Embed Size (px)
Citation preview
Solvency II Primary source materials by topicMarch 2016
/ Solvency II – Primary source materials by topic
Contents
1. Introduction 1
2. Scope and authorisation 2
3. Supervision 3
4. Portfolio transfers 5
5. System of governance 6
6. Public reporting 7
7. Composites 8
8. Valuation of assetsand liabilities: general principles 9
9. Technical provisions 10
10. Own funds 12
11. The Solvency Capital Requirement: general and the standard formula 14
12. Internal models 17
13. Minimum Capital Requirement 18
14. Risk Transfer 19
15. Investment rules 20
16.Undertakingsindifficulty 21
17. Third country branches, cross-border provision of services and equivalence 22
18. Finite reinsurance and SPVs 23
19. Groups 24
20. Reorganisation and winding up 26
21. Transitional provisions transposition, repeal and entry into force 27
1 / Solvency II – Primary source materials by topic
1. Introduction
Thisbriefingnotedocumentstherelevantprovisions of the European legislation, guidance, PRA Rulebook provisions and PRA supervisory statements which contain the central Solvency II requirements for the new regime. The note does notcoverLloyd’s-specifictopics.
The note divides the regime into 20 topics and each section of the note provides references and links to relevant documents for those topics.
In this note:
• references to the Level 1 Directive are to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (as amended): http://eur-lex.europa.eu/legal-content/en/ALL/?uri=CELEX:32009L01381
• references to the Level 2 are to 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): http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=OJ:L:2015:012:TOC
• references to the Level 3 guidelines are to EIOPA’s guidelines on Solvency II: https://eiopa.europa.eu/publications/eiopa-guidelines
1 Thedirectivehasbeensignificantlyamendedsinceinitialpublication,particularlybytheOmnibusIIdirective.Pleaseusethelatest consolidated version on EUR-Lex or update the directive for amendments.
2 Solvency II – Primary source materials by topic /
2. Scope and authorisation
Level 1 Directive
Level 1 recitals: (4) to (13)
Level 1 articles: 2 to 12; 14 to 26; 308b(1) to (4)
Level 2
Delegated Regulation provisions: No
ITSs: No
Level 3 guidelines
No
PRA Rulebook
Insurance General Application
Conditions Governing Business: Restriction of Business
Transitional Measures: Firms in Run-off
Supervisory Statements
• SS1/15: General application – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss115.pdf
3 / Solvency II – Primary source materials by topic
3. Supervision
Sub-topics (non-exhaustive)
Principles of supervision, including the proportionality principle
Regular Supervisory Reporting (formerly known as the Report To Supervisors) and the supervisory review process
Capital add-ons
Acquisitions of qualifying holdings
Professional secrecy and exchange of information
Supervisory convergence
Duties of auditors
Level 1 Directive
Level 1 recitals: (16) to (28); (37); (39) to (43); (74) and (75)
Level 1 articles: 27 to 38; 57 to 72; 308b(5) and (7)
Level 2
Delegated Regulation provisions: Yes – Title I, Chapters X, XIII and XIV
ITSs
• Capital add-ons: Commission Implementing Regulation (EU) 2015/2012 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.295.01.0005.01.ENG&toc=OJ:L:2015:295:TOC
• Templates for the submission of information to the supervisory authorities: Commission Implementing Regulation (EU) 2015/2450 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32015R2450
• Templates and structure of the disclosure of specificinformationbysupervisoryauthorities:Commission Implementing Regulation (EU) 2015/2451 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32015R2451
Level 3 guidelines
• Supervisory review process: EIOPA-BoS-14/179 EN – https://eiopa.europa.eu/Publications/Guidelines/SRP_Final_document_EN.pdf
• Methods for determining the market shares for reporting: EIOPA-BoS-15/106 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_Market_Share_GLs.pdf
• Reportingforfinancialstabilitypurposes:EIOPA-BoS-15/107 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_FS_GLs.pdf
• Reporting and public disclosure: EIOPA-BoS-15/109 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_Public_Disclosure_GL.pdf
PRA Rulebook
Reporting, 1.1–2.14
Change in Control
Transitional Measures: Reporting to the PRA and Public Disclosure
Supervisory Statements
• SS11/15: Regulatory reporting and exemptions – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1115.pdf
• SS25/15: Regulatory reporting, internal model outputs – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss2515.pdf
4 Solvency II – Primary source materials by topic /
• SS40/15: Reporting and public disclosure – options provided to supervisory authorities – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss4015.pdf
• SS37/15: Internal model reporting codes and components – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss3715.pdf
• SS36/15: Life insurance product reporting codes – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss3615.pdf
5 / Solvency II – Primary source materials by topic
4. Portfolio transfers
Level 1 Directive
Level 1 recitals: none
Level 1 articles: 39
Level 2
Delegated Regulation provisions: No
ITSs: No
Level 3 guidelines
Level 3: No
PRA Rulebook
No
Supervisory Statements
No
Other publications
• PRA Statement of Policy on its approach to insurance business transfers – http://www.bankofengland.co.uk/pra/Documents/publications/sop/2015/ibt.pdf
6 Solvency II – Primary source materials by topic /
5. System of governance
Sub-topics (non-exhaustive)
Fit and proper requirements
Risk management
The ORSA
Required functions (internal control, internal audit, actuarial)
Outsourcing
Level 1 Directive
Level 1 recitals: (29) to (37)
Level 1 articles: 40 to 50
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter IX
ITSs
• Procedures for assessing external credit assessments: Commission Implementing Regulation (EU) 2015/2015 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.295.01.0016.01.ENG&toc=OJ:L:2015:295:TOC
Level 3 guidelines
• System of governance: EIOPA-BoS-14/253 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_Guidelines_on_System_of_Governance_EN.pdf
• Own risk and solvency assessment: EIOPA-BoS-14/259 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_Guidelines_on_ORSA_EN.pdf
PRA Rulebook
Actuaries
Conditions Governing Business
Insurance: Allocation of Responsibilities
Insurance: Conduct Standards
Insurance: Fitness and Propriety
KeyFunctionHolder:Notifications
Senior Insurance Managers Regime: Transitional Provisions
Senior Insurance Managers Regime: Applications andNotifications
Supervisory Statements
• SS15/15: Approvals (single group ORSA) – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1515.pdf
• SS16/15: Conditions governing business – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1615.pdf
• SS26/15: ORSA and the ultimate time horizon –non-lifefirms–http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss2615.pdf
• SS35/15: Strengthening individual accountability in insurance – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss3515.pdf
• SS41/15: Applying EIOPA’s Set 2, System of Governance and ORSA Guidelines – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss4115.pdf
• SS14/15:With-profits–http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1415.pdf
7 / Solvency II – Primary source materials by topic
6. Public reporting
Sub-topics (non-exhaustive)
Solvency and Financial Condition Report (SFCR)
Disclosure of information by EIOPA
Level 1 Directive
Level 1 recitals: (38) to (42)
Level 1 articles: 51 to 56; 308b(6)
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter XII
ITSs
• Procedures, formats and templates of the solvencyandfinancialconditionreport:Commission Implementing Regulation (EU) 2015/2452 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32015R2452
Level 3 guidelines
• Reporting and public disclosure: EIOPA-BoS-15/109 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_Public_Disclosure_GL.pdf
PRA Rulebook
Reporting, 1.1-1.2 and 3.1-6.2
Transitional Measures: Reporting to the PRA and Public Disclosure
Transitional Measures: Report on Financial and Solvency Conditions
Supervisory Statements
• SS15/15: Approvals (SFCR dispensation) – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1515.pdf
• SS40/15: Reporting and public disclosure – options provided to supervisory authorities – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss4015.pdf
8 Solvency II – Primary source materials by topic /
7. Composites
Level 1 Directive
Level 1 recitals: (44)
Level 1 articles: 73 and 74
Level 2
Delegated Regulation provisions: No
ITSs: No
Level 3 guidelines
Level 3: No
PRA Rulebook
Composites
Supervisory Statements
• SS815: Composites – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss815.pdf
9 / Solvency II – Primary source materials by topic
8. Valuation of assets and liabilities: general principles
Sub-topics (non-exhaustive)
Mark to market valuation
Interaction with IFRS
Level 1 Directive
Level 1 recitals: (45) and (46)
Level 1 articles: 75
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter II
ITSs: No
Level 3 guidelines
• Recognition and valuation of assets and liabilities other than technical provisions: EIOPA-BoS-15/113 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_Valuation_assets_GLs.pdf
PRA Rulebook
Valuation
Supervisory Statements
• SS38/15: Consistency of UK GAAP with the Solvency II Directive – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss3815.pdf
10 Solvency II – Primary source materials by topic /
9. Technical provisions
Sub-topics (non-exhaustive)
The best estimate and the risk margin
Calculation of technical provisions as a whole
The risk-free interest rate term structure including extrapolation
The matching adjustment
The volatility adjustment
Future management actions
Contract boundaries
Transitional measures
Level 1 Directive
Level 1 recitals: (53) to (59)
Level 1 articles: 76 to 86; 308c; 308d and 308e
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter III
ITSs
• Approval of the application of a matching adjustment: Commission Implementing Regulation (EU) 2015/500 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.079.01.0018.01.ENG&toc=OJ:L:2015:079:TOC
• Technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from
1 January until 30 March 2016: Commission Implementing Regulation (EU) 2016/165 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2016.032.01.0031.01.ENG&toc=OJ:L:2016:032:TOC
Level 3 guidelines
• Contract boundaries: EIOPA-BoS-14/165 EN – https://eiopa.europa.eu/Publications/Guidelines/Contract_boundaries_Final_document_EN.pdf
• Valuation of technical provisions: EIOPA-BoS-14/166 EN – https://eiopa.europa.eu/Publications/Guidelines/TP_Final_document_EN.pdf
• Implementation of the long-term guarantee measures: EIOPA-BoS-15/111 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_LTG_GLs.pdf
PRA Rulebook
Technical provisions
Transitional Measures: Risk-free Interest Rates
Transitional Measures: Technical Provisions
Transitional Measures: Phasing-in Plan
Supervisory Statements
• SS23/15: Supervisory approval for the volatility adjustment – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss2315.pdf
11 / Solvency II – Primary source materials by topic
• SS15/15: Approvals (matching adjustment) – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1515.pdf
• SS17/15: Transitional measures on risk-free interest rates and technical provisions – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1715.pdf
• SS5/14: Calculation of technical provisions and the use of internal models for general insurers – http://www.bankofengland.co.uk/pra/Documents/publications/policy/2014/ss5-14.pdf
Other publications
• Technical information on the risk-free interest rate term structures (published by EIOPA) – https://eiopa.europa.eu/regulation-supervision/insurance/solvency-ii-technical-information/risk-free-interest-rate-term-structures
• PRA letters regarding the matching adjustment:
– June 2014 – http://www.bankofengland.co.uk/pra/Documents/solvency2/matchingadjustmentasseteligibilityjune2014.pdf
– October 2014 – http://www.bankofengland.co.uk/pra/Documents/solvency2/matchingadjustmentletteroct2014.pdf
– February 2015 (equity release mortgages) – http://www.bankofengland.co.uk/pra/Documents/solvency2/fisherermletterfeb15.pdf
– 9 March 2015 – http://www.bankofengland.co.uk/pra/Documents/solvency2/intmodmaupdatemar2015.pdf
– 28 March 2015 – http://www.bankofengland.co.uk/pra/Documents/about/praletter280315.pdf
– June 2015 – http://www.bankofengland.co.uk/pra/Documents/solvency2/maletter1June2015.pdf
12 Solvency II – Primary source materials by topic /
10. Own funds
Sub-topics (non-exhaustive)
Ancillary own funds
Surplus funds
ExpectedProfitsinFuturePremiums
Treatmentofparticipationsinfinancialandcredit institutions
Ring-fenced funds
Subordinated debt capital
Grandfathering
Level 1 Directive
Level 1 recitals: (47) to (52)
Level 1 articles: 87 to 99; 308b(9) and (10)
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter IV
ITSs
• Procedures for granting supervisory approval of ancillary own-funds: Commission Implementing Regulation (EU) 2015/499 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.079.01.0012.01.ENG&toc=OJ:L:2015:079:TOC
• Technical information for the calculation of technical provisions and basic own funds for reporting with reference dates from 1 January until 30 March 2016: Commission
Implementing Regulation (EU) 2016/165 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2016.032.01.0031.01.ENG&toc=OJ:L:2016:032:TOC
Level 3 guidelines
• Ancillary own funds: EIOPA-BoS-14/167 EN – https://eiopa.europa.eu/Publications/Guidelines/AOF_Final_document_EN.pdf
• Classificationofownfunds:EIOPA-BoS-14/168EN – https://eiopa.europa.eu/Publications/Guidelines/COF_GLs_EN.pdf
• Ring-fenced funds: EIOPA-BoS-14/169 EN – https://eiopa.europa.eu/Publications/Guidelines/RFF_Final_document_EN.pdf
• Treatment of related undertakings, including participations: EIOPA-BoS-14/170 EN – https://eiopa.europa.eu/Publications/Guidelines/TRU_Final_document_EN.pdf
PRA Rulebook
Own funds
Surplus funds
Transitional Measures: Basic Own Funds
Supervisory Statements
• SS2/15: Own funds – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss215.pdf
• SS13/15: Surplus funds – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1315.pdf
13 / Solvency II – Primary source materials by topic
• SS3/15: The quality of capital instruments – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss315.pdf
• SS15/15: Approvals (ancillary own funds) – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1515.pdf
• SS2/14: Recognition of deferred tax – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss214update.pdf
• SS14/15:With-profits–http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1415.pdf
• SS22/15: Applying EIOPA’s Set 1 Guidelines toPRA-authorisedfirms–http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss2215.pdf
14 Solvency II – Primary source materials by topic /
11. The Solvency Capital Requirement: general and the standard formula
Sub-topics (non-exhaustive)
The symmetric adjustment mechanism
Undertaking-specificparameters(USPs)
Simplifications
Strategic investments
The ‘look-through’ approach
The duration-based equity risk sub-module (Article 304 Level 1)
Level 1 Directive
Level 1 recitals: (60) to (66)
Level 1 articles: 100 to 111; 304; 308b(12) and (13)
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter V
ITSs
• Procedures for the approval of undertaking-specificparameters:CommissionImplementingRegulation (EU) 2015/498 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.079.01.0008.01.ENG&toc=OJ:L:2015:079:TOC
• Lists of regional governments and local authorities exposures to whom are to be treated as exposures to the central government: Commission Implementing Regulation (EU) 2015/2011 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.295.01.0003.01.ENG&toc=OJ:L:2015:295:TOC
• Equity index for the symmetric adjustment of the equity capital charge: Commission Implementing Regulation (EU) 2015/2016 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.295.01.0018.01.ENG&toc=OJ:L:2015:295:TOC
• Adjusted factors to calculate the capital requirement for currency risk for currencies pegged to the euro: Commission Implementing Regulation (EU) 2015/2017 – http://eur-lex.europa.eu/legal-content/EN/ALL/?uri=uriserv%3AOJ.L_.2015.295.01.0021.01.ENG
• Standard deviations in relation to health risk equalisation systems: Commission Implementing Regulation (EU) 2015/2013 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.295.01.0009.01.ENG&toc=OJ:L:2015:295:TOC
• Application of the transitional measure for the calculation of the equity risk sub-module: draft ITS published on 6.11.15 (not yet published in the OJ) – https://eiopa.europa.eu/publications/technical-standards/draft-implementing-technical-standards-on-the-supervisory-approval-processes-for-solvency-ii
• Allocation of credit assessments of ECAIs to an objective scale of credit quality steps: joint committee draft ITS published on 11.11.15 (not yet published in the OJ) – https://eiopa.europa.eu/Publications/Technical%20Standards/JC%202015%20068%20-%20Final%20Draft%20ITS%20on%20ECAIs%20mapping%20under%20Solvency%20II.PDF
15 / Solvency II – Primary source materials by topic
Level 3 guidelines
• Implementation of the long-term guarantee measures: EIOPA-BoS-15/111 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_LTG_GLs.pdf
• Application of outwards reinsurance arrangements to the non-life underwriting risk sub-module: EIOPA-BoS-14/173 EN – https://eiopa.europa.eu/Publications/Guidelines/Outwards_Re_GLs_EN.pdf
• Application of the life underwriting risk module: EIOPA-BoS-14/175 EN – https://eiopa.europa.eu/Publications/Guidelines/LURA_Final_document_EN.pdf
• Basis risk: EIOPA-BoS-14/172 EN – https://eiopa.europa.eu/Publications/Guidelines/BR_Final_document_EN.pdf
• Health catastrophe risk sub-module: EIOPA-BoS-14/176 EN – https://eiopa.europa.eu/Publications/Guidelines/HC_Final_document_EN.pdf
• Look through approach: EIOPA-BoS-14/171 EN – https://eiopa.europa.eu/Publications/Guidelines/LRA_Final_document_EN.pdf
• Loss-absorbing capacity of technical provisions and deferred taxes: EIOPA-BoS-14/177 EN – https://eiopa.europa.eu/Publications/Guidelines/LAC_Final_document_EN.pdf
• Treatment of market and counterparty risk exposures in the standard formula: EIOPA-BoS-14/174 EN – https://eiopa.europa.eu/Publications/Guidelines/MR_Final_document_EN.pdf
• Treatment of related undertakings, including participations: EIOPA-BoS-14/170 EN – https://eiopa.europa.eu/Publications/Guidelines/TRU_Final_document_EN.pdf
• Undertaking-specificparameters:EIOPA-BoS-14/178 EN – https://eiopa.europa.eu/Publications/Guidelines/USP_Final_document_EN.pdf
• Ring-fenced funds: EIOPA-BoS-14/169 EN – https://eiopa.europa.eu/Publications/Guidelines/RFF_Final_document_EN.pdf
PRA Rulebook
Solvency Capital Requirement: General Provisions
Solvency Capital Requirement: Standard Formula
Transitional Measures: Standard Formula – The Basic SCR
Transitional Measures: Non-compliance with the SCR
Transitional Measures: Phasing-in Plan
Supervisory Statements
• SS4/15: The solvency and minimum capital requirements – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss415.pdf
• SS5/15: The treatment of pension scheme risk – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss515.pdf
• SS2/14: Recognition of deferred tax – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss214update.pdf
16 Solvency II – Primary source materials by topic /
• SS15/15: Approvals (USPs) – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1515.pdf
• SS14/15:With-profits–http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1415.pdf
• SS22/15: Applying EIOPA’s Set 1 Guidelines toPRA-authorisedfirms–http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss2215.pdf
Other publications
• Technical information published by EIOPA on the value of the symmetric adjustment of the equity capital charge – https://eiopa.europa.eu/regulation-supervision/insurance/solvency-ii-technical-information/symmetric-adjustment-of-the-equity-capital-charge
17 / Solvency II – Primary source materials by topic
12. Internal models
Sub-topics (non-exhaustive)
Use of partial internal models
Changes to models
Responsibility of management for the internal model
The use test
Level 1 Directive
Level 1 recitals: (68)
Level 1 articles: 112 to 127
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter VI
ITSs
• Procedure for the approval of an internal model: Commission Implementing Regulation (EU) 2015/460 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.076.01.0013.01.ENG&toc=OJ:L:2015:076:TOC
Level 3 guidelines
• Use of internal models: EIOPA-BoS-14/180 EN – https://eiopa.europa.eu/Publications/Guidelines/IM_Final_document_EN.pdf
PRA Rulebook
Solvency Capital Requirement – Internal Models
Supervisory Statements
• SS15/15: Approvals (internal models) – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1515.pdf
• SS6/15: The internal model treatment of participations – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss615.pdf
• SS30/15: Treatment of sovereign risk in the internal model – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss3015.pdf
• SS37/15: Internal model reporting codes and components – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss3715.pdf
• SS25/15: Regulatory reporting, internal model outputs – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss2515.pdf
• SS5/14: Calculation of technical provisions and the use of internal models for general insurers – http://www.bankofengland.co.uk/pra/Documents/publications/policy/2014/ss5-14.pdf
Other publications
• PRA report on internal model approval processdatareviewfindings–http://www.bankofengland.co.uk/pra/Documents/solvency2/imapdata09022016.pdf
18 Solvency II – Primary source materials by topic /
13. Minimum Capital Requirement
Level 1 Directive
Level 1 recitals: (69) and (70)
Level 1 articles: 128 to 131
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter VII
ITSs: No
Level 3 guidelines
No
PRA Rulebook
Minimum Capital Requirement
Transitional Measures: Non-compliance with the MCR
Supervisory Statements
• SS4/15: The solvency and minimum capital requirement – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss415.pdf
19 / Solvency II – Primary source materials by topic
14. Risk Transfer
Sub-topics (non-exhaustive)
Equivalence (reinsurance)
Level 1 Directive
Level 1 recitals: (89)
Level 1 articles: 77(2); 81; 101(5); 111(1)(e) and (f); 121(6)
Level 2
Delegated Regulation provisions: Yes – Title 1, Chapter V, section 10 (standard formula); Article 235 (internal models)
ITSs: No
Level 3 guidelines
• Application of outwards reinsurance arrangements to the non- life underwriting risk sub-module: EIOPA-BoS-14/173 EN – https://eiopa.europa.eu/Publications/Guidelines/Outwards_Re_GLs_EN.pdf
PRA Rulebook
Technical Provisions, 3.1(2)(c), 11.1 and 12.2
Solvency Capital Requirement: General Provisions, 3.5
Solvency Capital Requirement: Internal Models, 11.8(2)
Supervisory Statements
No
20 Solvency II – Primary source materials by topic /
15. Investment rules
Sub-topics (non-exhaustive)
Prudent person principle
Repackaged loans
Level 1 Directive
Level 1 recitals: (67) and (71) to (73)
Level 1 articles: 132 to 135; 308b(11)
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter VIII (Investments in securitisation positions)
ITSs: No
Level 3 guidelines
No
PRA Rulebook
Investments
Supervisory Statements
• SS14/15:With-profits–http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1415.pdf
21 / Solvency II – Primary source materials by topic
16. Undertakings in difficulty
Sub-topics (non-exhaustive)
Non-compliance with technical provisions
Breach of the SCR
Breach of the MCR
Extension of the recovery period
Withdrawal of authorisation
Transitional measures
Level 1 Directive
Level 1 recitals: No
Level 1 articles: 136 to 144; 308b(14)
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter XI (Extension of the recovery period)
ITSs: No
EIOPA advice on regulatory technical standards
• EIOPAfinalreportinresponsetoacallforadviceonrecoveryplan,financeschemeand supervisory powers in deteriorating financialconditions–https://eiopa.europa.eu/Publications/Reports/EIOPA-BoS-15-052_Final-Report_Advice_Recovery_for_Publication_27032015.pdf
Level 3 guidelines
• Extension of the recovery period in exceptional adverse circumstances: EIOPA-BoS-15/108 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_ERP_GLs.pdf
PRA Rulebook
UndertakingsinDifficulty
Transitional Measures: Non-compliance with the SCR
Supervisory Statements
• SS7/15:Supervisionoffirmsindifficultyorrun-off – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss715.pdf
22 Solvency II – Primary source materials by topic /
17. Third country branches, cross-border provision of services and equivalence
Sub-topics (non-exhaustive)
Thirdcountrybranches–EEAfirms
Provisionofcross-borderservices–EEAfirms
Home and host Member State competencies
Thirdcountrybranches–non-EEAfirms,including:transfer of portfolios; SCR and MCR requirements
Third country equivalence (reinsurance)
Level 1 Directive
Level 1 recitals: No
Level 1 articles: 145 to 177
Level 2
Delegated Regulation provisions: Yes – Title III (Third country equivalence)
ITSs: No
Level 3 guidelines
• Supervision of branches of third-country insurance undertakings: EIOPA-BoS-15/110 – https://eiopa.europa.eu/Publications/Guidelines/GLs_third_country_branches.pdf
• Methodology for equivalence assessments by National Supervisory Authorities: EIOPA-BoS-14/182 EN – https://eiopa.europa.eu/Publications/Guidelines/EQ_Final_document_EN.pdf
PRA Rulebook
Third Country Branches
Supervisory Statements
• SS44/15: Third-country insurance and pure reinsurance branches – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss4415.pdf
23 / Solvency II – Primary source materials by topic
18. Finite reinsurance and SPVs
Level 1 Directive
Level 1 recitals: (90) to (94)
Level 1 articles: 210 and 211
Level 2
Delegated Regulation provisions: Yes – Title I, Chapter XV (Special purpose vehicles)
ITSs
• Special purpose vehicles: Commission Implementing Regulation (EU) 2015/462 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.076.01.0023.01.ENG&toc=OJ:L:2015:076:TOC
Level 3 guidelines
No
PRA Rulebook
Conditions Governing Business: Finite Reinsurance
Insurance Special Purpose Vehicles
Supervisory Statements
No
24 Solvency II – Primary source materials by topic /
19. Groups
Sub-topics (non-exhaustive)
Cases of application of group supervision (group levels)
Calculation of group solvency including choice of method
Equivalence (groups)
Group internal models
Group capital add-ons
Insuranceholdingcompaniesandmixedfinancialholding companies
Centralised risk management
Governance/ group ORSA
Group supervisor and colleges of supervisors
Group SFCR
Third country equivalence (groups)
Level 1 Directive
Level 1 recitals: (95) to (116)
Level 1 articles: 212 to 266; 308b(8), (16) and (17)
Level 2
Delegated Regulation provisions: Yes – Title II
ITSs
• Process to reach a joint decision on the application to use a group internal model: Commission Implementing
Regulation (EU) 2015/461 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.076.01.0019.01.ENG&toc=OJ:L:2015:076:TOC
• Procedures and templates for the submission of information to the group supervisor and for the exchange of information between supervisory authorities: Commission Implementing Regulation (EU) 2015/2014 – http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:OJ.L_.2015.295.01.0011.01.ENG&toc=OJ:L:2015:295:TOC
Level 3 guidelines
• Exchange of information on a systematic basis within colleges: EIOPA-BoS-15/112 EN – https://eiopa.europa.eu/GuidelinesSII/EIOPA_EN_Exchange_info_colleges_GLs.pdf
• Group solvency: EIOPA-BoS-14/181 EN – https://eiopa.europa.eu/Publications/Guidelines/GRS_Final_document_EN.pdf
• Operational functioning of colleges: EIOPA-BoS-14/146 EN – https://eiopa.europa.eu/Publications/Guidelines/Colleges_Final_document_EN.pdf
PRA Rulebook
Group Supervision
Transitional Measures: Groups
Transitional Measures: Groups – Internal Models
25 / Solvency II – Primary source materials by topic
Supervisory Statements
• SS9/15: Group supervision – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss915.pdf
• SS15/15: Approvals (exclusion of an entity from the scope of group supervision; single group own risk and solvency assessment; calculation method for the group solvency capital requirement) – http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss1515.pdf
• SS22/15: applying EIOPA’s Set 1 Guidelines toPRA-authorisedfirms–http://www.bankofengland.co.uk/pra/Documents/publications/ss/2015/ss2215.pdf
Other publications
• EIOPA opinion on the group solvency calculation in the context of equivalence: EIOPA-BoS-15/201 – https://eiopa.europa.eu/Publications/Opinions/Opinion%20on%20group%20solvency%20calculation%20in%20the%20context%20of%20equivalence.pdf
• EIOPA opinion on the application of a combination of methods to the group solvency calculation: EIOPA-BoS-16-008 – https://eiopa.europa.eu/Publications/Opinions/20160127_EIOPA%20opinion_combination%20of%20methods.pdf
26 Solvency II – Primary source materials by topic /
20. Reorganisation and winding up
Level 1 Directive
Level 1 recitals: (117) to (130)
Level 1 articles: 267 to 296
Level 2
Delegated Regulation provisions: No
ITSs: No
Level 3 guidelines
No
PRA Rulebook
No
Supervisory Statements
No
Other publications
• Insurers (Reorganisation and Winding Up) Regulations 2004
27 / Solvency II – Primary source materials by topic
21. Transitional provisions transposition, repeal and entry into force
Sub-topics (non-exhaustive)
Phasing-in
Level 1 Directive
Level 1 recitals: (131) to (142)
Level 1 articles: 305 to 311
Level 2
Delegated Regulation provisions: No
ITSs: No
Level 3 guidelines
No
PRA Rulebook
Transitional Measures
Supervisory Statements
No
Supervisory Statements
No
© Slaughter and May 2016
This material is for general information only and is not intended to provide legal advice. For further information, please speak to your usual Slaughter and May contact.
March 2016
OSM0007354_v08
