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

• (g) a statement on whether the transitional risk-free interest rate-term structure referred to Article 308c of Directive 2009/138/EC is applied, the reason for applying that transitional risk-free interest rate-term structure, a quantification of the impact of not applying that risk-free interest rate-term structure on the amount of technical provisions, and the prospect to reduce any dependence on the transitional risk-free interest rate-term structure by the end of the transitional period;

• (h) a statement on whether the transitional deduction referred to in Article 308d of Directive 2009/138/EC is applied, the reason for applying that transitional deduction, a quantification of the impact of not applying the transitional deduction on the amount of technical provisions and the prospect to reduce any dependence on the transitional deduction by the end of the transitional period;

• (i) a description of the following:
• (i) the recoverables from reinsurance contracts and separately, from special purpose vehicles;
• (ii) any material changes in the relevant assumptions made in the calculation of technical provisions compared to the previous reporting period.

• (a) separately for each material class of other liabilities the value of other liabilities and a description of the bases, methods and main assumptions used for their valuation for solvency purposes;

• (b) for each material classes of other liabilities, an explanation of any material differences with the valuation bases, methods and main assumptions used by the undertaking for the valuation for solvency purposes and those used for their valuation in financial statements.

Article 297

Information targeted at market professionals: Capital management and risk profile

• (a) information on the objectives of the insurance or reinsurance undertaking in managing its own funds, including information on the time horizon used for business planning and explanations for any material changes to those objectives over the reporting period;

• (b) the eligible amount of own funds to cover the Solvency Capital Requirement, classified by tiers, at the end of the reporting period and at the end of the previous reporting period, including an analysis of the material changes in each tier over the reporting period;

• (c) the eligible amount of basic own funds to cover the Minimum Capital Requirement, classified by tiers;

• (d) where the phasing-in mechanism for extrapolation referred to in Article 77a(2) of Directive 2009/138/EC is applied, a quantification of the impact of not applying the phasing-in mechanism on:
• (i) the basic own funds;
• (ii) the amounts of own funds eligible to cover the Minimum Capital Requirement and the Solvency Capital Requirement;

• (e) where the matching adjustment referred to in Article 77b of Directive 2009/138/EC is applied, a quantification of the impact of a change to zero of the matching adjustment on:
• (i) the basic own funds;
• (ii) the amounts of own funds eligible to cover the Minimum Capital Requirement and the Solvency Capital Requirement;

• (f) where the volatility adjustment referred to in Article 77d of Directive 2009/138/EC is used by the undertaking a quantification of the impact of a change to zero of the volatility adjustment on:
• (i) the basic own funds;
• (ii) the amounts of own funds eligible to cover the Minimum Capital Requirement and the Solvency Capital Requirement;

• (g) where the transitional risk-free interest rate-term structure referred to Article 308c of Directive 2009/138/EC is applied a quantification of the impact of not applying the transitional measure on:
• (i) the basic own funds;
• (ii) the amounts of own funds eligible to cover the Minimum Capital Requirement and the Solvency Capital Requirement;

• (h) where the transitional deduction referred to in Article 308d of Directive 2009/138/EC is applied a quantification of the impact of not applying the deduction measure on:
• (i) the basic own funds;
• (ii) the amounts of own funds eligible to cover the Minimum Capital Requirement and the Solvency Capital Requirement;

• (i) a quantification of the combined impact on the undertaking’s financial position of not applying the transitional measures laid down in Article 77a(2), Articles 308c and 308d and, where relevant, Article 111(1), second subparagraph, of Directive 2009/138/EC;

• (j) an analysis of significant changes in own funds during the reporting period, including:
• (i) the value of own fund items issued during the year;
• (ii) the extent to which an issuance as referred to in point (i) has been used to fund redemption;
• (iii) the value of instruments redeemed during the year;
• (iv) changes with regard to the key elements of the reconciliation reserve;

• (k) a quantitative and qualitative explanation of any material differences between equity as shown in the undertaking’s financial statements and the excess of assets over liabilities as calculated for solvency purposes;

• (l) for each material item of ancillary own funds:
• (i) a description of the item concerned;
• (ii) the amount of the ancillary own-fund item;
• (iii) where a method by which to determine the amount of the ancillary own-fund item has been approved:
• (1) that method;
• (2) the nature and the names of the counterparty or group of counterparties for the items referred to in Article 89(1), points (a), (b) and (c) of Directive 2009/138/EC;

• (m) a description of any item deducted from own funds and a brief description of any significant restriction affecting the availability and transferability of own funds within the undertaking;

For the purposes of the first subparagraph, point (l), the names of the counterparties shall not be disclosed where such disclosure is legally not possible or impracticable or where the counterparties concerned are not material.

• (a) the amounts of the undertaking’s Solvency Capital Requirement and the Minimum Capital Requirement and the eligible own funds and ratio of coverage for both the Solvency Capital Requirement and the Minimum Capital Requirement at the end of the reporting period, accompanied, where applicable, by a statement that the final amount of the Solvency Capital Requirement is still subject to supervisory assessment;

• (b) with regard to risk sensitivity, a description of the methods used, the assumptions made and the outcome of the sensitivity analysis for material risks and events;

• (c) where the phasing-in mechanism for extrapolation laid down in Article 77a(2) of Directive 2009/139/EC is applied, a quantification of the impact of non applying that phasing-in mechanism on the Solvency Capital Requirement and the Minimum Capital Requirement;

• (d) where the matching adjustment referred to in Article 77b of Directive 2009/138/EC is applied, a quantification of the impact of a change to zero of that matching adjustment on the Solvency Capital Requirement and on the Minimum Capital Requirement;

• (e) where the volatility adjustment referred to in Article 77d of Directive 2009/138/EC is used, a quantification of the impact of a change to zero of that volatility adjustment on the Solvency Capital Requirement and on the Minimum Capital Requirement;

• (f) where the transitional risk-free interest rate-term structure referred to Article 308c of Directive 2009/138/EC is applied a quantification of the impact of not applying that transitional risk-free interest rate-term structure on the Solvency Capital Requirement and on the Minimum Capital Requirement;

• (g) where the transitional deduction referred to in Article 308d of Directive 2009/138/EC is applied a quantification of the impact of not applying that transitional deduction on the Solvency Capital Requirement and on the Minimum Capital Requirement;

• (h) the amount of the undertaking’s Solvency Capital Requirement split by risk modules where that undertaking applies the standard formula, and by risk categories where the undertaking applies an internal model and a qualitative description of the material risks captured by the Solvency Capital Requirement calculation;

• (i) information on whether the undertaking is using simplified calculations, and for which risk modules and sub-modules of the standard formula;

• (j) information on whether and for which parameters of the standard formula that undertaking is using undertaking-specific parameters pursuant to Article 104(7) of Directive 2009/138/EC;

• (k) information on the inputs used by the undertaking to calculate the Minimum Capital Requirement;

• (l) any material change to the Solvency Capital Requirement and to the Minimum Capital Requirement over the reporting period, and the reasons for any such change.

• (a) a statement that the undertaking is using the duration-based equity risk sub-module set out in that Article for the calculation of its Solvency Capital Requirement, after approval from its supervisory authority;

• (b) the amount of the capital requirement for the duration-based equity risk sub-module resulting from such use.

The solvency and financial condition report shall contain all of the following information regarding the application of Article 105a of Directive 2009/138/EC:

• (a) a statement on whether the insurance and reinsurance undertaking applies the prudential treatment set out in Article 105a of that Directive for the calculation of its Solvency II capital requirement, and where applicable, the amount of equity investments that are classified as long-term equity investments, and the share of such investments within the equity portfolio;

• (b) information on any non-compliance with the conditions laid down in Article 105a(1), second subparagraph, of that Directive during the financial year covered by the report, including all of the following:
• (i) information on the conditions that are or were not met and the reasons for non-compliance;
• (ii) the duration of the non-compliance;
• (iii) whether the insurance or reinsurance undertaking has restored compliance.

An insurance or reinsurance undertaking that is required to cease to classify any equity investment as long-term equity investments in accordance with Article 105a(3), fourth subparagraph, of that Directive shall disclose that information and the remaining duration of the prohibition to apply the risk factor referred to in Article 105a(4) of Directive 2009/138/EC.

• (a) a description of the various purposes for which that undertaking is using its internal model;

• (b) a description of the scope of the internal model in terms of business units and risk categories;

• (c) where a partial internal model is used, a description of the technique which has been used to integrate any partial internal model into the standard formula including, where relevant, a description of alternative techniques used;

• (d) a description of the methods used in the internal model for the calculation of the probability distribution forecast and the Solvency Capital Requirement;

- (e) an explanation, by risk module, of the main differences in the methodologies and underlying assumptions used in the standard formula and in the internal model;

• (f) the risk measure and time period used in the internal model, and where they are not the same as those set out in Article 101(3) of Directive 2009/138/EC, an explanation of why the Solvency Capital Requirement calculated using the internal model provides policy holders and beneficiaries with a level of protection equivalent to that set out in Article 101 of that Directive;

• (g) a statement on whether a dynamic volatility adjustment is used in the internal model.

• (a) a description of the material risk concentrations to which the insurance or reinsurance undertaking is exposed;

• (b) the total amount of the expected profit included in future premiums as calculated in accordance with Article 260(2);

- (c) the total amount of the expected profit included in future fees for servicing and management of funds as calculated in accordance with Article 260(2a).

8. The solvency and financial condition report shall describe how the undertaking has determined its overall solvency needs given its risk profile and how its capital management activities and its risk management system interact with each other.

• (a) regarding any non-compliance with that undertaking’s Minimum Capital Requirement:
• (i) the period and maximum amount of each non-compliance during the reporting period;
• (ii) explanation of the origin and consequences of the non-compliance;
• (iii) any remedial measures taken, as provided for under Article 51(1b), point (d)(vi), of Directive 2009/138/EC;
• (iv) an explanation of the effects of the remedial measures referred to in point (iii);

• (b) where non-compliance with the undertaking’s Minimum Capital Requirement has not been subsequently resolved, the amount of and the consequences of the non-compliance at the reporting date;

- (c) regarding any non-compliance with the undertaking’s Solvency Capital Requirement during the reporting period:

• (i) the period and maximum amount of each significant non-compliance;
• (ii) the explanation of its origin and consequences and any remedial measures taken, as provided for under Article 51(1b), point (d)(vi), of Directive 2009/138/EC;
• (iii) an explanation of the effects of such remedial measures referred to in point (ii);

- (d) where a non-compliance with the undertaking’s Solvency Capital Requirement has not been subsequently resolved, the amount of and the consequences of the non-compliance at the reporting date.

Article 297a

Information targeted at market professionals: Sustainability-related information

1. The solvency and financial condition report shall contain the elements of the plans to be disclosed in accordance with Article 44 of Directive 2009/138/EC, including relevant quantifiable targets.

2. The solvency and financial condition report shall state whether the undertaking discloses the plans referred to in Article 19a or Article 29a of Directive 2013/34/EU, and where applicable, contain the internet link to those plans.

Article 298

Additional voluntary information

Where insurance and reinsurance undertakings disclose publicly, in accordance with Article 54(2) of Directive 2009/138/EC, any information or explanation related to their solvency and financial condition whose public disclosure is not legally required these undertakings shall ensure that such additional information is consistent with any information provided to the supervisory authorities pursuant to Article 35 of that Directive.

Article 298a

Languages

SECTION 2 Solvency and financial condition report: non-disclosure of information

Article 299

Non-disclosure of information

SECTION 3 Solvency and financial condition report: deadlines, means of disclosure and updates

Article 300

Deadlines

1. Insurance and reinsurance undertakings shall disclose both parts of their solvency and financial condition report in accordance with Article 51(7) of Directive 2009/138/EC.

2. As soon as the solvency and financial condition report, as well as any updated version of that report, is disclosed by insurance and reinsurance undertakings it shall be submitted to the supervisory authorities.

Article 301

Means of disclosure

Article 302

Updates

3. Notwithstanding paragraphs 1 and 2, insurance and reinsurance undertakings may decide, for the purposes of paragraph 5 of Article 301, to disclose appropriate information on the nature and effects of any major development significantly affecting the relevance of their solvency and financial condition report in the form of amendments supplementing the initial report.

CHAPTER XIII **REGULAR SUPERVISORY REPORTING**

SECTION 1 Elements and contents

Article 304

Elements of the regular supervisory reporting

• (a) both parts of the solvency and financial condition report disclosed by the insurance or reinsurance undertaking in accordance with Article 300 of this Regulation, together with any equivalent information disclosed publicly under other legal or regulatory requirements which the solvency and financial condition report refers to, and any updated version of that report disclosed in accordance with Article 302 of this Regulation;

- (b) the regular supervisory report comprising the information referred to in Articles 307 to 311 of this Regulation. It shall also present any information referred to in Articles 293 to 297 of this Regulation which supervisory authorities have permitted insurance and reinsurance undertakings not to disclose in their solvency and financial condition report, in accordance with Article 53(1) of Directive 2009/138/EC. The regular supervisory report shall follow the same structure as the one set out in Annex XX, Section B;

• (c) the own-risk and solvency assessment supervisory report (‘ORSA supervisory report’), comprising the results of each regular own risk and solvency assessment performed by the insurance and reinsurance undertakings in accordance with Article 45(6) of Directive 2009/138/EC, whenever an own-risk and solvency assessment is performed in accordance with Article 45(5) of that Directive;

• (d) annual and quarterly quantitative templates specifying in greater detail and supplementing the information presented in the solvency and financial condition report and in the regular supervisory report, taking into account possible limitations and exemptions as referred to in Article 35a of Directive 2009/138/EC.

For the purposes of point (d), to the extent that undertakings are exempted from quarterly reporting obligations in accordance with Article 35a(1) of Directive 2009/138/EC they shall submit annual quantitative templates only. Annual reporting obligations shall not include reporting on an item-by-item basis where undertakings are exempted from such reporting pursuant to Article 35a(2) of Directive 2009/138/EC.

Article 305

Materiality

For the purposes of this Chapter, the information or the changes to any information submitted to supervisors shall be considered material where its omission or misstatement could influence the decision-making or judgement of the supervisory authorities.

Article 306

Own-risk and solvency assessment supervisory report

The ORSA supervisory report shall present all of the following:

• (a) the qualitative and quantitative results of the own risk and solvency assessment and the conclusions drawn by the insurance or reinsurance undertaking from those results;

• (b) the methods and main assumptions used in the own risk and solvency assessment;

• (c) information on the undertaking's overall solvency needs and a comparison between those solvency needs, the regulatory capital requirements and the undertaking's own funds;

• (d) qualitative information on, and where significant deviations have been identified a quantification of the extent to which quantifiable risks of the undertakings are not reflected in the calculation of the Solvency Capital Requirement;

Article 307

Business and performance

• (a) the name and legal form of the undertaking;

• (b) where available, the legal entity identifier of the insurance or reinsurance undertaking, as specified pursuant to Article 7(4), point (b), of Regulation (EU) 2023/2859;

• (c) the main trends and factors that contribute to the development, performance and position of the undertaking over its business planning time period including the undertaking’s competitive position and any significant legal or regulatory issues;

• (d) a description of the business objectives of the undertaking, including the relevant strategies and timeframes.

• (a) an analysis of the undertaking’s overall underwriting performance during the reporting period and reasons for any material changes compared to the previous reporting period;

• (b) projections of the undertaking’s underwriting performance with information on significant factors that might affect such underwriting performance, over its business planning time period.

• (a) an analysis, by relevant asset class, of the undertaking’s overall investment performance during the reporting period, and, where applicable, the reasons for any material changes to that performance compared to the previous reporting period;

• (b) projections of the undertaking’s expected investment performance, with information on significant factors that might affect such investment performance, over its business planning time period;

• (c) the key assumptions which the undertaking makes in its investment decisions with respect to the movement of interest rates, exchange rates, and other relevant market parameters, over its business planning time period;

• (d) information about any investments in securitisation, and the undertaking’s risk management procedures in respect of such securities or instruments.

Article 308

System of governance

• (a) a description of the structure of the undertaking’s administrative, management or supervisory body of its main roles and responsibilities and of the segregation of responsibilities within those bodies, and in particular whether relevant committees exist within them, and a description of the main roles and responsibilities of key functions;

• (b) the remuneration entitlements of the members of the administrative, management or supervisory body and other key function, over the reporting period and the reasons for any material changes to those entitlements compared to the previous reporting period, including an explanation of the relative importance of the fixed and variable components of remuneration.

• (a) a list of the persons in the undertaking that are responsible for key functions;

• (b) a description of the undertaking’s specific requirements concerning skills, knowledge and expertise applicable to the persons who effectively run the undertaking or have other key functions.

• (a) a description of how the risk management system including the risk management function, are implemented and integrated into the organisational structure and decision-making processes of the undertaking;

• (b) information on the undertaking’s risk management strategies, objectives, processes and reporting procedures for each category of risk;

• (c) information on how the undertaking verifies the appropriateness of credit assessments from external credit assessments institutions, including information on how, and the extent to which, the undertaking uses credit assessments from external credit assessments institutions;

• (d) results of the assessments regarding the extrapolation of the risk-free rate, the matching adjustment and the volatility adjustment, as referred to in Article 44(2a) of Directive 2009/138/EC.

4. The regular supervisory report shall describe the process undertaken by the undertaking to fulfil its obligation to conduct an own risk and solvency assessment as part of its risk management system and how the own risk and solvency assessment is integrated into the organisational structure and decision-making processes of the undertaking.

• (a) a description of the undertaking’s internal control system elements and, where applicable, any material failures of that internal control system;

• (b) information on the advice given and assessments performed, as referred to in Article 46(2) of Directive 2009/138/EC during the reporting period, including any planned activities that were not implemented and the reason for their non-implementation;

• (c) information on the undertaking’s compliance policy, any major activities taken under the compliance plan and any material compliance problems identified during the reporting period.

• (a) a description of internal audits performed during the reporting period, with:
• (i) a summary of the material findings and recommendations reported to the undertaking’s administrative, management or supervisory body;
• (ii) a summary of and any action taken with respect to those material findings and recommendations;
• (iii) any information on outstanding material issues;

• (b) a description of the undertaking’s internal audit policy, and the frequency of its revision;

• (c) a description of the undertaking’s audit plan, including future internal audits and the rationale for those future audits.

- (a) a description of how the actuarial function of the insurance or reinsurance undertaking is implemented;

• (b) an overview of the activities undertaken by the actuarial function in each of its areas of responsibility during the reporting period, describing how the actuarial function contributes to the effective implementation of the undertaking’s risk management system and describing the main findings of the actuarial function.

• (a) a description of the outsourcing policy of the insurance or reinsurance undertaking;

• (b) a list of the persons responsible for the outsourced key functions in the service provider.

Article 310

Valuation for solvency purposes

• (a) a justification of why alternative valuation methods are used by class of assets and liabilities;

• (b) the assumptions of each alternative valuation method used for assets and liabilities;

• (c) the valuation uncertainty by class of assets and liabilities;

• (d) information about the adequacy of the valuation of the assets and liabilities for which the alternative valuation is used, assed by comparison against experience.

Article 311

Capital management and risk profile

• (a) information on the policies and processes employed by the undertaking for managing its own funds;

• (b) information on the material terms and conditions of the main items of own funds held by the undertaking;

• (c) the expected developments of the undertaking’s own funds over its business planning time period given the undertaking’s business strategy, taking into account appropriately stressed capital plans;

• (d) whether there is any intention to repay or redeem any own-fund item or whether there are plans to raise additional own funds;

• (e) information regarding deferred taxes, including:
• (i) a description of the calculated amount of deferred tax assets without an assessment of their probable utilisation, and the extent to which those deferred tax assets have been recognised;
• (ii) for deferred tax assets which have been recognised, a description of the amounts being recognised as likely to be utilised by reference to probable future taxable profit and by reference to the reversion of deferred tax liabilities relating to income taxes levied by the same tax authority;
• (iii) a detailed description of the underlying assumptions used for the projection of probable future taxable profit for the purposes of Article 15;
• (iv) an analysis of the sensitivity of the net deferred tax assets to changes in the underlying assumptions referred to in point (iii), where net deferred tax assets shall be calculated as the difference between:
• (1) the amount of deferred tax assets calculated in accordance with Article 15;
• (2) the amount of deferred tax liabilities against which the deferred tax assets may be set off by taking into account detailed scheduling.

• (a) the expected developments of the undertaking’s anticipated Solvency Capital Requirement and Minimum Capital Requirement over its business planning time period given the undertaking’s business strategy, where the same information is not included in the ORSA Supervisory Report;

• (b) an estimate of the undertaking’s Solvency Capital Requirement, determined in accordance with the standard formula, where the supervisory authority has required the undertaking to provide such estimate pursuant to Article 112(7) of Directive 2009/138/EC, or where no such estimate was required in the year of adoption of the regular supervisory report, the most recent available calculation, accompanied by an indication of the reference year of that calculation;

• (c) a description on the approach taken for the calculation of the capital requirements for immaterial risks of the SCR standard formula, including a brief description of the modules or sub-modules which are subject to such approach and of the volume measures that have been used to calculate the immaterial risks;

• (d) for the future profit projected for the purposes of the loss-absorbing capacity of deferred taxes in accordance with Article 207 of this Regulation:
• (i) a description, and the relevant amount of each of the components used to demonstrate a positive value of the increase in deferred tax assets;
• (ii) a detailed description of the underlying assumptions used for the projection of probable future taxable profit for the purposes of Article 207;
• (iii) an analysis of the sensitivity of the value of the adjustment to changes in the underlying assumptions referred to in point (ii);

• (e) the volume and nature of the loan portfolio of the insurance or reinsurance undertaking.

• (a) the results of the review of the sources of profits and the causes of losses, as required by Article 123 of Directive 2009/138/EC, for each major business unit;

• (b) a description of how the categorisation of risk chosen in the internal model explains those sources of profits and causes of losses.

• (a) a statement of whether the insurance or reinsurance undertaking applies the prudential treatment set out in Article 105a of that Directive, and where that is the case, the amount and characteristics of equity investments that are classified as long-term equity investments, including:
• (i) the geographical location of those equity investments;
• (ii) the share of such equity investments within the equity portfolio;

• (b) a description of how the insurance or reinsurance undertaking complies with the conditions laid down in Article 105a(1), second subparagraph of Directive 2009/138/EC;

• (c) a description of the methods used to demonstrate the ability to avoid forced sales in accordance with Article 171a of this Regulation.

The regular supervisory report shall also contain the information laid down in the third subparagraph, where one of the following conditions is met:

• (a) long-term equity investments represent more than 4 % of total assets held by insurance or reinsurance undertakings;

• (b) the insurance or reinsurance undertaking would not comply with the Solvency Capital Requirement without applying Article 105a of Directive 2009/138/EC.

The information referred to in the second subparagraph shall be the following:

• (a) a quantification of the impact on the value of the market risk module of non-application of Article 105a of Directive 2009/138/EC to any equity investment;

• (b) information on the actions that the insurance or reinsurance undertaking would take in case of breach of, or persisting non-compliance with, the conditions laid down in Article 105a(1), second subparagraph, of Directive 2009/138/EC.

• (a) information about the expected profit included in future premiums and the expected profit included in future fees for servicing and management of funds as calculated in accordance with Article 260 (2) and (2a) respectively of this Regulation for each line of business;

• (b) the result of the qualitative assessment referred to in Article 260(1), point (d)(ii);

• (c) a description of the methods and main assumptions used to calculate the expected profit included in future premiums.

The regular supervisory report shall also contain information on any material liquidity risk exposure to financing transactions or agreements, including factoring, in which the insurance or reinsurance undertaking has entered directly or indirectly.

• (a) information on the material risk concentrations to which the undertaking is exposed to;

• (b) an overview of any future risk concentrations anticipated over the business planning time period in line with that undertaking’s business strategy;

• (c) an explanation on how the risk concentrations referred to in point (a) and (b) will be managed.

• (a) where the undertaking sells or re-pledges collateral, within the meaning of Article 214 of this Regulation, the amount of that collateral, valued in accordance with Article 75 of Directive 2009/138/EC;

• (b) where the undertaking has provided collateral, within the meaning of Article 214:
• (i) the nature of the collateral;
• (ii) the nature and value of assets provided as collateral;
• (iii) the corresponding actual and contingent liabilities created by the collateral arrangement;

- (c) information on the material terms and conditions associated with the collateral arrangement;

- (d) where the undertaking sells variable annuities, information on guarantee riders and hedging of the guarantees;

• (e) a description of the financing transactions, including factoring, in which the insurance or reinsurance undertaking has entered directly or indirectly, and the corresponding amounts of the off-balance sheet liabilities.

- (a) a description of the techniques used to mitigate risks;

• (b) a description of any material risk-mitigation techniques that the undertaking is considering purchasing or entering into over the business planning time period given the undertaking’s business strategy, and the rationale for and effect of such risk mitigation techniques;

• (c) where the insurance or reinsurance undertaking holds collateral, within the meaning of Article 214 of this Regulation, information on the material terms and conditions associated with the collateral arrangement.

10. The regular supervisory report shall contain qualitative and quantitative information about the material risks not captured by the Solvency Capital Requirement calculation and not captured in the previous paragraphs, where the same information is not covered by the ORSA supervisory report.

11. The regular supervisory report shall contain all of the following information about the risk sensitivity of the insurance or reinsurance undertaking, where the same information is not covered by the ORSA supervisory report:

• (a) a description of the stress tests and scenario analysis referred to in Article 259(3), carried out by the undertaking including its outcome;

• (b) a description of the methods used and the main assumptions underlying the stress tests and scenario analysis referred to in Article 259(3).

12. The regular supervisory report shall contain information about any reasonably foreseeable risk of non-compliance with the undertaking’s Minimum Capital Requirement or Solvency Capital Requirement, and the undertaking’s plans for ensuring that compliance with each is maintained, where the same information is not included in the ORSA supervisory report.

• (a) an advance of a percentage of the amount of the assigned receivables, generally short-term, uncommitted and without automatic roll-over;

- (b) receivables management, collection and credit protection, whereby, in general, the factor administers the assignor’s sales ledger and collects the receivables in the factor’s own name.

SECTION 2 Information on material changes and means of communications

Article 312

Information on material changes

Where there is no requirement for a regular supervisory report to be submitted in relation to a given financial year, insurance and reinsurance undertakings shall nevertheless submit to their supervisory authority information on any material changes that occurred during the financial year compared to the latest information submitted to that supervisory authority in accordance with this Chapter. They shall also provide a concise explanation about the causes and effects of such changes. The submission of information on material changes shall not be considered a change in frequency of the regular supervisory report set out in Article 35a of Directive 2009/138/EC.

Article 313

Means of communication

Insurance and reinsurance undertakings shall submit the information referred to in Article 304(1) in a machine-readable electronic form which allows for application of search function for relevant text and numbers.

CHAPTER XIV TRANSPARENCY AND ACCOUNTABILITY OF SUPERVISORY AUTHORITIES

Article 315

Confidential information

No confidential information which supervisory authorities may receive in the course of their duties shall be included in the disclosure except in summary or aggregate form, such that individual undertakings or groups cannot be identified.

Article 316

Aggregate statistical data

Article 317

Means of disclosure

1. The information referred to in Article 31(2) of Directive 2009/138/EC shall be disclosed and made available via the website of the supervisory authority in the official language or languages of the Member State concerned and shall also be disclosed in a language customary in the sphere of international finance.

2. The information shall be updated at least every year. Where changes in laws, regulations, administrative rules and general guidance in the field of insurance or reinsurance regulation are concerned, updated information shall be provided at the latest when the changes become applicable.

CHAPTER XV SPECIAL PURPOSE VEHICLES

SECTION 1 Authorization

Article 318

The authorisation of a special purpose vehicle by the supervisory authority of the Member State in whose territory the special purpose vehicle is establishing its head office shall be subject to all of the following conditions:

• (a) the special purpose vehicle assumes risks from an insurance or reinsurance undertaking through reinsurance contracts or assumes insurance risks through similar arrangements;

• (b) where the special purpose vehicle assumes risks from more than one insurance or reinsurance undertaking, the solvency of that special purpose vehicle is not adversely affected by winding-up proceedings of any one of those insurance or reinsurance undertakings;

- (c) the contractual arrangements relating to the transfer of risk from an insurance or reinsurance undertaking to the special purpose vehicle and the investment in assets by the special purpose vehicle fulfil the conditions set out in Articles 319 to 321;

• (d) the persons that effectively run the special purpose vehicle satisfy the requirements referred to in Article 322;

• (e) the shareholders or members having a qualifying holding within the meaning of Article 13(21) of Directive 2009/138/EC in the special purpose vehicle satisfy the conditions set out in Article 323;

• (f) the special purpose vehicle has an effective system of governance and meets the requirements set out in Article 324;

• (g) the special purpose vehicle is capable of meeting the requirements referred to in Article 325;

• (h) the special purpose vehicle satisfies the requirements set out in Articles 326 and 327.

SECTION 2 Mandatory contract conditions

Article 319

Fully Funded

The contractual arrangements relating to the transfer of risk from an insurance or reinsurance undertaking to a special purpose vehicle shall ensure that the special purpose vehicle is at all times fully funded in accordance with Article 326.

Article 320

Effective transfer of risk

• (a) the transfer of risk is effective in all circumstances;

- (b) the extent of risk transfer is clearly defined and incontrovertible.

Article 321

Rights of the providers of debt or financing mechanisms

The contractual arrangements relating to the transfer of risk from an insurance or reinsurance undertaking to a special purpose vehicle and from the special purpose vehicle to the providers of debt or finance shall ensure all of the following:

• (a) the claims of the providers of debt or financing mechanisms are at all times subordinated to the reinsurance obligations of the special purpose vehicle to the insurance or reinsurance undertaking;

• (b) no payments are made to the providers of debt or financing, if following those payments the special purpose vehicle would no longer be fully funded;

• (c) the providers of debt or finance to the special purpose vehicle have no rights of recourse to the assets of the insurance or reinsurance undertaking;

- (d) the providers of debt or finance to the special purpose vehicle have no rights to apply for the winding-up of the special purpose vehicle.

SECTION 3 System of governance

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

• (a) the reputation and integrity of the shareholder or member having a qualifying holding in the special purpose vehicle;

• (b) the financial soundness of the shareholder or member having a qualifying holding in the special purpose vehicle;

• (c) the level of influence that the shareholder or member having a qualifying holding in the special purpose vehicle will exercise over the special purpose vehicle;

• (d) whether there are reasonable grounds to suspect that, in connection with the qualifying holding of the shareholder or members having a qualifying holding in the special purpose vehicle, money laundering or terrorist financing within the meaning of Article 1 of Directive 2005/60/EC of the European Parliament and of the Council ([^E0028]) is being or has been committed or attempted, or that the qualifying holding could increase the risk thereof.

Article 324

Sound administrative and accounting procedures, adequate internal control mechanisms and risk-management requirements

• (a) written policies in relation to at least risk management, internal control, administrative and accounting procedures and, where relevant, outsourcing; the written policies shall comprise policies relating to the areas set out in Article 44(2)(a) to (f) of Directive 2009/138/EC to the extent that these are relevant taking into account the uses of the special purpose vehicle;

• (b) effective internal controls to ensure that the mandatory contract conditions in Section 2 and the requirements in Section 5 are fulfilled on an ongoing basis;

• (c) an effective risk-management system comprising processes and reporting procedures necessary to identify, measure, monitor, manage and report, on an ongoing basis the risk to which the special purpose vehicle could be exposed.

SECTION 4 Supervisory reporting

Article 325

Supervisory reporting

• (a) the value of the assets of the special purpose vehicle valued in accordance with Article 75 of Directive 2009/138/EC distinguished by material class and a description of the basis, methods and assumptions used for their valuation;

• (b) the aggregate maximum risk exposure of the special purpose vehicle and a description of the basis, methods and assumptions used for the determination of the aggregate maximum risk exposure;

• (c) conflicts of interest between the special purpose vehicle, the insurance or reinsurance undertakings and the providers of debt or finance;

• (d) significant transactions entered into by the special purpose vehicle during the last reporting period.

• (a) no later than 20 weeks after the special purpose vehicle's financial year end for the financial year ending on or after 30 June 2016 but before 1 January 2017;

• (b) no later than 18 weeks after the special purpose vehicle's financial year end for the financial year ending on or after 1 January 2017 but before 1 January 2018;

• (c) no later than 16 weeks after the special purpose vehicle's financial year end for the financial year ending on or after 1 January 2018 but before 1 January 2019;

• (d) no later than 14 weeks after the special purpose vehicle's financial year end for financial years ending on or after 1 January 2019.

SECTION 5 Solvency requirements

Article 326

Solvency requirements

• (a) the assets of the special purpose vehicle are valued in accordance with Article 75 of Directive 2009/138/EC;

• (b) the special purpose vehicle has at all times assets the value of which is equal to or exceeds the aggregate maximum risk exposure and the special purpose vehicle is able to pay the amounts it is liable for as they fall due;

• (c) the proceeds of the debt issuance or other financing mechanism are fully paid-in.

• (a) the liquidity risk of the special purpose vehicle;

• (b) the quantifiable risks of the special purpose vehicle;

• (c) the arrangements for holding assets in the special purpose vehicle.

3. The special purpose vehicle shall demonstrate to the supervisory authorities in its report referred to in Article 325(2) and on request by the supervisory authorities that it satisfies the requirements set out in paragraph 1 and it shall report on points (a) and (b) of paragraph 2.

4. Payments relating to existing insurance and reinsurance contracts, that are expected to be received in the future by the special purpose vehicle from the insurance or reinsurance undertaking that has transferred risk to the special purpose vehicle, may be included in the assets of the special purpose vehicle, provided that all of the following requirements are met:

• (a) the future liabilities of the special purpose vehicle to the providers of debt or finance only arise subject to the receipt of the payments from the insurance or reinsurance undertaking that has transferred risk to the special purpose vehicle;

• (b) there is no scenario under which the basic own funds of the insurance or reinsurance undertaking which has transferred risks to the special purpose vehicle would be negatively affected by the payment not being received by the special purpose vehicle;

- (c) the special purpose vehicle continues to meet the conditions set out in paragraph 1 in the event that the payments from the insurance or reinsurance undertaking that has transferred risk to the special purpose vehicle are not received;

• (d) the payments do not relate to expenses that are excluded from the aggregate maximum risk exposure as defined in point (44) of Article 1.

Article 327

Solvency requirements on investments

Special purpose vehicles shall invest all their assets in accordance with all of the following requirements:

• (a) with respect to the whole portfolio of assets, special purpose vehicles shall only invest in assets and instruments whose risk the special purpose vehicle can properly identify, measure, monitor, manage, control and report;

• (b) assets shall be invested in such a manner as to ensure the security, quality, liquidity and profitability of the portfolio as a whole. In addition the localisation of those assets shall be such as to ensure their availability;

• (c) all assets shall be invested in a manner appropriate to the nature and duration of the special purpose vehicle's liabilities. All assets shall be invested in the best interest of the insurance and reinsurance undertakings transferring risks to the special purpose vehicle;

• (d) the use of derivative instruments shall be possible insofar as they contribute to a reduction of risks or facilitate efficient portfolio management;

• (e) investments and assets which are not admitted to trading on a regulated financial market shall be kept to prudent levels;

• (f) assets shall be properly diversified in such a way as to avoid excessive reliance on any particular asset, issuer or group of undertakings, or geographical area and excessive accumulation of risk in the portfolio as a whole;

• (g) investments in assets issued by the same issuer, or by issuers belonging to the same group, shall not expose the special purpose vehicle to excessive risk concentration.

CHAPTER XVI **PROPORTIONALITY MEASURES**

Article 327a

Investments in intangibles asset capital requirement for identifying small and non-complex undertakings

For the purposes of Article 29a(1), points (a)(iv)(3), (b)(v)(3) and (c)(vii)(3) of Directive 2009/138/EC, the capital requirement that is applicable to investments in intangible assets that are not covered by the market risk and the counterparty default risk modules shall be the capital requirement for intangible asset risk referred to in Article 203 of this Regulation.

Article 327b

Reduction of the frequency of the regular supervisory report

• (a) the supervisory authority concludes, on the basis of the supervisory review process, that the undertaking:
• (i) is able to withstand any current or future risks;
• (ii) does not require a more frequent supervisory assessment than the one requested by the insurance or reinsurance undertaking;
• (iii) is not subject to on-going supervisory measures to remedy material non-compliance with Directive 2009/138/EC;

• (b) the supervisory authority concludes that the undertaking does not have a complex business model, taking into account the undertaking’s business strategy and business plan, the complexity of the insurance products offered and its investment portfolio;

• (c) the undertaking meets all of the following conditions, subject to paragraphs 2, 3 and 4:
• (i) the technical provisions from life activities, gross of the amounts recoverable from reinsurance contracts and special purpose vehicles, as referred to in Article 76 of Directive 2009/138/EC, are not higher than EUR 12 000 000 000 ;
• (ii) the annual gross written premium income from non-life activities is not higher than EUR 2 000 000 000 ;
• (iii) the undertaking does not represent more than 5 % of the life market or non-life market of the home Member State of the undertaking, where the life market share is based on gross technical provisions and the non-life market share is based on gross written premiums;

• (d) the supervisory authority has not identified unresolved material concerns arising from the system of governance of the undertaking;

• (e) the undertaking’s Solvency Capital Requirement is exceeded by an appropriate margin taking also into account the internal target solvency position of the undertaking as specified in its medium-term capital management plan;

• (f) the supervisory authority has not identified unresolved material concerns with the last Regular Supervisory Report and is satisfied with the information in the Solvency and Financial Condition Report, and the annual and where applicable quarterly Quantitative Reporting Templates.

The supervisory authority shall withdraw the approval granted to an insurance or reinsurance undertaking that is not classified as small and non-complex undertaking to use the proportionality measure provided for in Article 35(5a) of Directive 2009/138/EC, where any of the conditions set out in the first subparagraph are no longer fulfilled.

2. Paragraph 1, first subparagraph, point (c)(i), shall only apply to life undertakings and to undertakings pursuing both life and non-life activities whose technical provisions related to the life activities represent 20 % or more of the total technical provisions gross of the amounts recoverable from reinsurance contracts and special purpose vehicles, as referred to in Article 76 of Directive 2009/138/EC.