 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)

Sluit

Title I Valuation and risk-based captal requirements (pillar I), enhanced governance (pillar II) and increased transparency (pillar II)

Chapter I General provisions

Chapter II Valuation of assets and liabilities

Chapter III Rules relating to technical provisions

Chapter IV Own funds

Chapter V Solvency capital requirement standard formula

Section 1 General provisions

Subsection 1 Scenario based calculations

Subsection 2 Look-through approach

Subsection 3 Regional governments and local authorities

Subsection 4 Material basis risk

Subsection 5 Calculation of the basic solvency capital requirement

Subsection 6 Proportionality and simplifications

Article 88 Proportionality

Article 89 General provisions for simplifications for captives

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Article 104 Simplified calculation for spread risk on bonds and loans

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

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

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

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

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

Article 109 Simplified calculations for pooling arrangements

Article 110 Simplified calculation—grouping of single name exposures

Article 111 Simplified calculation of the risk mitigating effect

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

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

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

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

Subsection 7 Scope of the underwriting risk modules

Section 2 Non-life underwriting risk module

Section 3 Life underwriting risk module

Section 4 Health underwriting risk module

Section 5 Market risk module

Section 6 Counterparty default risk module

Section 7 Intangible asset module

Section 8 Operational risk

Section 9 Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes

Section 10 Risk mitigation techniques

Section 11 Ring fenced funds

Section 12 Undertaking-specific parameters

Section 13 Procedure for updating correlation parameters

Chapter VI Solvency Capital Requirement—Full and partial internal models

Chapter VII Minimum Capital Requirement

Chapter VIII Investments in securitisation positions

Chapter IX System of governance

Chapter X Capital add-on

Chapter XI Extension of the recovery period

Chapter XII Public disclosure

Chapter XIII Regular supervisory reporting

Chapter XIV Transparency and accountability of supervisory authorities

Chapter XV Special purpose vehicles

Title II Insurance groups

Title III Third country eequivalence and final provisions

Slotformulier en ondertekening

Annex I Lines of business

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

Annex IV Correlation matrix for non-life premium and reserve risk

Annex V Parameters for the windstorm risk sub-module

Annex VI Parameters for the earthquake risk sub-module

Annex VII Parameters for the flood risk sub-module

Annex VIII Parameters for the hail risk sub-module

Annex IX The geographical division of regions set out in Annex V into risk zones

Annex X Risk weights for catastrophe risk zones

Annex XI Liability risk groups, risk factors and correlation coefficients for the liability risk sub-module

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

Annex XVII Method-specific data requirements and method specifications for undertaking-specific parameters of the standard formula

Annex XVIII Integration techniques for partial internal models

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

Annex XXI Aggregate statistical data

Annex XXII Correlation coefficients for windstorm risk

Annex XXIII Correlation coefficients for earthquake risk

Annex XXIV Correlation coefficients for flood risk

Annex XXV Correlation coefficients for hail risk

Annex XXVI Correlation coefficients for subsidence risk

Einde inhoudsopgave

Titelblad

Aanhef

Title I Valuation and risk-based captal requirements (pillar I), enhanced governance (pillar II) and increased transparency (pillar II)

Chapter I General provisions

Chapter II Valuation of assets and liabilities

Chapter III Rules relating to technical provisions

Chapter IV Own funds

Chapter V Solvency capital requirement standard formula

Section 1 General provisions

Subsection 1 Scenario based calculations

Subsection 2 Look-through approach

Subsection 3 Regional governments and local authorities

Subsection 4 Material basis risk

Subsection 5 Calculation of the basic solvency capital requirement

Subsection 6 Proportionality and simplifications

Article 88 Proportionality

Article 89 General provisions for simplifications for captives

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Article 104 Simplified calculation for spread risk on bonds and loans

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

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

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

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

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

Article 109 Simplified calculations for pooling arrangements

Article 110 Simplified calculation—grouping of single name exposures

Article 111 Simplified calculation of the risk mitigating effect

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

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

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

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

Subsection 7 Scope of the underwriting risk modules

Section 2 Non-life underwriting risk module

Section 3 Life underwriting risk module

Section 4 Health underwriting risk module

Section 5 Market risk module

Section 6 Counterparty default risk module

Section 7 Intangible asset module

Section 8 Operational risk

Section 9 Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes

Section 10 Risk mitigation techniques

Section 11 Ring fenced funds

Section 12 Undertaking-specific parameters

Section 13 Procedure for updating correlation parameters

Chapter VI Solvency Capital Requirement—Full and partial internal models

Chapter VII Minimum Capital Requirement

Chapter VIII Investments in securitisation positions

Chapter IX System of governance

Chapter X Capital add-on

Chapter XI Extension of the recovery period

Chapter XII Public disclosure

Chapter XIII Regular supervisory reporting

Chapter XIV Transparency and accountability of supervisory authorities

Chapter XV Special purpose vehicles

Title II Insurance groups

Title III Third country eequivalence and final provisions

Slotformulier en ondertekening

Annex I Lines of business

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

Annex IV Correlation matrix for non-life premium and reserve risk

Annex V Parameters for the windstorm risk sub-module

Annex VI Parameters for the earthquake risk sub-module

Annex VII Parameters for the flood risk sub-module

Annex VIII Parameters for the hail risk sub-module

Annex IX The geographical division of regions set out in Annex V into risk zones

Annex X Risk weights for catastrophe risk zones

Annex XI Liability risk groups, risk factors and correlation coefficients for the liability risk sub-module

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

Annex XVII Method-specific data requirements and method specifications for undertaking-specific parameters of the standard formula

Annex XVIII Integration techniques for partial internal models

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

Annex XXI Aggregate statistical data

Annex XXII Correlation coefficients for windstorm risk

Annex XXIII Correlation coefficients for earthquake risk

Annex XXIV Correlation coefficients for flood risk

Annex XXV Correlation coefficients for hail risk

Annex XXVI Correlation coefficients for subsidence risk

Einde inhoudsopgave

Subsection 6 Proportionality and simplifications

Geldend

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Documentgegevens:

Geldend vanaf 08-07-2019

Redactionele toelichting: Art. 90a t/m 90c, 95a, 96a, 102a, 105a, 111a, 112a en 112b zijn ingevoegd.
Bronpublicatie:: 08-03-2019, PbEU 2019, L 161 (uitgifte: 18-06-2019, regelingnummer: 2019/981)
Inwerkingtreding: 08-07-2019
Bronpublicatie inwerkingtreding:: 08-03-2019, PbEU 2019, L 161 (uitgifte: 18-06-2019, regelingnummer: 2019/981)
Vakgebied(en): Financieel recht / Europees financieel recht
Financieel recht / Financieel toezicht (juridisch)
Verzekeringsrecht / Europees verzekeringsrecht
Verzekeringsrecht / Bijzondere onderwerpen

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