Delegated Regulation 2015/35

TITLE I - VALUATION AND RISK-BASED CAPITAL REQUIREMENTS (PILLAR I), ENHANCED GOVERNANCE (PILLAR II) AND INCREASED TRANSPARENCY (PILLAR III) (Article 1-327)

CHAPTER I - GENERAL PROVISIONS (Article 1-6)

SECTION 1 - Definitions and general principles (Article 1-2)Article 1 - Definitions Q&A Article 2 - Expert judgement

SECTION 2 - External credit assessments (Article 3-6)Article 3 - Association of credit assessments to credit quality steps Q&A Article 4 - General requirements on the use of credit assessments Q&A Article 5 - Issuers and issue credit assessment Q&A Article 6 - Double credit rating for securitisation positions

CHAPTER II - VALUATION OF ASSETS AND LIABILITIES (Article 7-16)Article 7 - Valuation assumptions GL Article 8 - Scope Q&AGL Article 9 - Valuation methodology — general principles Q&AGL Article 10 - Valuation methodology — valuation hierarchy Q&AGL Article 11 - Recognition of contingent liabilities GL Article 12 - Valuation methods for goodwill and intangible assets Q&AGL Article 13 - Valuation methods for related undertakings Q&AGL Article 14 - Valuation methods for specific liabilities GL Article 15 - Deferred taxes Q&AGL Article 16 - Exclusion of valuation methods Q&AGL

CHAPTER III - RULES RELATING TO TECHNICAL PROVISIONS (Article 17-61)

SECTION 1 - General provisions (Article 17-18)Article 17 - Recognition and derecognition of insurance and reinsurance obligations Q&AGL Article 18 - Boundary of an insurance or reinsurance contract Q&AGL

SECTION 2 - Data quality (Article 19-21)Article 19 - Data used in the calculation of technical provisions GL Article 20 - Limitations of data GL Article 21 - Appropriate use of approximations to calculate the best estimate GL

SECTION 3 - Methodologies to calculate technical provisions (Article 22-42)

Subsection 1 - Assumptions underlying the calculation of technical provisions (Article 22-26)Article 22 - General provisions Q&AGL Article 23 - Future management actions GL Article 24 - Future discretionary benefits GL Article 25 - Separate calculation of the future discretionary benefits Q&AGL Article 26 - Policyholder behaviour GL

Subsection 2 - Information underlying the calculation of best estimates (Article 27)Article 27 - Credibility of information GL

Subsection 3 - Cash flow projections for the calculation of the best estimate (Article 28-36)Article 28 - Cash flows Q&AGL Article 29 - Expected future developments in the external environment GL Article 30 - Uncertainty of cash flows Q&AGL Article 31 - Expenses Q&AGL Article 32 - Contractual options and financial guarantees GL Article 33 - Currency of the obligation Q&AGL Article 34 - Calculation methods Q&AGL Article 35 - Homogeneous risk groups of life insurance obligations Q&AGL Article 36 - Non-life insurance obligations Q&AGL

Subsection 4 - Risk margin (Article 37-39)Article 37 - Calculation of the risk margin Q&AGL Article 38 - Reference undertaking Q&AGL Article 39 - Cost-of-Capital rate GL

Subsection 5 - Calculation of technical provisions as a whole (Article 40)Article 40 - Circumstances in which technical provisions shall be calculated as a whole and the method to be used GL

Subsection 6 - Recoverables from reinsurance contracts and special purpose vehicles (Article 41-42)Article 41 - General provisions Q&AGL Article 42 - Counterparty default adjustment Q&AGL

SECTION 4 - Relevant risk-free interest rate term structure (Article 43-54)

Subsection 1 - General provisions (Article 43)Article 43 - General provisions Q&A

Subsection 2 - Basic risk free interest rate term structure (Article 44-48)Article 44 - Relevant financial instruments to derive the basic risk-free interest rates Q&A Article 45 - Adjustment to swap rates for credit risk Article 46 - Extrapolation Article 47 - Ultimate forward rate Q&A Article 48 - Basic risk-free interest rate term structure of currencies pegged to the euro

Subsection 3 - Volatility adjustment (Article 49-51)Article 49 - Reference portfolios Article 50 - Formula to calculate the spread underlying the volatility adjustment Q&A Article 51 - Risk-corrected spread

Subsection 4 - Matching adjustment (Article 52-54)Article 52 - Mortality risk stress Article 53 - Calculation of the matching adjustment Q&A Article 54 - Calculation of the fundamental spread

SECTION 5 - Lines of business (Article 55)Article 55 - Lines of business

SECTION 6 - Proportionality and simplifications (Article 56-61)Article 56 - Proportionality Q&A Article 57 - Simplified calculation of recoverables from reinsurance contracts and special purpose vehicles Article 58 - Simplified calculation of the risk margin Q&A Article 59 - Calculations of the risk margin during the financial year Article 60 - Simplified calculation of the best estimate for insurance obligations with premium adjustment mechanism Article 61 - Simplified calculation of the counterparty default adjustment Q&A

CHAPTER IV - OWN FUNDS (Article 62-82)

SECTION 1 - Determination of own funds (Article 62-68)

Subsection 1 - Supervisory approval of ancillary own funds (Article 62-67)Article 62 - Assessment of the application Q&AGL Article 63 - Assessment of the application — Status of the counterparties GL Article 64 - Assessment of the application — Recoverability of the funds GL Article 65 - Assessment of the application — Information on the outcome of past calls GL Article 66 - Specification of amount relating to an unlimited amount of ancillary own funds GL Article 67 - Specification of amount and timing relating to the approval of a method GL

Subsection 2 - Own funds treatment of participations (Article 68)Article 68 - Treatment of participations in the determination of basic own funds Q&AGL

SECTION 2 - Classification of own funds (Article 69-79)Article 69 - Tier 1 — List of own-fund items Q&AGL Article 70 - Reconciliation Reserve Q&AGL Article 71 - Tier 1 — Features determining classification Q&AGL Article 72 - Tier 2 Basic own-funds — List of own-fund items Q&AGL Article 73 - Tier 2 Basic own-funds — Features determining classification Q&AGL Article 74 - Tier 2 Ancillary own-funds — List of own-fund items GL Article 75 - Tier 2 Ancillary own-funds — Features determining classification GL Article 76 - Tier 3 Basic own-funds– List of own-fund items Q&AGL Article 77 - Tier 3 Basic own-funds– Features determining classification Q&AGL Article 78 - Tier 3 Ancillary own-funds– List of own-funds items GL Article 79 - Supervisory Authorities approval of the assessment and classification of own-fund items GL

SECTION 3 - Eligibility of own funds (Article 80-82)

Subsection 1 - Ring-fenced funds (Article 80-81)Article 80 - Ring-fenced funds requiring adjustments GL Article 81 - Adjustment for ring-fenced funds and matching adjustment portfolios GL

Subsection 2 - Quantitative limits (Article 82)Article 82 - Eligibility and limits applicable to Tiers 1, 2 and 3 Q&AGL

CHAPTER V - SOLVENCY CAPITAL REQUIREMENT STANDARD FORMULA (Article 83-221)

SECTION 1 - General provisions (Article 83-113)

Subsection 1 - Scenario based calculations (Article 83)Article 83 Q&A

Subsection 2 - Look-through approach (Article 84)Article 84 Q&AGL

Subsection 3 - Regional governments and local authorities (Article 85)Article 85

Subsection 4 - Material basis risk (Article 86)Article 86 Q&A

Subsection 5 - Calculation of the basic solvency capital requirement (Article 87)Article 87

Subsection 7 - Scope of the underwriting risk modules (Article 113)Article 113

SECTION 3 - Life underwriting risk module (Article 136-143)Article 136 - Correlation coefficients Q&A Article 137 - Mortality risk sub-module Q&AGL Article 138 - Longevity risk sub-module Q&AGL Article 139 - Disability-morbidity risk sub-module GL Article 140 - Life-expense risk sub-module Q&A Article 141 - Revision risk sub-module Article 142 - Lapse risk sub-module Q&A Article 143 - Life-catastrophe risk sub-module

SECTION 5 - Market risk module (Article 164-188)

Subsection 1 - Correlation coefficients (Article 164)Article 164 Q&AGL

Subsection 1a - Qualifying infrastructure investments (Article 164a-164b)Article 164a - Qualifying infrastructure investments Q&AGL Article 164b - Qualifying infrastructure corporate investments GL

Subsection 2 - Interest rate risk sub-module (Article 165-167)Article 165 - General provisions Q&AGL Article 166 - Increase in the term structure of interest rates Q&AGL Article 167 - Decrease in the term structure of interest rates Q&AGL

Subsection 3 - Equity risk sub-module (Article 168-173)Article 168 - General provisions Q&AGL Article 168a - Qualifying unlisted equity portfolios GL Article 169 - Standard equity risk sub-module Q&AGL Article 170 - Duration-based equity risk sub-module Q&AGL Article 171 - Strategic equity investments Q&AGL Article 171a - Long-term equity investments Q&AGL Article 172 - Symmetric adjustment of the equity capital charge GL Article 173 - Criteria for the use of transitional measure for standard equity risk Q&AGL

Subsection 4 - Property risk sub-module (Article 174)Article 174 Q&AGL

Subsection 5 - Spread risk sub-module (Article 175-181)Article 175 - Scope of the spread risk sub-module Q&AGL Article 176 - Spread risk on bonds and loans Q&AGL Article 176a - Internal assessment of credit quality steps of bonds and loans GL Article 176b - Requirements for an undertaking's own internal credit assessment of bonds and loans GL Article 176c - Assessment of credit quality steps of bonds and loans based on an approved internal model GL Article 177 - Spread risk on securitisation positions: general provisions [repealed] Q&AGL Article 178 - Spread risk on securitisation positions: calculation of the capital requirement Q&AGL Article 178a - Spread risk on securitisation positions: transitional provisions GL Article 179 - Spread risk on credit derivatives Q&AGL Article 180 - Specific exposures Q&AGL Article 181 - Application of the spread risk scenarios to matching adjustment portfolios GL

Subsection 6 - Market risk concentrations sub-module (Article 182-187)Article 182 - Single name exposure Q&AGL Article 183 - Calculation of the capital requirement for market risk concentration Q&AGL Article 184 - Excess exposure Q&AGL Article 185 - Relative excess exposure thresholds GL Article 186 - Risk factor for market risk concentration Q&AGL Article 187 - Specific exposures Q&AGL

Subsection 7 - Currency risk sub-module (Article 188)Article 188 Q&AGL

SECTION 6 - Counterparty default risk module (Article 189-202)

Subsection 1 - General provisions (Article 189-198)Article 189 - Scope Q&AGL Article 190 - Single name exposures Q&AGL Article 191 - Mortgage loans Q&AGL Article 192 - Loss-given-default Q&AGL Article 192a - Exposure to clearing members GL Article 193 - Loss-given-default for pool exposures of type A GL Article 194 - Loss-given-default for pool exposures of type B GL Article 195 - Loss-given-default for pool exposures of type C GL Article 196 - Risk-mitigating effect Q&AGL Article 197 - Risk-adjusted value of collateral Q&AGL Article 198 - Risk-adjusted value of mortgage GL

Subsection 2 - Type 1 exposures (Article 199-201)Article 199 - Probability of default Q&AGL Article 200 - Type 1 exposures GL Article 201 - Variance of the loss distribution of type 1 exposures Q&AGL

Subsection 3 - Type 2 exposures (Article 202)Article 202 - Type 2 exposures GL

SECTION 7 - Intangible asset module (Article 203)Article 203 GL

SECTION 8 - Operational risk (Article 204)Article 204 Q&AGL

SECTION 9 - Adjustment for the loss-absorbing capacity of technical provisions and deferred taxes (Article 205-207)Article 205 - General provisions GL Article 206 - Adjustment for the loss-absorbing capacity of technical provisions Q&AGL Article 207 - Adjustment for the loss-absorbing capacity of deferred taxes Q&AGL

SECTION 10 - Risk mitigation techniques (Article 208-215)Article 208 - Methods and Assumptions Q&AGL Article 209 - Qualitative Criteria Q&AGL Article 210 - Effective Transfer of Risk Q&AGL Article 211 - Risk-Mitigation techniques using reinsurance contracts or special purpose vehicles Q&AGL Article 212 - Financial Risk-Mitigation techniques Q&AGL Article 213 - Status of the counterparties Q&AGL Article 214 - Collateral Arrangements Q&AGL Article 215 - Guarantees Q&AGL

SECTION 11 - Ring fenced funds (Article 216-217)Article 216 - Calculation of the Solvency Capital Requirement in the case of ring-fenced funds and matching adjustment portfolios GL Article 217 - Solvency Capital Requirement calculation method for ring-fenced funds and matching adjustment portfolios Q&AGL

SECTION 12 - Undertaking-specific parameters (Article 218-220)Article 218 - Subset of standard parameters that may be replaced by undertaking-specific parameters Q&AGL Article 219 - Data criteria GL Article 220 - Standardised methods to calculate the undertaking-specific parameters GL

SECTION 13 - Procedure for updating correlation parameters (Article 221)Article 221

CHAPTER VI - SOLVENCY CAPITAL REQUIREMENT — FULL AND PARTIAL INTERNAL MODELS (Article 222-247)

SECTION 1 - Definitions (Article 222)Article 222 - Materiality

SECTION 2 - Use test (Article 223-227)Article 223 - Use of the internal model GL Article 224 - Fit to the business GL Article 225 - Understanding of the internal model GL Article 226 - Support of decision-making and integration with risk management GL Article 227 - Simplified calculation Q&AGL

SECTION 3 - Statistical quality standards (Article 228-237)Article 228 - Probability distribution forecast GL Article 229 - Adequate, applicable and relevant actuarial techniques GL Article 230 - Information and assumptions used for the calculation of the probability distribution forecast GL Article 231 - Data used in the internal model GL Article 232 - Ability to rank risk GL Article 233 - Coverage of all material risks Q&AGL Article 234 - Diversification effects GL Article 235 - Risk-mitigation techniques GL Article 236 - Future management actions GL Article 237 - Understanding of external models and data GL

SECTION 4 - Calibration standards (Article 238)Article 238 GL

SECTION 5 - Integration of partial internal models (Article 239)Article 239 GL

SECTION 6 - Profit and loss attribution (Article 240)Article 240 GL

SECTION 7 - Validation standards (Article 241-242)Article 241 - Model validation process GL Article 242 - Validation tools GL

SECTION 8 - Documentation standards (Article 243-246)Article 243 - General provisions GL Article 244 - Minimum content of the documentation GL Article 245 - Circumstances under which the internal model does not work effectively GL Article 246 - Changes to the internal model GL

SECTION 9 - External models and data (Article 247)Article 247 GL

CHAPTER VII - MINIMUM CAPITAL REQUIREMENT (Article 248-253)Article 248 - Minimum Capital Requirement Q&A Article 249 - Linear Minimum Capital Requirement Article 250 - Linear formula component for non-life insurance and reinsurance obligations Article 251 - Linear formula component for life insurance and reinsurance obligations Q&A Article 252 - Minimum Capital Requirement: composite insurance undertakings Q&A Article 253 - Absolute floor of the Minimum Capital Requirement

CHAPTER VIII - INVESTMENTS IN SECURITISATION POSITIONS (Article 254-257)Article 254 - Risk retention requirements relating to the originators, sponsors or original lenders [repealed] Q&A Article 255 - Exemptions to risk retention requirements [repealed] Q&A Article 256 - Qualitative requirements relating to insurance and reinsurance undertakings [repealed] Q&A Article 257 - Requirements for investments in securitisation that no longer comply with the risk-retention and qualitative requirements Q&A

CHAPTER IX - SYSTEM OF GOVERNANCE (Article 258-275a)

SECTION 1 - Elements of the system of governance (Article 258-267)Article 258 - General governance requirements Q&AGL Article 259 - Risk Management System Q&AGL Article 260 - Risk management areas Q&AGL Article 261 - Risk management in undertakings providing loans and/or mortgage insurance or reinsurance Q&AGL Article 261a - Risk management for qualifying infrastructure investments or qualifying infrastructure corporate investments Q&A Article 262 - Overall solvency needs Q&AGL Article 263 - Alternative methods for valuation GL Article 264 - Valuation of technical provisions — validation GL Article 265 - Valuation of technical provisions — documentation GL Article 266 - Internal control system GL Article 267 - Internal control of valuation of assets and liabilities GL

SECTION 2 - Functions (Article 268-272)Article 268 - Specific provisions GL Article 269 - Risk management function GL Article 270 - Compliance function GL Article 271 - Internal audit function GL Article 272 - Actuarial function GL

SECTION 3 - Fit and proper requirements (Article 273)Article 273 GL

SECTION 4 - Outsourcing (Article 274)Article 274 Q&AGL

SECTION 5 - Remuneration (Article 275)Article 275 Q&AGL

SECTION 6 - Investments (Article 275a)Article 275a - Integration of sustainability risks in the prudent person principle

CHAPTER X - CAPITAL ADD-ON (Article 276-287)

SECTION 1 - Circumstances for imposing a capital add-on (Article 276-281)Article 276 - Assessment of a significant deviation as regards the SCR Article 277 - Assessment of a significant deviation as regards the governance Article 278 - Assessment of a significant deviation as regards adjustments to the relevant risk-free rate and transitional measures Article 279 - Add-ons in relation to deviations from Solvency Capital Requirement assumptions Q&A Article 280 - Assessment of the requirement to use an internal model Article 281 - Appropriate timeframe for adapting the internal model

SECTION 2 - Methodologies for calculating capital add-ons (Article 282-287)Article 282 - Calculation of add-ons in relation to deviations from SCR assumptions Article 283 - Scope and approach of modifications as regards a deviation from SCR assumptions Article 284 - Calculation of add-ons in relation to adjustments to the relevant risk-free rate or transitional measures Article 285 - Scope and approach of modifications as regards adjustments to the relevant risk-free rate and transitional measures Article 286 - Calculation of add-ons in relation to deviations from governance standards Article 287 - Apportionment of add-ons for undertakings which simultaneously pursue life and non-life insurance activities

CHAPTER XI - EXTENSION OF THE RECOVERY PERIOD (Article 288-289)Article 288 - Assessment of exceptional adverse situations Article 289 - Factors and criteria to determine the extension of the recovery period

CHAPTER XII - PUBLIC DISCLOSURE (Article 290-303)

SECTION 1 - Solvency and financial condition report: structure and contents (Article 290-298)Article 290 - Structure GL Article 291 - Materiality GL Article 292 - Summary GL Article 293 - Business and performance Q&AGL Article 294 - System of governance GL Article 295 - Risk profile GL Article 296 - Valuation for solvency purposes GL Article 297 - Capital management Q&AGL Article 298 - Additional voluntary information GL

SECTION 2 - Solvency and financial condition report: non-disclosure of information (Article 299)Article 299

SECTION 3 - Solvency and financial condition report: deadlines, means of disclosure and updates (Article 300-303)Article 300 - Deadlines Article 301 - Means of disclosure Article 302 - Updates GL Article 303 - Transitional arrangements on comparative information Q&A

CHAPTER XIII - REGULAR SUPERVISORY REPORTING (Article 304-314)

SECTION 1 - Elements and contents (Article 304-311)Article 304 - Elements of the regular supervisory reporting Q&A Article 305 - Materiality GL Article 306 - Own-risk and solvency assessment supervisory report Q&AGL Article 307 - Business and performance Q&AGL Article 308 - System of governance GL Article 309 - Risk profile GL Article 310 - Valuation for solvency purposes GL Article 311 - Capital management GL

SECTION 2 - Deadlines and means of communication (Article 312-314)Article 312 - Deadlines Q&A Article 313 - Means of communication Article 314 - Transitional information requirements

CHAPTER XIV - TRANSPARENCY AND ACCOUNTABILITY OF SUPERVISORY AUTHORITIES (Article 315-317)Article 315 - Confidential information Article 316 - Aggregate statistical data Article 317 - Means of disclosure

CHAPTER XV - SPECIAL PURPOSE VEHICLES (Article 318-327)

SECTION 1 - Authorization (Article 318)Article 318

SECTION 2 - Mandatory contract conditions (Article 319-321)Article 319 - Fully Funded Article 320 - Effective transfer of risk Article 321 - Rights of the providers of debt or financing mechanisms

SECTION 3 - System of governance (Article 322-324)Article 322 - Fit and proper requirements of persons who effectively run a special purpose vehicle Article 323 - Fit and proper requirements for shareholders or members with a qualifying holding Article 324 - Sound administrative and accounting procedures, adequate internal control mechanisms and risk-management requirements

SECTION 4 - Supervisory reporting (Article 325)Article 325 - Supervisory reporting

SECTION 5 - Solvency requirements (Article 326-327)Article 326 - Solvency requirements Article 327 - Solvency requirements on investments

TITLE III - THIRD COUNTRY EEQUIVALENCE AND FINAL PROVISIONS (Article 378-381)

CHAPTER I - UNDERTAKINGS CARRYING OUT REINSURANCE ACTIVITIES WITH THEIR HEAD OFFICE IN A THIRD COUNTRY (Article 378)Article 378 - Criteria for assessing third country equivalence

CHAPTER II - RELATED THIRD COUNTRY INSURANCE AND REINSURANCE UNDERTAKINGS (Article 379)Article 379 - Criteria for assessing third country equivalence

CHAPTER III - INSURANCE AND REINSURANCE UNDERTAKINGS WITH THE PARENT UNDERTAKINGS OUTSIDE THE UNION (Article 380)Article 380 - Criteria for assessing third country equivalence

CHAPTER IV - FINAL PROVISIONS (Article 381)Article 381

Metadata

Timeline

Delegated Regulation 2015/35

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)