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Commission Delegated Regulation (EU) 2026/269 of 29 October 2025 amending Delegated Regulation (EU) 2015/35 as regards technical provisions, long-term guarantee measures, own funds, equity risk, spread risk on securitisation positions, other standard formula capital requirements, reporting and disclosure, proportionality and group solvency

Type Delegated Regulation
Publication 2026-02-18
State In force
Text As published
Department European Commission, FISMA
Source EUR-Lex
articles 4

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

Reform history JSON API

Image omitted; see official source

max(0; S+ – 2

Image omitted; see official source

LTAS+)

where:

  • (a) S + denotes the maximum of zero and the average spread of bonds other than government bonds issued by Member States of the European Economic Area, loans and securitisations of the same duration, credit quality and asset class in the representative portfolio as observed in financial markets;
  • (b) LTAS + denotes the maximum of 0 and the long-term average spread of bonds other than government bonds issued by Member States of the European Economic Area, loans and securitisations of the same duration, credit quality and asset class in the representative portfolio as observed in financial markets.

Without prejudice to the first subparagraph, the risk correction on bonds other than government bonds issued by Member States of the European Economic Area, loans and securitisations of the same duration, credit quality and asset class shall never exceed the maximum of zero and 125 % of the long-term average spread of bonds other than government bonds issued by Member States of the European Economic Area, loans and securitisations of the same duration, credit quality and asset class in the representative portfolio as observed in financial markets.

  1. The long-term average spreads referred to in paragraph 2, point (b), and paragraph 3, point (b), shall be based on data relating to the last 30 years. Where a part of those data is not available, that part shall be replaced by constructed data. The constructed data shall be based on the available and reliable data relating to the last 30 years. Data that are not reliable shall be replaced by constructed data using that methodology. The constructed data shall be based on prudent assumptions.’

;

‘Article 51a

Credit spread sensitivity ratio

  1. For each currency, the credit spread sensitivity ratio referred to in Article 77d, paragraph (3), point (b), and paragraph (4), point (b), shall be equal to the following:

CSSR = max [min ( Image omitted; see official source ; 1); 0]

where:

  • (a) CSSR denotes the credit spread sensitivity ratio of the insurance or reinsurance undertaking for a currency;
  • (b) PVBP(MVFI) denotes the price value of a basis point of the value of the investments in bonds, loans and securitisations of the insurance or reinsurance undertaking, calculated in accordance with paragraph 2;
  • (c) PVBP(BEL) denotes the price value of a basis point of the value of the best estimate of liabilities of the insurance or reinsurance undertaking, calculated in accordance with paragraph 3.

By way of derogation from the first subparagraph, where PBVP(BEL) for a given currency is equal to 0 or is negative, the credit spread sensitivity ratio for that currency shall be equal to 1.

  1. For each currency, the price value of a basis point of the investments in bonds, loans and securitisations of an insurance or reinsurance undertaking shall be equal to the following:

PVBP(MVFI) = Image omitted; see official source

where:

  • (a) MV FI denotes the value of the investments in bonds, loans and securitisations of the insurance or reinsurance undertaking denominated in the given currency;
  • (b) VA* denotes the notional volatility adjustment, calculated in accordance with Article 77d(3) of Directive 2009/138/EC, under the assumption that the credit spread sensitivity ratio is equal to 1;
  • (c) MVFI* denotes the value of investments in bonds, loans and securitisations of the insurance or reinsurance undertaking denominated in the given currency, under the assumption that for each asset the spread increases by an amount equal to the value of the notional volatility adjustment for all maturities.

For the purposes of points (a) and (c), in relation to unit-linked business, the insurance or reinsurance undertaking shall exclude fixed income investments which give rise to no or immaterial credit spread risk exposure for the undertaking.

  1. For each currency, the price value of a basis point of the best estimate of liabilities of an insurance or reinsurance undertaking shall be equal to the following:

PVBP(BEL) = Image omitted; see official source

where:

  • (a) BEL denotes the value of the best estimate of liabilities of the insurance or reinsurance undertaking denominated in the given currency without a volatility adjustment, where the value is determined in accordance with Article 75 of Directive 2009/138/EC;
  • (b) VA* denotes the notional volatility adjustment, calculated in accordance with Article 77d(3) of Directive 2009/138/EC, under the assumption that the credit spread sensitivity ratio is equal to 1;
  • (c) BEL* denotes the value of the best estimate of liabilities of the insurance or reinsurance undertaking denominated in the given currency, where the value is determined in accordance with Article 75 of Directive 2009/138/EC, under the assumption that the notional volatility adjustment is applied to the relevant risk-free interest rate term structure.

For the purposes of point (c), the best estimate shall be revaluated, taking into account the effect of future discretionary benefits. However, for that revaluation, no impact of a change in credit spreads on the value of assets held by the undertaking shall be taken into account.

  1. Where the credit spread sensitivity ratio for a given currency was most recently calculated less than one year before the reference date for valuing the best estimate of liabilities, insurance and reinsurance undertakings shall not be required to recalculate the ratio, provided that they are able to demonstrate to the satisfaction of their supervisory authority that the ratio has not materially changed.

Article 51b

Credit spread sensitivity ratio for pegged currencies

  1. By way of derogation from Article 51a, where the domestic currency of a Member State is pegged to the euro, and the basic risk-free interest rate term structure for the euro, adjusted for currency risk, is used to calculate the best estimate with respect to insurance or reinsurance obligations denoted in that currency in accordance with Article 48(1), insurance and reinsurance undertakings may calculate one single credit spread sensitivity ratio for the euro and that currency. In that case, the credit spread sensitivity ratio shall be equal to the following:

CSSReuro, pegged currency = max [min ( Image omitted; see official source ; 1); 0]

where:

  • (a) CSSReuro, pegged currency denotes the credit spread sensitivity ratio of the insurance or reinsurance undertaking for both the euro and the pegged currency;
  • (b) PVBP(MVFI) denotes the price value of a basis point of the value of the investments in bonds, loans and securitisations of the insurance or reinsurance undertaking denominated in both the euro and the pegged currency, calculated in accordance with paragraph 2;
  • (c) PVBP(BEL) denotes the price value of a basis point of the value of the best estimate of liabilities of the insurance or reinsurance undertaking, denominated in both the euro and the pegged currency, calculated in accordance with paragraph 3.

By way of derogation from the first subparagraph, where PBVP(BEL) for a given currency pegged to the euro is equal to 0 or is negative, the credit spread sensitivity ratio for that currency pegged to the euro shall be equal to 1.

  1. For both the euro and the pegged currency considered jointly, the price value of a basis point of the investments in bonds, loans and securitisations of an insurance or reinsurance undertaking shall be equal to the following:

PVBP(MVFI) = Image omitted; see official source

where:

  • (a) MV FI denotes the value of the investments in bonds, loans and securitisations of the insurance or reinsurance undertaking denominated in both the euro and the pegged currency, where the value is determined in accordance with Article 75 of Directive 2009/138/EC;
  • (b) VA* denotes the maximum of the notional volatility adjustment for the euro and the notional volatility adjustment for the pegged currency, calculated in accordance with Article 77d(3) of Directive 2009/138/EC, under the assumption that the credit spread sensitivity ratio is equal to 1;
  • (c) MVFI* denotes the value of investments in bonds, loans and securitisations of the insurance or reinsurance undertaking denominated in both the euro and the pegged currency, where the value is determined in accordance with Article 75 of Directive 2009/138/EC, under the assumption that for each asset the spread increases by an amount equal to the value of the notional volatility adjustment for all maturities.

For the purposes of points (a) and (c), in relation to unit-linked business, the insurance or reinsurance undertaking shall exclude fixed income investments which give rise to no or immaterial credit spread risk exposure for the undertaking.

  1. For both the euro and the pegged currency considered jointly, the price value of a basis point of the best estimate of liabilities of an insurance or reinsurance undertaking shall be equal to the following:

PVBP(BEL) = Image omitted; see official source

where:

  • (a) BEL denotes the sum of the value of the best estimate of liabilities of the insurance or reinsurance undertaking denominated in euro without a volatility adjustment and the value of the best estimate of liabilities denoted in the pegged currency without a volatility adjustment, and for which the basic risk-free rate term structure for the euro, adjusted for currency risk, is used in accordance with Article 48(1) of this Regulation, where both values are determined in accordance with Article 75 of Directive 2009/138/EC;
  • (b) VA* denotes the maximum of the notional volatility adjustment for the euro and the notional volatility adjustment for the pegged currency, calculated in accordance with Article 77d(3) of Directive 2009/138/EC, under the assumption that the credit spread sensitivity ratio is equal to 1;
  • (c) BEL* denotes the sum of the value of the best estimate of liabilities of the insurance or reinsurance undertaking denominated in euro, and the value of the best estimate of liabilities denominated in the pegged currency and for which the basic risk free rate term structure for the euro, adjusted for currency risk, is used in accordance with Article 48(1), where both values are determined in accordance with Article 75 of Directive 2009/138/EC, under the assumption that the notional volatility adjustment is applied to the relevant risk-free interest rate term structures.

For the purposes of point (c), a revaluation of the best estimate shall be performed, taking into account the effect of future discretionary benefits. However, for that revaluation, no impact of a change in credit spreads on the value of assets held by the undertaking shall be taken into account.

  1. Where the credit spread sensitivity ratio for a given currency was most recently calculated less than one year before the reference date for valuing the best estimate of liabilities, insurance and reinsurance undertakings shall not be required to recalculate the ratio, provided that they are able to demonstrate to the satisfaction of their supervisory authority that the ratio is not materially changed.’

;

‘Article 54a

Restructured assets

  1. For the purposes of paragraph 2, “restructured assets” shall mean assets the cash flows of which are dependent on the performance of other underlying financial assets.
  1. Without prejudice to Article 77b of Directive 2009/138/EC, insurance and reinsurance undertakings shall only be allowed to include restructured assets in the assigned portfolio of assets referred to in that Article, where they can demonstrate to the satisfaction of the supervisory authority all of the following:
  • (a) the underlying financial assets of the restructured assets provide a sufficiently fixed level of income such that the cash-flows of the restructured asset are themselves sufficiently fixed;
  • (b) the cash flows of the restructured asset are supported by features for loss absorbency ensuring that those cash flows remain sufficiently fixed where operating conditions change;
  • (c) where the underlying financial assets include financial guarantees, those guarantees do not increase the matching adjustment in the calculation pursuant to Article 77c of Directive 2009/138/EC and Article 53 of this Regulation;
  • (d) the undertaking is able to properly identify, measure, monitor, manage, control and report the risks of the underlying financial assets.’

;

‘3.   Paragraphs 1 and 2 shall not apply to strategic participations as referred to in Article 171 of this Regulation, where the participating insurance or reinsurance undertaking has obtained the permission referred to in Article 92(1a), second subparagraph of Directive 2009/138/EC.’

;

  • ‘(i) exceed the notional Solvency Capital Requirement in the case of ring-fenced funds determined in accordance with Article 81(1);’;

‘Article 70a

Foreseeable dividends and distributions

  1. For the purposes of Article 70(1), point (b), the amount of foreseeable dividends and distributions shall be determined in accordance with the accrual approach set out in paragraphs 2 to 6 of this Article.
  1. The amount of dividends and distributions shall be deemed foreseeable where the administrative, management or supervisory body or the other persons who effectively run the undertaking have formally taken a decision or proposed a decision to the relevant body regarding the amount of dividend or distributions to be paid out.
  1. Before the administrative, management or supervisory body, or the other persons who effectively run the undertaking, have formally taken a decision or proposed a decision to the relevant body regarding the amount of dividend or distributions to be paid out, the amount of foreseeable dividend or distributions for the financial year under consideration shall be equal to the sum of the following:
  • (a) the full amount of the likely dividend or distributions to be paid during the course of the ongoing financial year, corresponding to profits of the previous financial years;
  • (b) either of the following:
  • (i) the product of the dividend or distributions pay-out ratio and the cumulative interim profits realised or estimated, as the case may be, between the beginning of the ongoing financial year and the reference date for the calculation of the reconciliation reserve;
  • (ii) the product of the estimated amount of dividend or distributions corresponding to profits for the entire ongoing financial year and the fraction of that financial year that has elapsed up to the reference date for the calculation of the reconciliation reserve.

For the purposes of the first subparagraph, “profits” shall have the same meaning as under the applicable accounting framework.

  1. For the purposes of paragraph 3, point (b), the dividend or distributions pay-out ratio or pay-out amount shall be determined on the basis of the dividend or distributions policy approved by the administrative, management or supervisory body. Where the dividend or distributions policy contains a pay-out range instead of a fixed value, the upper end of the range shall be used.
  1. In the absence of an approved dividend or distribution policy referred to in paragraph 4, or when, in the opinion of the supervisory authority, it is likely that the undertaking will not apply its dividend or distribution policy, or where that policy is not a prudent basis upon which to determine the amount of deduction, the dividend or distribution pay-out ratio or pay-out amount shall be based on the most prudent approach among the following:
  • (a) the average dividend or distribution pay-out ratio or amount over the three financial years prior to the ongoing financial year;
  • (b) the dividend or distribution pay-out ratio or amount of the financial year preceding the ongoing financial year;
  • (c) relevant public announcements on the pay-out dividends or distributions.
  1. The undertaking may exclude from the calculation of the dividends or distributions pay-out ratio or pay-out amount as referred to in paragraph 4, points (a) and (b), exceptional payment or non-payment of dividends or distributions, provided it can demonstrate to the satisfaction of the supervisory authority, that such payment or non-payment is not representative of its dividend or distributions policy or past distribution practices.

Article 70b

Repayment and redemption requirements for the classification as own funds

  1. For the purposes of this Section, any transaction or arrangement which has the same economic effect as a repayment or redemption regarding the loss-absorbing capacity or the amount of eligible own funds shall be treated as a repayment or redemption.
  1. For the purposes of paragraph 1, share buy-backs shall be considered to have the same economic effect as repayment or redemption, unless the shares which are bought back are used to exercise stock options, either immediately or within no more than one month from the date of the execution of the share buy-back programme.’

;

‘ Adjustment for ring-fenced funds ’;

  • ‘(a) the restricted own-fund items within the ring-fenced fund;
  • (b) the notional Solvency Capital Requirement for the ring-fenced fund.’;

‘Where the undertaking calculates the Solvency Capital Requirement using an internal model, the notional Solvency Capital Requirement shall be calculated using that internal model, as if the undertaking pursued only the business included in the ring-fenced fund.’;

  • ‘(a) the main purpose of the related undertaking is to hold and manage assets on behalf of the participating undertaking or of any other undertaking of the group to which the participating undertaking belongs;’;
  • ‘(c) the related undertaking does not carry on any significant business other than investing for the benefit of the participating undertaking or for any other undertaking of the group to which the participating undertaking belongs.’;

‘Article 89a

Simplified calculation for immaterial risk module or sub-module

  1. To assess whether one or several risk modules or sub-modules meet the conditions set out in Article 109(2) and (3) of Directive 2009/138/EC, insurance and reinsurance undertakings shall calculate each of such modules or sub-modules separately.

For the purposes of the first subparagraph, insurance and reinsurance undertakings may use a simplified calculation, provided that they comply with Article 88 and 89 of this Regulation, but not for the market risk module or any risk sub-module within that risk module.

  1. Where one or several risk modules or sub-modules, other than the market risk module or any risk sub-module within the market risk module, meet the conditions set out in Article 109(2) and (3) of Directive 2009/138/EC, the value of each of such risk modules or sub-modules may be calculated, for each reference date no later than three years from the reference date of the calculation referred to in paragraph 1 of this Article, as follows:

Image omitted; see official source

where:

denotes the solvency capital requirement for a given risk-module or sub-module k which meets the conditions set out in Article 109(2) of Directive 2009/138/EC, at the reference date t;

denotes the outcome of the calculation of the risk-module or sub-module k, referred to in paragraph 1;

denotes the undertaking-specific volume measure for the risk module or sub-module k, at the reference date t;

  • (d) f k denotes the risk factor for the risk module or sub-module k, calculated in accordance with paragraph 3.

For the purposes of the first subparagraph, point (c), the insurance or reinsurance undertaking shall justify, to the satisfaction of the supervisory authority, the appropriateness of the undertaking-specific volume measure used.

  1. The risk factor referred to in paragraph 2, first subparagraph, point (d), shall be calculated as follows:

Image omitted; see official source

where

Image omitted; see official source

denotes the undertaking-specific volume measure for the risk module or sub-module k, at the reference date of the calculation of paragraph 1.’

;

‘6.   For the purposes of paragraphs 1 to 5, Article 120(1a) shall apply.’

;

‘Article 107a

Simplified calculation of the risk mitigating effect for reinsurance arrangements, derivatives, or securitisations

  1. Where Article 88 is complied with, insurance and reinsurance undertakings may calculate the risk-mitigating effect on underwriting and market risk of a reinsurance arrangement, securitisation or derivative referred to in Article 196 with an external counterparty i as follows:

Image omitted; see official source

where:

denotes the sum of the absolute values of the exposures at default of the reinsurance arrangement, special purpose vehicle, securitisation and derivative towards each external counterparty CE;

denotes the absolute value of the exposure at default of the reinsurance arrangement, special purpose vehicle, securitisation and derivative towards the external counterparty i;

  • (c) RMtotal denotes the total risk-mitigating effect calculated in accordance with paragraph 3;
  • (d) the sum covers all counterparty exposures.
  1. For the purposes of paragraph 1, points (a) and (b), the value of the exposure at default of a reinsurance arrangement and securitisation towards a counterparty shall be the value of the best estimate of the amounts recoverable from the reinsurance arrangement and securitisation towards that counterparty.
  1. For the purposes of paragraph 1, point (c), the total risk mitigating effect shall be equal to the difference between the following capital requirements:
  • (a) the hypothetical basic solvency capital requirement under the assumptions that the counterparty default risk module is equal to 0 and that the reinsurance arrangement, special purpose vehicle, securitisation or derivative included in the scope of the simplified calculation referred to in paragraph 1 did not exist;
  • (b) the hypothetical basic solvency capital requirement under the assumptions that the counterparty default risk module is equal to 0.’

;

  • ‘(b) σ(res,s) denotes the standard deviation for non-life reserve risk of segment s as set out in paragraphs 4 and 5;’;

‘3.   For all segments set out in Annex II, the standard deviation for non-life premium risk of a particular segment shall be equal to the product of the standard deviation for non-life gross premium risk of the segment set out in Annex II and the adjustment factor for non-proportional reinsurance, where such non-proportional reinsurance is in place for that particular segment, or a factor of 100 % in other cases. For segments 1, 4 and 5 set out in Annex II the adjustment factor for non-proportional reinsurance shall be equal to 80 %. For all other segments set out in Annex II the adjustment factor for non-proportional reinsurance shall be equal to 100 %.’

;

‘4.   For all segments set out in Annex II, the standard deviation for non-life reserve risk of a particular segment shall be equal to the product of the standard deviation for non-life gross reserve risk of the segment set out in Annex II and the adjustment factor for non-proportional reinsurance, where such non-proportional reinsurance is in place for that particular segment, or a factor of 100 % in other cases.

Where the non-proportional reinsurance is an adverse development cover that meets the conditions set out in the third subparagraph, the adjustment factor for non-proportional reinsurance referred to in the first subparagraph shall be equal to the following:

Adjust(NP,s) = max(0 ; Image omitted; see official source)

where:

  • (a) V(net,res,s) denotes the nominal best estimate of the insurance and reinsurance obligations in the segment after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles of the adverse development cover;

denotes the standard deviation for non-life reserve risk of segment s as set out in Annex II;

  • (c) ADC(rec,s) denotes the adverse development cover recovery under the reserve risk scenario;
  • (d) Par denotes the maximum of the additional reinsurance premium, or the equivalent thereof, and zero;
  • (e) C denotes the cession to the reinsurer, expressed as percentage of the claim amounts between attachment and detachment points that the reinsurance covers;
  • (f) Pr denotes the prudency factor, which shall be equal to 100 %.

The adverse development covers referred to in the second subparagraph shall meet the following conditions:

  • (a) each adverse development cover is only applied to one specific group of policies with the same risk characteristics within the same segment, and has a separate and distinct attachment and detachment point;
  • (b) the attachment point referred to in point (a) does not exceed the product of V(net,res,s) referred to in point (a) of the second subparagraph and the sum of 1 and σ(res,s, annex) referred to in point (b) of that subparagraph.

For non-proportional reinsurance other than those referred to in the second subparagraph, the adjustment factor shall be 100 %.

  1. The adverse development cover recovery referred to in paragraph 4, second subparagraph, point (c) shall be equal to the following:

ADC(rec,s) = min [ Image omitted; see official source · (1 + 3 · σ(res,s,annex)) – R(ap); R(cs)]

where:

  • (a) V(net,res,s) denotes the nominal best estimate of the insurance and reinsurance obligations in the segment after deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles of the adverse development cover;
  • (b) σ(res,s,annex) denotes the standard deviation for non-life reserve risk of segment s as set out in Annex II;
  • (c) R(ap) denotes the reinsurance structure attachment point;
  • (d) R(cs) denotes the size of the adverse development cover that is available to the insurance or reinsurance undertaking.’

;

‘1a.   For the purposes of paragraph 1, the following definitions shall apply:

  • (a) “windstorm” means a meteorological peril involving storm events characterised by high-velocity winds generated by atmospheric disturbances, including extratropical cyclones and tropical cyclones; windstorm includes storm surge, where materially present, and does not include convective storms;
  • (b) “earthquake” means a geophysical peril characterised by a sudden movement of a block of the Earth’s crust along a geological fault and associated ground shaking; earthquake does not include tsunami or fire following the seismic event;
  • (c) “flood” means a hydrological peril involving the temporary inundation of normally dry land by water resulting from the overflow of inland or surface waters, including riverine or fluvial flooding, surface water or pluvial flooding caused by rainfall, or flash floods, whether resulting from fluvial, pluvial, or combined causes; flood does not include storm surge;
  • (d) “hail” means a meteorological peril involving the fall of solid ice stones or pellets and includes severe convective storms, tornadoes and lightning;
  • (e) “subsidence” means a geophysical peril involving the sinking of the ground due to natural or human-induced changes in subsurface conditions, including the shrinkage or swelling of clay soils.’

;

‘ SI(flood,r,i) = SI(property,r,i) + SI(onshore-property, r,i) + 1,5 Image omitted; see official source SI(motor,r,i) ’;

‘ SI(hail,r,i) = SI(property,r,i) + SI(onshore-property, r,i) + 10 Image omitted; see official source SI(motor,r,i) ’;

‘Article 125

Subsidence risk sub-module

  1. The capital requirement for subsidence risk shall be equal to the following:

Image omitted; see official source

where:

  • (a) the sum includes all possible combinations (r,s) of the regions set out in Annex VIIIa;
  • (b) CorrS(r,s) denotes the correlation coefficient for subsidence risk for region r and region s as set out in Annex VIIIa;
  • (c) SCR(subsidence,r) and SCR(subsidence,s) denote the capital requirements for subsidence risk in region r and s respectively;
  • (d) SCR(subsidence, other) denotes the capital requirement for subsidence risk in regions other than those set out in Annex XIII.
  1. For all regions set out in Annex VIIIa, the capital requirement for subsidence risk in a particular region r shall be equal to the loss in basic own funds of insurance and reinsurance undertakings that would result from an instantaneous loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to the following:

Image omitted; see official source

where:

  • (a) the sum includes all possible combinations of risk zones (i,j) of region r set out in Annex IX;
  • (b) Corr(subsidence,r,i,j) denotes the correlation coefficient for subsidence risk in risk zones i and j of region r set out in Annex XXVI;
  • (c) WSI(subsidence,r,i) and WSI(subsidence,r,j) denote the weighted sums insured for subsidence risk in risk zones i and j of region r set out in Annex IX.
  1. For all regions set out in Annex VIIIa and all risk zones of those regions set out in Annex IX, the weighted sum insured for subsidence risk in a particular risk zone i of a particular region r shall be equal to the following:

WSI(subsidence,i) = Q(subsidence,r) · W(subsidence,r,i) · SI(subsidence,r,i)

where:

  • (a) W(subsidence,r,i) denotes the risk weight for subsidence risk in risk zone i of region r set out in Annex X;
  • (b) SI(subsidence,r,i) denotes the sum insured of the insurance or reinsurance undertaking for lines of business 7 and 19 as set out in Annex I in relation to contracts that cover subsidence risk of residential buildings in subsidence zone i of region r;
  • (c) Q(subsidence,r) denotes the subsidence risk factor for region r as set out in Annex VIIIa.

Where the amount determined for a particular risk zone in accordance with the first subparagraph exceeds an amount (referred to in this subparagraph as “the lower amount”) equal to the sum of the potential losses, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, that the insurance or reinsurance undertaking could suffer for subsidence risk in that risk zone, taking into account the terms and conditions of its specific policies, including any contractual payment limits, the insurance or reinsurance undertaking may, as an alternative calculation, determine the weighted sum insured for subsidence risk in that risk zone as the lower amount.’

;

‘ Lmotor = max (8 100 000; 67 500 Image omitted; see official source ’;

  • ‘(a) Na is the number of vehicles insured by the insurance or reinsurance undertaking in lines of business 4 and 16 as set out in Annex I with a deemed policy limit above EUR 32 400 000;
  • (b) Nb is the number of vehicles insured by the insurance or reinsurance undertaking in lines of business 4 and 16 as set out in Annex I with a deemed policy limit below or equal to EUR 32 400 000.’;

‘4.   For the calculation of the hypothetical capital requirement referred to in Article 196(a), the identification of the set of sea, lake, river and canal vessels corresponding to the maximum sum insured in accordance with paragraph 2 of this Article, and of the set of oil and gas offshore platforms corresponding to the maximum sum insured in accordance with paragraph 3 of this Article, shall both take into account the existence of reinsurance arrangements, special purpose vehicles and securitisations.’

;

‘For the calculation of the hypothetical capital requirement referred to in Article 196(a), the identification of the set of aircrafts corresponding to the largest sum insured in accordance with this Article shall take into account the existence of reinsurance arrangements, special purpose vehicles and securitisations.’;

‘4.   For the purposes of the calculation of the hypothetical capital requirement referred to in Article 196(a), the identification of the set of buildings corresponding to the largest fire risk concentration in accordance with this Article shall take into account the existence of reinsurance arrangements, special purpose vehicles and securitisations.’

;

‘The events referred to in the first subparagraph shall apply uniformly to all insurance and reinsurance contracts concerned. In relation to reinsurance contracts, the event referred to in points (a) and (b) of the first subparagraph shall apply to the underlying insurance contracts.’;

  • ‘(b) σ(res,s) denotes the standard deviation for NSLT health reserve risk of segment s as set out in paragraphs 4 and 5;’;

‘For all segments set out in Annex XIV, the standard deviation for NSLT health premium risk of a particular segment shall be equal to the product of the standard deviation for NSLT health gross premium risk of the segment set out in Annex XIV and the adjustment factor for non-proportional reinsurance, where such non-proportional reinsurance is in place for that particular segment, or a factor of 100 % in other cases.’;

‘4.   For all segments set out in Annex XIV, the standard deviation for NSLT reserve risk of a particular segment shall be equal to the product of the standard deviation for NSLT gross reserve risk of the segment set out in Annex XIV and the adjustment factor for non-proportional reinsurance, where such non-proportional reinsurance is in place for that particular segment, or a factor of 100 % in other cases.

Where the non-proportional reinsurance is an adverse development cover that meets the conditions set out in the fourth subparagraph, the adjustment factor for non-proportional reinsurance referred to in the first subparagraph shall be equal to the following:

Adjust(NP,s) = max (0; Image omitted; see official source)

where:

  • (a) V(net,res,s) denotes the nominal best estimate of the insurance and reinsurance obligations in the segment net of the amounts recoverable from reinsurance contracts and special purpose vehicles of the adverse development cover;

denotes the standard deviation for NSLT health reserve risk of segment s as set out in Annex XIV;

  • (c) ADC(rec,s) denotes the adverse development cover recovery under the reserve risk scenario;
  • (d) Par denotes the maximum of the additional reinsurance premium, or the equivalent thereof, and zero;
  • (e) C denotes the cession to the reinsurer, expressed as percentage of the claim amounts between attachment and detachment points that the reinsurance covers;
  • (f) Pr denotes the prudency factor, which shall be equal to 100 %.

The adverse development covers referred to in the second subparagraph shall meet the following conditions:

  • (a) each adverse development cover is only applied to one specific group of policies with the same risk characteristics within the same segment, and has a separate and distinct attachment and detachment point;
  • (b) the attachment point referred to in point (a) does not exceed the product of V(net,res,s) referred to in the second subparagraph, point (a), and the sum of 1 and σ(res,s,annex) referred to in point (b) of that subparagraph.

For non-proportional reinsurance other than those referred to in the second subparagraph, the adjustment factor shall be 100 %.

  1. The adverse development cover recovery referred to in paragraph 4, second subparagraph, point (c) shall be equal to the following:

ADC(rec,s) = min[ Image omitted; see official source · (1 + 3 · σ(res,s,annex)) – R(ap); R(cs)]

where:

  • (a) V(net,res,s) denotes the nominal best estimate of the insurance and reinsurance obligations in the segment net of the amounts recoverable from reinsurance contracts and special purpose vehicles of the adverse development cover;
  • (b) R(ap) denotes the reinsurance structure attachment point;
  • (c) R(cs) denotes the size of the adverse development cover that is available to the insurance or reinsurance undertaking;

denotes the standard deviation for NSLT health reserve risk of segment s as set out in Annex XIV.’

;

‘Article 157

Health expense risk sub-module

The capital requirement for health expense risk shall be equal to the loss in basic own funds of insurance and reinsurance undertakings that would result from the combination of the following instantaneous permanent changes:

  • (a) an increase of 10 % in the amount of expenses taken into account in the calculation of technical provisions;
  • (b) an increase of 1 percentage point to the expense inflation rate (expressed as a percentage) used for the calculation of technical provisions.

For reinsurance obligations, insurance and reinsurance undertakings shall apply those changes to their own expenses and, where relevant, to the expenses of the ceding undertakings.’

;

‘3.   The correlation parameter Corr(i , j) referred to in paragraph 2 shall be equal to the item set out in row i and in column j of the following correlation matrix:

j i Interest rate Equity Property Spread Concentration Currency
Interest rate 1 A A B 0 0,25
Equity A 1 0,75 0,75 0 0,25
Property A 0,75 1 0,5 0 0,25
Spread B 0,75 0,5 1 0 0,25
Concentration 0 0 0 0 1 0
Currency 0,25 0,25 0,25 0,25 0 1

The parameter A shall be equal to 0 where the capital requirement for interest rate risk set out in Article 165 is the capital requirement referred to in point (a) of that Article. In all other cases, the parameter A shall be equal to 0,5.

The parameter B shall be equal to 0 where the capital requirement for interest rate risk set out in Article 165 is the capital requirement referred to in point (a) of that Article. In all other cases, the parameter B shall be equal to 0,25.’

;

‘1.   The capital requirement for interest rate risk referred to in Article 105(5), second subparagraph, point (a), of Directive 2009/138/EC shall be equal to the larger of the following:

  • (a) the sum of the capital requirements for each currency for the risk of an increase in the term structure of interest rates as set out in Article 166 of this Regulation;
  • (b) the sum of the capital requirements for each currency for the risk of a decrease in the term structure of interest rates as set out in Article 167 of this Regulation.

By way of derogation from the first subparagraph, where the domestic currency of a Member State is pegged to the euro, and the basic risk-free interest rate term structure for the euro, adjusted for currency risk, is used to calculate the best estimate with respect to insurance or reinsurance obligations denoted in that currency in accordance with Article 48(1), insurance and reinsurance undertakings may calculate one single capital requirement for the risk of a joint increase or, as applicable, decrease in the term structure of interest rates denominated in euro and that currency.’

;

‘1.   The capital requirement for the risk of an increase in the term structure of interest rates for a given currency shall be equal to the loss in the basic own funds that would result from an instantaneous increase in basic risk-free interest rates for that currency at different maturities. The increased basic risk-free interest rate for a given maturity shall be calculated in accordance with paragraphs 2 and 2a.

  1. For a given currency and for maturities up to and including the first smoothing point, the increased basic risk-free interest rate shall be equal to the following:

Image omitted; see official source Image omitted; see official source Image omitted; see official source Image omitted; see official source

where:

  • (a) m denotes the maturity in years;

denotes the increased risk-free interest rate at maturity m;

  • (c) rm denotes the current risk-free interest rate at maturity m;

shall be calculated as follows:

  • (i) for maturities m lower than one year,

Image omitted; see official source

shall be equal to 61 % and

Image omitted; see official source

shall be equal to 2,14 %;

  • (ii) for maturities m expressed in years which are an integer number between 1 and 50 years,

Image omitted; see official source

shall take values in accordance with the following table:
Maturity m (in years) Image omitted; see official source Image omitted; see official source
1 61 % 2,14  %
2 53 % 1,86  %
3 49 % 1,72  %
4 46 % 1,61  %
5 45 % 1,58  %
6 41 % 1,44  %
7 37 % 1,30  %
8 34 % 1,19  %
9 32 % 1,12  %
10 30 % 1,05  %
11 30 % 1,05  %
12 30 % 1,05  %
13 30 % 1,05  %
14 29 % 1,02  %
15 28 % 0,98  %
16 28 % 0,98  %
17 27 % 0,95  %
18 26 % 0,91  %
19 26 % 0,91  %
20 25 % 0,88  %
21 25 % 0,87  %
22 24 % 0,85  %
23 24 % 0,82  %
24 23 % 0,80  %
25 22 % 0,78  %
26 22 % 0,76  %
27 21 % 0,74  %
28 21 % 0,72  %
29 20 % 0,70  %
30 20 % 0,69  %
31 20 % 0,70  %
32 20 % 0,71  %
33 20 % 0,71  %
34 20 % 0,71  %
35 20 % 0,71  %
36 20 % 0,72  %
37 21 % 0,72  %
38 21 % 0,72  %
39 21 % 0,73  %
40 21 % 0,73  %
41 21 % 0,74  %
42 21 % 0,74  %
43 21 % 0,75  %
44 21 % 0,75  %
45 21 % 0,75  %
46 21 % 0,75  %
47 21 % 0,75  %
48 21 % 0,74  %
49 21 % 0,74  %
50 21 % 0,73  %
  • (iii) for maturities m of at least 60 years,

Image omitted; see official source

shall be equal to 0 %; for maturities of at least 90 years,

Image omitted; see official source

shall be equal to 20 %;

  • (iv) for other maturities m not specified in points (i) to (iii), the values of

Image omitted; see official source

and

Image omitted; see official source

shall be linearly interpolated.’

;

‘2a.   For a given currency and for maturities larger than the first smoothing point, the increased basic risk-free interest rates shall be derived by applying the extrapolation method referred to in Article 77a of Directive 2009/138/EC to a stressed relevant risk-free interest rate term structure, where that stressed relevant risk-free interest rate term structure is determined by applying the following assumptions:

  • (a) the stressed ultimate forward rate shall be equal to the sum of 15 basis points and the current ultimate forward rate;
  • (b) the stress to the last liquid forward rates shall be determined by applying the weights used for the determination of the current last liquid forward rate referred to in Article 46(1c) to the stresses applied to the interest rates corresponding to maturities referred to in points (a) and (b) of that Article, under the assumption that paragraph 2 of this Article applies to those maturities.’

;

‘1.   The capital requirement for the risk of a decrease in the term structure of interest rates for a given currency shall be equal to the loss in the basic own funds that would result from an instantaneous decrease in basic risk-free interest rates for that currency at different maturities where the decreased basic risk-free interest rate for a given maturity shall be calculated in accordance with paragraphs 2 and 2a.

In any case, no decreased basic risk-free interest rate shall be lower than a term-dependent floor. The floor shall be determined as follows:

  • (a) for maturities between 1 and 7 years, the floor shall be equal to – 1,25 %;
  • (b) for maturities of at least 20 years, the floor shall be equal to – 0,893 %;
  • (c) for maturities between 7 years and 20 years, the floor shall be linearly interpolated.
  1. For a given currency and for maturities up to and including the first smoothing point, the decreased basic risk-free interest rate shall be equal to the following:

Image omitted; see official source Image omitted; see official source Image omitted; see official source Image omitted; see official source

where:

  • (a) m denotes the maturity in years;

denotes the decreased risk-free interest rateat maturity m;

  • (c) rm denotes the current risk-free interest rate at maturity m;

and

Image omitted; see official source

shall be calculated as follows:

  • (i) for maturities m lower than one year,

Image omitted; see official source

shall be equal to 58 % and

Image omitted; see official source

shall be equal to 1,16 %;

  • (ii) for maturities m expressed in years which are an integer number between 1 and 50 years,

Image omitted; see official source

and

Image omitted; see official source

shall take values in accordance with the following table:
Maturity m (in years) Image omitted; see official source Image omitted; see official source
1 58 % 1,16  %
2 51 % 0,99  %
3 44 % 0,83  %
4 40 % 0,74  %
5 40 % 0,71  %
6 38 % 0,67  %
7 37 % 0,63  %
8 38 % 0,62  %
9 39 % 0,61  %
10 40 % 0,61  %
11 41 % 0,60  %
12 42 % 0,60  %
13 43 % 0,59  %
14 44 % 0,58  %
15 45 % 0,57  %
16 47 % 0,56  %
17 48 % 0,55  %
18 49 % 0,54  %
19 49 % 0,52  %
20 50 % 0,50  %
21 49 % 0,49  %
22 50 % 0,49  %
23 51 % 0,48  %
24 51 % 0,48  %
25 52 % 0,47  %
26 52 % 0,46  %
27 53 % 0,45  %
28 53 % 0,44  %
29 53 % 0,42  %
30 53 % 0,41  %
31 53 % 0,40  %
32 53 % 0,39  %
33 54 % 0,37  %
34 54 % 0,36  %
35 54 % 0,35  %
36 54 % 0,34  %
37 55 % 0,33  %
38 55 % 0,32  %
39 56 % 0,31  %
40 57 % 0,30  %
41 57 % 0,29  %
42 58 % 0,28  %
43 59 % 0,27  %
44 61 % 0,26  %
45 62 % 0,25  %
46 62 % 0,23  %
47 63 % 0,22  %
48 64 % 0,21  %
49 64 % 0,19  %
50 65 % 0,18  %
  • (iii) for maturities m of at least 60 years,

Image omitted; see official source

shall be equal to 0 %; for maturities of at least 90 years,

Image omitted; see official source

shall be equal to 20 %;

  • (iv) for other maturities m not specified in points (i) to (iii), the values of

Image omitted; see official source

and

Image omitted; see official source

shall be linearly interpolated.’

;

‘2a.   For a given currency and for maturities larger than the first smoothing point, the decreased basic risk-free interest rates shall be derived by applying the extrapolation method referred to in Article 77a of Directive 2009/138/EC to a stressed relevant risk-free interest rate term structure, where the stressed relevant risk-free interest rate term structure is determined by applying the following assumptions:

  • (a) the stressed ultimate forward rate shall be equal to the difference between the current ultimate forward rate and 15 basis points;
  • (b) the stress to the last liquid forward rates shall be determined by applying the weights used for the determination of the current last liquid forward rate referred to in Article 46(1c) to the stresses applied to the interest rates corresponding to maturities referred to in points (a) and (b) of that Article under the assumption that paragraph 2 of this Article applies to those maturities.’

;

  • ‘(f) each company fulfils at least one of the following conditions for each of the last three financial years ending prior to the date on which the Solvency Capital Requirement is being calculated:
  • (i) the annual turnover of the company exceeds EUR 12 800 000;
  • (ii) the balance sheet total of the company exceeds EUR 12 800 000;
  • (iii) the number of staff employed by the company exceeds 50;’;
  • ‘(b) an instantaneous decrease equal to 22 % in the value of type 1 equity investments that are treated as long-term equity investments in accordance with Article 105a of Directive 2009/138/EC;’;
  • ‘(b) an instantaneous decrease equal to 22 % in the value of type 2 equity investments that are treated as long-term equity investments in accordance with Article 105a of Directive 2009/138/EC;’;
  • ‘(b) an instantaneous decrease equal to 22 % in the value of qualifying infrastructure equity investments that are treated as long-term equity investments in accordance with Article 105a of Directive 2009/138/EC;’;
  • ‘(b) an instantaneous decrease equal to 22 % in the value of qualifying infrastructure corporate equity investments that are treated as long-term equity investments in accordance with Article 105a of Directive 2009/138/EC;’;

‘5.   For the purposes of paragraphs 1 to 4, where the value of an equity investment is negative, and where the losses that may be incurred on the investment can exceed the amount invested by the insurance and reinsurance undertaking, the following shall apply:

  • (a) the term “value of type 1 equity investments” shall mean “absolute value of type 1 equity investments”;

The first subparagraph shall not apply to any short equity position.

For the purposes of paragraphs 1 to 4, insurance and reinsurance undertakings shall assume that equity investments with negative values other than those referred to in the first subparagraph have a value of 0.’

;

‘Where an insurance or reinsurance undertaking has received supervisory approval to apply the provisions set out in Article 304(1) of Directive 2009/138/EC before 29 January 2027 the capital requirement for type 1 equities shall be equal to the loss in the basic own funds that would result from the following instantaneous decreases:’;

‘Where an insurance or reinsurance undertaking has received supervisory approval to apply the provisions set out in Article 304(1) of Directive 2009/138/EC before 29 January 2027 the capital requirement for type 2 equities shall be equal to the loss in the basic own funds that would result from the following instantaneous decreases:’;

‘Where an insurance or reinsurance undertaking has received supervisory approval to apply the provisions set out in Article 304(1) of Directive 2009/138/EC before 29 January 2027 the capital requirement for qualifying infrastructure equities shall be equal to the loss in the basic own funds that would result from the following instantaneous decreases:’;

‘Where an insurance or reinsurance undertaking has received supervisory approval to apply the provisions set out in Article 304(1) of Directive 2009/138/EC before 29 January 2027 the capital requirement for qualifying infrastructure corporate equities shall be equal to the loss in the basic own funds that would result from the following instantaneous decreases:’;

‘For the purposes of Article 169(1), point (a), 169(2), point (a), 169(3), point (a), and 169(4), point (a), and of Article 170(1), point (b), 170(2), point (b), 170(3), point (b) and 170(4), point (b), equity investments of a strategic nature shall mean equity investments to which the look-through approach does not apply and for which the participating insurance or reinsurance undertaking demonstrates the following:’;

‘Article 171a

Long-term equity investments: Demonstration of ability to avoid forced sales

  1. For the purposes of demonstrating their ability to avoid forced selling of equity investments on an ongoing basis and under stressed conditions, as referred to in Article 105a(1), second subparagraph, point (d) of Directive 2009/138/EC, insurance or reinsurance undertakings shall use either of the following approaches:
  • (a) the methodologies referred to in Article 171b of this Regulation to assess whether they can avoid forced sales; or
  • (b) the forced selling test set out in Article 171c of this Regulation.
  1. Insurance or reinsurance undertakings shall consistently apply the selected approach for the purposes of demonstrating compliance with Article 105a(1), second subparagraph, point (d) of Directive 2009/138/EC.

Notwithstanding the first subparagraph, insurance or reinsurance undertakings may change the selected approach where they demonstrate ex ante to the satisfaction of the supervisory authority that such change is justified, taking into account the risk profile of the undertaking, the amount of equity investments intended to be classified as long-term investments, and the nature, scale and complexity of the risks of the undertaking.’

;

‘Article 171b

Long-term equity investments: methodologies to avoid forced sales

  1. For the purposes of Article 171a(1), point (a), the insurance or reinsurance undertaking shall be able to demonstrate to the satisfaction of the supervisory authority that it complies with either of the following conditions:
  • (a) a sufficient amount of particular homogeneous risk groups of the life insurance and reinsurance liabilities, whose Macaulay duration exceeds 9,5 years, are illiquid within the meaning of paragraph 2; or
  • (b) a sufficient liquidity buffer is in place for non-life insurance and reinsurance obligations, calculated in accordance with paragraphs 3 to 5.
  1. The condition referred to in paragraph 1, point (a) shall be deemed fulfilled where the insurance and reinsurance undertaking complies with both of the following conditions:
  • (a) the value in accordance with Article 75 of Directive 2009/138/EC of illiquid liabilities referred to in paragraph 1, point (a) exceeds the total amount of long-term equity investments within the portfolio of assets related to life insurance or reinsurance obligations;
  • (b) the share of equity investments to which Article 105a(4) of Directive 2009/138/EC is intended to be applied does not exceed the higher of zero and the ratio of the value in accordance with Article 75 of Directive 2009/138/EC of illiquid liabilities referred to in point (a) of this paragraph to the total best estimate of life technical provisions of the insurance or reinsurance undertaking.

For the purposes of the first subparagraph, a homogenous risk group of life insurance and reinsurance liabilities shall be considered illiquid where the capital requirement for each of the following risks is lower than 5 % of the best estimate of the liabilities belonging to that homogenous risk group:

  • (a) the mortality risk referred to in Article 137;
  • (b) the risk of a permanent increase in lapse rates referred to in Article 142(1), point (a);
  • (c) the health mortality risk referred to in Article 152;
  • (d) the risk of a permanent increase in SLT health lapse rates referred to in Article 159(1), point (a).
  1. The condition referred to in paragraph 1, point (b) shall be deemed fulfilled where the liquidity buffer calculated in accordance with paragraphs 4 to 6 is higher than 100 %.

For the purposes of the first subparagraph, the liquidity buffer shall be calculated as the ratio of the value of the portfolio of liquid assets corresponding to non-life insurance activities to the best estimate of non-life technical provisions net of reinsurance, calculated in accordance with paragraphs 4 and 5.

  1. For the purposes of paragraph 3, the portfolio of liquid assets corresponding to non-life insurance activities shall include Level 1 assets, Level 2A assets and Level 2B assets, within the meaning of this paragraph.

The sum of the values for solvency purposes of Level 2A and Level 2B assets shall not exceed 40 % of the total value for solvency purposes of the portfolio of liquid assets referred to in the first subparagraph. The value for solvency purposes of Level 2B assets shall not exceed 15 % of the total value for solvency purposes of the portfolio of liquid assets referred to in the first subparagraph.

Liquid assets held through collective investment undertakings and through other investments packaged as funds in which insurance or reinsurance undertakings hold units or shares, may be taken into account up to an absolute amount of EUR 500 million.

Level 1 assets shall only include assets falling under one or more of the following categories:

  • (a) cash and cash equivalents;
  • (b) assets representing claims on one of the counterparties referred to in Article 180(2);
  • (c) assets that are fully, unconditionally and irrevocably guaranteed by one of the counterparties referred to in Article 180(2), where the guarantee meets the requirements set out in Article 215.

Level 2A assets shall only include assets falling under one or more of the following categories:

  • (a) bonds and loans which have been assigned to credit quality step 0 or 1, excluding bonds and loans issued by insurance and reinsurance undertakings or financial sector entities within the meaning of Article 4, point (27) of Regulation (EU) No 575/2013;
  • (b) covered bonds referred to in Article 180(1) which have been assigned to credit quality step 0 or 1, excluding those which are issued by a financial sector entity which is part of the same group.

Level 2B assets shall only include assets falling under one or more of the following categories:

  • (a) STS securitisation which either has been assigned a credit assessment of credit quality step 0 or 1 by a nominated ECAI, or which is a senior tranche, and which is not originated by entities belonging to the same group as the insurance or reinsurance undertaking;
  • (b) bonds and loans which have been assigned to credit quality step 2 or 3, excluding bonds and loans issued by insurance and reinsurance undertakings or financial sector entities within the meaning of Article 4, point (27) of Regulation (EU) No 575/2013;
  • (c) investments in equities, other than long-term equity investments or strategic equities, and other than investments in insurance and reinsurance undertakings, credit or financial institutions and investment firms, which are either listed in regulated markets in the countries which are members of the EEA or the OECD, or traded on multilateral trading facilities, as defined in Article 4(1), point (22), of Directive 2014/65/EU, whose registered office or head office is in a Member State of the European Union.
  1. For the purposes of calculating the liquidity buffer referred to in paragraph 3, first subparagraph, the following shall apply:
  • (a) the value of the portfolio of liquid assets referred to in paragraph 4, first subparagraph, shall be the sum of the following:

— the value for solvency purposes of Level 1 assets, subject to a haircut of 0 %;

— the value for solvency purposes of Level 2A assets, subject to a haircut of 15 %;

— the value for solvency purposes of securitisations which fall under Level 2B assets, subject to a haircut of 25 %;

— the value for solvency purposes of Level 2B assets other than securitisations, subject to a haircut of 50 %;

  • (b) for the purposes of calculating the best estimate of non-life technical provisions referred to in paragraph 4, cash flows stemming from reinsurance contracts or special purpose vehicles that meet the requirements set out in Articles 209, 211 and 213 shall be subject to a haircut of 15%. Cash flows stemming from reinsurance contracts or special purpose vehicles that do not meet the requirements set out in Article 209, 211 and 213 shall be subject to a haircut of 50 %.
  1. By way of derogation from paragraph 5, point (a), insurance and reinsurance undertakings shall apply the following haircuts to their investments in liquid assets held through collective investment undertakings and through other investments packaged as funds in which undertakings hold units or shares:
  • (a) 0 % for cash and cash equivalents;
  • (b) 5 % for Level 1 assets other than cash and cash equivalents;
  • (c) 20 % for Level 2A assets;
  • (d) 30 % for securitisations which fall under Level 2B assets;
  • (e) 55 % for Level 2B assets other than securitisations.

Article 171c

Long-term equity investments: forced selling test

  1. For the purposes of Article 171a(1), point (b), the insurance or reinsurance undertaking shall be able to demonstrate to the satisfaction of the supervisory authority all of the following:
  • (a) the undertaking complies with its risk tolerance limits;
  • (b) the undertaking’s solvency capital requirement, assessed without the use of any of the transitional measures referred to in Article 77a(2), Article 308c, Article 308d, or where relevant, Article 111(1), second subparagraph, of Directive 2009/138/EC, is exceeded by an appropriate margin, taking into account the solvency position of the undertaking including the undertaking’s medium-term capital management plan;

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