DELEGATED REGULATION (EU) 2015/35 | European Insurance and Occupational Pensions Authority

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✔ DELEGATED REGULATION (EU) 2015/35
- ✔ 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
      - ✔ Article 1 - Definitions
      - ✔ Article 2 - Expert Judgement
    - ✔ SECTION 2 - External Credit assessments
  - ✔ CHAPTER II - Valuation of assets and liabilities
  - ✔ CHAPTER III - Rules relating to Technical Provisions
    - ✔ SECTION 1 - Definitions and general principles
      - ✔ Article 17 - Recognition and derecognition of insurance and reinsurance obligations
      - ✔ Article 18 - Boundary of an insurance or reinsurance contract
    - ✔ SECTION 2 - Data Quality
    - ✔ SECTION 3 - Methodologies to calculate technical provisions
      - ✔ SUBSECTION 1 - Assumptions underlying the calculation of technical Provisions
        
        ✔ Article 22 - General provisions
        
        ✔ Article 23 - Future management actions
        
        ✔ Article 24 - Future discretionary benefits
        
        ✔ Article 25 - Separate calculation of the future discretionary benefits
        
        ✔ Article 26 - Policyholder behaviour
      - ✔ SUBSECTION 2 - Information underlying the calculation of Best Estimates
        
        ✔ Article 27 - Credibility of information
      - ✔ SUBSECTION 3 - Cah Flow projections for the calculation of the Best Estimate
        
        ✔ Article 28 - Cash flows
        
        ✔ Article 29 - Expected future developments in the external environment
        
        ✔ Article 30 - Uncertainty of cash flows
        
        ✔ Article 31 - Expenses
        
        ✔ Article 32 - Contractual options and financial guarantees
        
        ✔ Article 33 - Currency of the obligation
        
        ✔ Article 34 - Calculation methods
        
        ✔ Article 35 - Homogeneous risk groups of life insurance obligations
        
        ✔ Article 36 - Non-life insurance obligations
      - ✔ SUBSECTION 4 - Risk Margin
        
        ✔ Article 37 - Calculation of the risk margin
        
        ✔ Article 38 - Reference undertaking
        
        ✔ Article 39 - Cost-of-Capital rate
      - ✔ SUBSECTION 5 - Calculation of Technical Provisions as a whole
        
        ✔ Article 40 - Circumstances in which technical provisions shall be calculated as a whole and the method to be used
      - ✔ SUBSECTION 6 - Recoverables from reinsurance contracts and Special Purpose Vehicles
        
        ✔ Article 41 - General provisions
        
        ✔ Article 42 - Counterparty default adjustment
    - ✔ SECTION 4 - Relevant risk-free interest rate term structure
      - ✔ SUBSECTION 1 - General Provisions
        
        ✔ Article 43 - General provisions
      - ✔ SUBSECTION 2 - Basic Risk Free interest rate term structure
        
        ✔ Article 44 - Relevant financial instruments to derive the basic risk-free interest rates
        
        ✔ Article 45 - Adjustment to swap rates for credit risk
        
        ✔ Article 46 - Extrapolation
        
        ✔ Article 47 - Ultimate forward rate
        
        ✔ Article 48 - Basic risk-free interest rate term structure of currencies pegged to the euro
      - ✔ SUBSECTION 3 - Volatility Adjustment
        
        ✔ Article 49 - Reference portfolios
        
        ✔ Article 50 - Formula to calculate the spread underlying the volatility adjustment
        
        ✔ Article 51 - Risk-corrected spread
      - ✔ SUBSECTION 4 - Matching Adjustment
        
        ✔ Article 52 - Mortality risk stress
        
        ✔ Article 53 - Calculation of the matching adjustment
        
        ✔ Article 54 - Calculation of the fundamental spread
    - ✔ SECTION 5 - Lines of Business
      - ✔ Article 55 - Lines of business
    - ✔ SECTION 6 - Proportionality and simplifications
  - ✔ CHAPTER IV - Own Funds
    - ✔ SECTION 1 - Determination of Own Funds
      - ✔ SUBSECTION 1 - Supervisory approval of ancillary own funds
        
        ✔ Article 62 - Assessment of the application
        
        ✔ Article 63 - Assessment of the application — Status of the counterparties
        
        ✔ Article 64 - Assessment of the application — Recoverability of the funds
        
        ✔ Article 65 - Assessment of the application — Information on the outcome of past calls
        
        ✔ Article 66 - Specification of amount relating to an unlimited amount of ancillary own funds
        
        ✔ Article 67 - Specification of amount and timing relating to the approval of a method
      - ✔ SUBSECTION 2 - Own Funds treatment of participations
        
        ✔ Article 68 - Treatment of participations in the determination of basic own funds
    - ✔ SECTION 2 - Classification of Own Funds
    - ✔ SECTION 3 - Eligibility of Own Funds
      - ✔ SUBSECTION 1 - Ring-fenced funds
        
        ✔ Article 80 - Ring-fenced funds requiring adjustments
        
        ✔ Article 81 - Adjustment for ring-fenced funds and matching adjustment portfolios
      - ✔ SUBSECTION 2 - Quantitative limits
        
        ✔ Article 82 - Eligibility and limits applicable to Tiers 1, 2 and 3
  - ✔ CHAPTER V - Solvency capital requirement standard formula
    - ✔ SECTION 1 - General Provisions
    - ✔ SECTION 2 - Non-life underwriting risk module
    - ✔ SECTION 3 - Life underwriting risk module
    - ✔ SECTION 4 - Health underwriting risk module
    - ✔ SECTION 5 - Market risk module
      - ✔ SUBSECTION 1 - Correlation coefficients
        
        ✔ Article 164 - Correlation coefficients
      - ✔ SUBSECTION 1a - Qualifying infrastructure investments
        
        ✔ Article 164a - Qualifying infrastructure investments
        
        ✔ Article 164b - Qualifying infrastructure corporate investments
      - ✔ SUBSECTION 2 - Interest rate risk sub-module
        
        ✔ Article 165 - General provisions
        
        ✔ Article 166 - Increase in the term structure of interest rates
        
        ✔ Article 167 - Decrease in the term structure of interest rates
      - ✔ SUBSECTION 3 - Equity risk sub-module
        
        ✔ Article 168 - General provisions
        
        ✔ Article 168a - Qualifying unlisted equity portfolios
        
        ✔ Article 169 - Standard equity risk sub-module
        
        ✔ Article 170 - Duration-based equity risk sub-module
        
        ✔ Article 171 - Strategic equity investments
        
        ✔ Article 171a - Long-term equity investments
        
        ✔ Article 172 - Symmetric adjustment of the equity capital charge
        
        ✔ Article 173 - Criteria for the use of transitional measure for standard equity risk
      - ✔ SUBSECTION 4 - Property risk sub-module
        
        ✔ Article 174 - Property risk sub-module
      - ✔ SUBSECTION 5 - Spread risk sub-module
        
        ✔ Article 175 - Scope of the spread risk sub-module
        
        ✔ Article 176 - Spread risk on bonds and loans
        
        ✔ Article 176a - Internal assessment of credit quality steps of bonds and loans
        
        ✔ Article 176b - Requirements for an undertaking&#039;s own internal credit assessment of bonds and loans
        
        ✔ Article 176c - Assessment of credit quality steps of bonds and loans based on an approved internal model
        
        ✔ Article 178 - Spread risk on securitisation positions: calculation of the capital requirement
        
        ✔ Article 178a - Spread risk on securitisation positions: transitional provisions
        
        ✔ Article 179 - Spread risk on credit derivatives
        
        ✔ Article 180 - Specific exposures
        
        ✔ Article 181 - Application of the spread risk scenarios to matching adjustment portfolios
      - ✔ SUBSECTION 6 - Market risk concentrations sub-module
        
        ✔ Article 182 - Single name exposure
        
        ✔ Article 183 - Calculation of the capital requirement for market risk concentration
        
        ✔ Article 184 - Excess exposure
        
        ✔ Article 185 - Relative excess exposure thresholds
        
        ✔ Article 186 - Risk factor for market risk concentration
        
        ✔ Article 187 - Specific exposures
      - ✔ SUBSECTION 7 - Currency risk sub-module
        
        ✔ Article 188 - Currency risk sub-module
    - ✔ SECTION 6 - Counterparty Default risk module
      - ✔ SUBSECTION 1 - General Provisions
        
        ✔ Article 189 - Scope
        
        ✔ Article 190 - Single name exposures
        
        ✔ Article 191 - Mortgage loans
        
        ✔ Article 192 - Loss-given-default
        
        ✔ Article 192a - Exposure to clearing members
        
        ✔ Article 193 - Loss-given-default for pool exposures of type A
        
        ✔ Article 194 - Loss-given-default for pool exposures of type B
        
        ✔ Article 195 - Loss-given-default for pool exposures of type C
        
        ✔ Article 196 - Risk-mitigating effect
        
        ✔ Article 197 - Risk-adjusted value of collateral
        
        ✔ Article 198 - Risk-adjusted value of mortgage
      - ✔ SUBSECTION 2 - Type 1 exposures
        
        ✔ Article 199 - Probability of default
        
        ✔ Article 200 - Type 1 exposures
        
        ✔ Article 201 - Variance of the loss distribution of type 1 exposures
      - ✔ SUBSECTION 3 - Type 2 exposures
        
        ✔ Article 202 - Type 2 exposures
    - ✔ SECTION 7 - Intangible asset module
      - ✔ Article 203 - Intangible asset module
    - ✔ SECTION 8 - Operational risk
      - ✔ Article 204 - 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
      - ✔ Article 216 - Calculation of the Solvency Capital Requirement in the case of ring-fenced funds and matching adjustment portfolios
      - ✔ Article 217 - Solvency Capital Requirement calculation method for ring-fenced funds and matching adjustment portfolios
    - ✔ SECTION 12 - Undertaking-specific parameters
    - ✔ SECTION 13 - Procedure for updating correlation parameters
      - ✔ Article 221 - Procedure for updating correlation parameters
  - ✔ CHAPTER 6 -SOLVENCY CAPITAL REQUIREMENT — FULL AND PARTIAL INTERNAL MODELS
    - ✔ SECTION 1 - Definitions
      - ✔ Article 222 - Materiality
    - ✔ SECTION 2 - Use test
    - ✔ SECTION 3 - Statistical quality standards
    - ✔ SECTION 4 - Calibration standards
      - ✔ Article 238 - Calibration standards
    - ✔ SECTION 5 - Integration of Partial Internal Models
      - ✔ Article 239 - Integration of partial internal models
    - ✔ SECTION 6 - Profit and loss attribution
      - ✔ Article 240 - Profit and loss attribution
    - ✔ SECTION 7 - Validation Standards
      - ✔ Article 241 - Model validation process
      - ✔ Article 242 - Validation tools
    - ✔ SECTION 8 - Documentation standards
    - ✔ SECTION 9 - External models and data
      - ✔ Article 247 - External models and data
  - ✔ CHAPTER 7 - Minimum Capital Requirement
  - ✔ CHAPTER 8 - Investments in securitisation positions
    - ✔ Article 257 - Requirements for investments in securitisation that no longer comply with the risk-retention and qualitative requirements
  - ✔ CHAPTER 9 - System of governance
    - ✔ SECTION 1 - Elements of the system of governance
    - ✔ SECTION 2 - Functions
    - ✔ SECTION 3 - Fit and Proper requirements
      - ✔ Article 273 - Fit and proper requirements
    - ✔ SECTION 4 - Outsourcing
      - ✔ Article 274 - Outsourcing
    - ✔ SECTION 5 - Remuneration policy
      - ✔ Article 275 - Remuneration policy
      - ✔ Article 275a - Integration of sustainability risks in the prudent person principle
  - ✔ CHAPTER 10 - Capital add-on
    - ✔ SECTION 1 - Circumstances for imposing a capital add-on
    - ✔ SECTION 2 - Methodologies for calculating capital add-ons
  - ✔ CHAPTER 11 - Extension of the recovery period
    - ✔ Article 288 - Assessment of exceptional adverse situations
    - ✔ Article 289 - Factors and criteria to determine the extension of the recovery period
  - ✔ CHAPTER 12 - Public Disclosure
    - ✔ SECTION 1 - Solvency and Financial Condition Report: structure and contents
      - ✔ Article 290 - Structure
      - ✔ Article 291 - Materiality
      - ✔ Article 292 - Summary
      - ✔ Article 293 - Business and performance
      - ✔ Article 294 - System of governance
      - ✔ Article 295 - Risk profile
      - ✔ Article 296 - Valuation for solvency purposes
      - ✔ Article 297 - Capital management
      - ✔ Article 298 - Additional voluntary information
    - ✔ SECTION 2 - Solvency and Financial Condition Report: non-disclosure of information
      - ✔ Article 299 - Solvency and financial condition report: non-disclosure of information
    - ✔ SECTION 3 - Solvency and Financial Condition Report: deadlines, means of disclosure and updates
  - ✔ CHAPTER 13 - Regular Supervisory Reporting
    - ✔ SECTION 1 - Elements and contents
    - ✔ SECTION 2 - Deadlines and means of communication
  - ✔ CHAPTER 14 - Transparency and accountability of supervisory authorities
  - ✔ CHAPTER 15 - Special Purpose Vehicles
    - ✔ SECTION 1 - Authorization
      - ✔ Article 318 - Authorization
    - ✔ SECTION 2 - Mandatory contract conditions
    - ✔ SECTION 3 - System of governance
    - ✔ SECTION 4 - Supervisory reporting
      - ✔ Article 325 - Supervisory reporting
    - ✔ SECTION 5 - Solvency requirements
      - ✔ Article 326 - Solvency requirements
      - ✔ Article 327 - Solvency requirements on investments
- ✔ TITLE II - INSURANCE GROUPS
  - ✔ CHAPTER 1 - Solvency calculation at group level
    - ✔ SECTION 1 - Group solvency: choice of calculation method and general principles
    - ✔ SECTION 2 - Group solvency: calculation methods
  - ✔ CHAPTER 2 - 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
    - ✔ SECTION 2 - Use of a group Internal Model
  - ✔ CHAPTER 3 - Supervision of group solvency for groups with centralised risk management
  - ✔ CHAPTER 4 - Coordination of group supervision
    - ✔ SECTION 1 - Colleges of supervisors
    - ✔ SECTION 2 - Exchange of information
      - ✔ Article 357 - Information to be exchanged on a systematic basis
    - ✔ SECTION 3 - National or regional sub-group supervision
      - ✔ Article 358 - National or regional subgroup supervision
  - ✔ CHAPTER 5 - Public Disclosure
    - ✔ SECTION 1 - Group Solvency and Financial Condition Report
    - ✔ SECTION 2 - Single Solvency and Financial Condition Report
  - ✔ CHAPTER 6 - Group supervisory reporting
    - ✔ SECTION 1 - Regular reporting
    - ✔ SECTION 2 - Reporting on risk concentrations and intragroup transactions
      - ✔ Article 376 - Significant risk concentrations (definition, identification and thresholds)
      - ✔ Article 377 - Significant intragroup transactions (definition, identification)
- ✔ TITLE III - THIRD COUNTRY BRANCHES EQUIVALENCE AND FINAL PROVISIONS
  - ✔ CHAPTER 1 - Undertakings carrying out reinsurance activities with their head office in a third country
    - ✔ Article 378 - Criteria for assessing third country equivalence
  - ✔ CHAPTER 2 - Related third country insurance and reinsurance undertakings
    - ✔ Article 379 - Criteria for assessing third country equivalence
  - ✔ CHAPTER 3 - Insurance and reinsurance undertakings with the parent undertakings outside the union
    - ✔ Article 380 - Criteria for assessing third country equivalence
  - ✔ CHAPTER 4 - Final provisions
    - ✔ Article 381 - Final Provisions