Article 105 | Delegated Regulation 2015/35 | judict

Updated 05/02/2025

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SII Tool Delegated Regulation 2015/35

Article 105

Article 105 - Delegated Regulation 2015/35

Article 105

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

Where Articles 88 and 89 are complied with, captive insurance or captive reinsurance undertakings may base the calculation of the capital requirement for spread risk to in Article 176 on the assumption that all assets are assigned to credit quality step 3.

Table of contents

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)

CHAPTER II - VALUATION OF ASSETS AND LIABILITIES (Article 7-16)

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

CHAPTER IV - OWN FUNDS (Article 62-82)

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

SECTION 1 - General provisions (Article 83-113)

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 (Article 88-112b)Article 88 - Proportionality Q&A 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 Q&A Article 90a - Simplified calculation for discontinuance of insurance policies in the non-life lapse risk sub-module Q&A Article 90b - Simplified calculation of the sum insured for natural catastrophe risks Q&A Article 90c - Simplified calculation of the capital requirement for fire risk Q&A Article 91 - Simplified calculation of the capital requirement for life mortality risk Q&A Article 92 - Simplified calculation of the capital requirement for life longevity risk Q&A Article 93 - Simplified calculation of the capital requirement for life disability-morbidity risk Q&A Article 94 - Simplified calculation of the capital requirement for life-expense risk Q&A Article 95 - Simplified calculation of the capital requirement for permanent changes in lapse rates Q&A Article 95a - Simplified calculation of the capital requirement for risks in the life lapse risk sub-module Q&A Article 96 - Simplified calculation of the capital requirement for life-catastrophe risk Q&A Article 96a - Simplified calculation for discontinuance of insurance policies in the NSLT health lapse risk sub-module Q&A Article 97 - Simplified calculation of the capital requirement for health mortality risk Q&A Article 98 - Simplified calculation of the capital requirement for health longevity risk Q&A Article 99 - Simplified calculation of the capital requirement for medical expense disability-morbidity risk Q&A Article 100 - Simplified calculation of the capital requirement for income protection disability-morbidity risk Q&A Article 101 - Simplified calculation of the capital requirement for health expense risk Q&A Article 102 - Simplified calculation of the capital requirement for SLT health lapse risk Q&A Article 102a - Simplified calculation of the capital requirement for risks in the SLT health lapse risk sub-module Q&A Article 103 - Simplified calculation of the capital requirement for interest rate risk for captive insurance or reinsurance undertakings Q&A Article 104 - Simplified calculation for spread risk on bonds and loans Q&A Article 105 - Simplified calculation for captive insurance or reinsurance undertakings of the capital requirement for spread risk on bonds and loans Q&A Article 105a - Simplified calculation for the risk factor in the spread risk sub-module and the market risk concentration sub-module Q&A Article 106 - Simplified calculation of the capital requirement for market risk concentration for captive insurance or reinsurance undertakings Q&A Article 107 - Simplified calculation of the risk mitigating effect for reinsurance arrangements or securitisation Q&A Article 108 - Simplified calculation of the risk mitigating effect for proportional reinsurance arrangements Q&A Article 109 - Simplified calculations for pooling arrangements Q&A Article 110 - Simplified calculation — grouping of single name exposures Q&A Article 111 - Simplified calculation of the risk mitigating effect Q&A Article 111a - Simplified calculation of the risk-mitigating effect on underwriting risk Q&A Article 112 - Simplified calculation of the risk adjusted value of collateral to take into account the economic effect of the collateral Q&A 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 (Article 113)

SECTION 2 - Non-life underwriting risk module (Article 114-135)

SECTION 3 - Life underwriting risk module (Article 136-143)

SECTION 4 - Health underwriting risk module (Article 144-163)

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

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

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 (Article 205-207)

SECTION 10 - Risk mitigation techniques (Article 208-215)

SECTION 11 - Ring fenced funds (Article 216-217)

SECTION 12 - Undertaking-specific parameters (Article 218-220)

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

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

CHAPTER VII - MINIMUM CAPITAL REQUIREMENT (Article 248-253)

CHAPTER VIII - INVESTMENTS IN SECURITISATION POSITIONS (Article 254-257)

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

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

CHAPTER XI - EXTENSION OF THE RECOVERY PERIOD (Article 288-289)

CHAPTER XII - PUBLIC DISCLOSURE (Article 290-303)

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

CHAPTER XIV - TRANSPARENCY AND ACCOUNTABILITY OF SUPERVISORY AUTHORITIES (Article 315-317)

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

TITLE II - INSURANCE GROUPS (Article 328-377)

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

ANNEX I Q&A ANNEX II Q&A ANNEX III Q&A ANNEX IV Q&A ANNEX V Q&A ANNEX VI GL ANNEX VII Q&A ANNEX VIII ANNEX IX Q&A ANNEX X Q&A ANNEX XI ANNEX XII ANNEX XIII Q&A ANNEX XIV ANNEX XV ANNEX XVI ANNEX XVII Q&A ANNEX XVIII ANNEX XIX ANNEX XX GL ANNEX XXI ANNEX XXII ANNEX XXIII Q&A ANNEX XXIV Q&A ANNEX XXV ANNEX XXVI