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

• (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.

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where:

• (a) the sum includes all possible combinations of the sub-modules i set out in paragraph 1;

- (b) SCRi denotes the capital requirement for sub-module i.

Article 121

Windstorm risk sub-module

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where:

• (a) the sum includes all possible combinations (r,s) of the regions set out in Annex V;

• (b) CorrWS(r,s) denotes the correlation coefficient for windstorm risk for region r and region s as set out in Annex V;

• (c) SCR(windstorm,r) and SCR(windstorm,s) denote the capital requirements for windstorm risk in region r and s respectively;

• (d) SCR(windstorm,other) denotes the capital requirement for windstorm risk in regions other than those set out in Annex XIII.

• (a) the capital requirement for windstorm risk in region r according to scenario A as set out in paragraph 3;

• (b) the capital requirement for windstorm risk in region r according to scenario B as set out in paragraph 4.

• (a) an instantaneous loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 80 % of the specified windstorm loss in region r;

• (b) a loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 40 % of the specified windstorm loss in region r.

• (a) an instantaneous loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 100 % of the specified windstorm loss in region r;

• (b) a loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 20 % of the specified windstorm loss in region r.

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where:

• (b) the sum includes all possible combinations of risk zones (i,j) of region r set out in Annex IX;

• (c) Corr(windstorm,r,i,j) denotes the correlation coefficient for windstorm risk in risk zones i and j of region r set out in Annex XXII;

• (d) WSI(windstorm,r,i) and WSI(windstorm,r,j) denote the weighted sums insured for windstorm risk in risk zones i and j of region r set out in Annex IX.

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

where:

• (a) W(windstorm,r,i) denotes the risk weight for windstorm risk in risk zone i of region r set out in Annex X;

• (b) SI(windstorm,r,i) denotes the sum insured for windstorm risk in windstorm zone i of region r;

• (c) Q(windstorm,r) denotes the windstorm risk factor for region r as set out in Annex V.

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 windstorm 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 windstorm risk in that risk zone as the lower amount.

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where:

• (a) SI(property,r,i) denotes the sum insured by the insurance or reinsurance undertaking for lines of business 7 and 19 set out in Annex I in relation to contracts that cover windstorm risk and where the risk is situated in risk zone i of region r;

• (b) SI(onshore-property,r,i) denotes the sum insured by the insurance or reinsurance undertaking for lines of business 6 and 18 set out in Annex I in relation to contracts that cover onshore property damage by windstorm and where the risk is situated in risk zone i of region r.

• (a) obligations of lines of business 7 or 19 set out in Annex I that cover windstorm risk and where the risk is not situated in one of the regions set out in Annex XIII;

• (b) obligations of lines of business 6 or 18 set out in Annex I in relation to onshore property damage by windstorm and where the risk is not situated in one of the regions set out in Annex XIII.

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where:

• (a) DIVwindstorm is calculated in accordance with Annex III, but based on the premiums in relation to the obligations referred to in paragraph 8 and restricted to the regions 5 to 18 set out in point (8) of Annex III;

- (b) Pwindstorm is an estimate of the premiums to be earned by insurance and reinsurance undertakings for each contract that covers the obligations referred to in paragraph 8 during the following 12 months: for this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts.

Article 122

Earthquake risk sub-module

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where:

• (a) the sum includes all possible combinations (r,s) of the regions set out in Annex VI;

• (b) CorrEQ(r,s) denotes the correlation coefficient for earthquake risk for region r and region s as set out in Annex VI;

• (c) SCR(earthquake,r) and SCR(earthquake,s) denote the capital requirements for earthquake risk in region r and s respectively;

• (d) SCR(earthquake,other) denotes the capital requirement for earthquake risk in regions other than those set out in Annex XIII.

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where:

• (b) the sum includes all possible combinations of risk zones (i,j) of region r set out in Annex IX;

• (c) Corr(earthquake,r,i,j) denotes the correlation coefficient for earthquake risk in risk zones i and j of region r set out in Annex XXIII;

• (d) WSI(earthquake,r,i) and WSI(earthquake,r,j) denote the weighted sums insured for earthquake risk in risk zones i and j of region r set out in Annex IX.

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

where:

• (a) W(earthquake,r,i) denotes the risk weight for earthquake risk in risk zone i of region r set out in Annex X;

• (b) SI(earthquake,r,i) denotes the sum insured for earthquake risk in earthquake zone i of region r;

• (c) Q(earthquake,r) denotes the earthquake risk factor for region r as set out in Annex VI.

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 earthquake 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 earthquake risk in that risk zone as the lower amount.

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where:

• (a) SI(property,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 earthquake risk and where the risk is situated in risk zone i of region r;

• (b) SI(onshore-property,r,i) denotes the sum insured of the insurance or reinsurance undertaking for lines of business 6 and 18 as set out in Annex I in relation to contracts that cover onshore property damage by earthquake and where the risk is situated in risk zone i of region r.

• (a) obligations of lines of business 7 or 19 as set out in Annex I that cover earthquake risk, where the risk is not situated in one of the regions set out in Annex XIII;

• (b) obligations of lines of business 6 or 18 as set out in Annex I in relation to onshore property damage by earthquake, where the risk is not situated in one of the regions set out in Annex XIII.

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where:

• (a) DIVearthquake is calculated in accordance with Annex III, but based on the premiums in relation to the obligations referred to in points (a) and (b) of paragraph 5 and restricted to the regions 5 to 18 set out in Annex III;

- (b) Pearthquake is an estimate of the premiums to be earned by insurance and reinsurance undertakings for each contract that covers the obligations referred to in points (a) and (b) of paragraph 5 during the following 12 months: for this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts.

Article 123

Flood risk sub-module

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where:

• (a) the sum includes all possible combinations (r,s) of the regions set out in Annex VII;

• (b) CorrFL(r,s) denotes the correlation coefficient for flood risk for region r and region s as set out in Annex VII;

• (c) SCR(flood,r) and SCR(flood,s) denote the capital requirements for flood risk in region r and s respectively;

• (d) SCR(flood,other) denotes the capital requirement for flood risk in regions other than those set out in Annex XIII.

• (a) the capital requirement for flood risk in region r according to scenario A as set out in paragraph 3;

• (b) the capital requirement for flood risk in region r according to scenario B as set out in paragraph 4.

• (a) an instantaneous loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 65 % of the specified flood loss in region r;

• (b) a loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 45 % of the specified flood loss in region r.

• (a) an instantaneous loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 100 % of the specified flood loss in region r;

• (b) a loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 10 % of the specified flood loss in region r.

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where:

• (b) the sum includes all possible combinations of risk zones (i,j) of region r set out in Annex IX;

• (c) Corr(flood,r,i,j) denotes the correlation coefficient for flood risk in flood zones i and j of region r set out in Annex XXIV;

• (d) WSI(flood,r,i) and WSI(flood,r,j) denote the weighted sums insured for flood risk in risk zones i and j of region r set out in Annex IX.

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

where:

• (a) W(flood,r,i) denotes the risk weight for flood risk in risk zone i of region r set out in Annex X;

• (b) SI(flood,r,i) denotes the sum insured for flood risk in flood zone i of region r;

• (c) Q(flood,r) denotes the flood risk factor for region r as set out in Annex VII.

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 flood 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 flood risk in that risk zone as the lower amount.

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

where:

• (a) SI(property,r,i) denotes the sum insured by the insurance or reinsurance undertaking for lines of business 7 and 19 as set out in Annex I in relation to contracts that cover flood risk, where the risk is situated in risk zone i of region r;

• (b) SI(onshore-property,r,i) denotes the sum insured by the insurance or reinsurance undertaking for lines of business 6 and 18 as set out in Annex I in relation to contracts that cover onshore property damage by flood and where the risk is situated in risk zone i of region r;

• (c) SI(motor,r,i) denotes the sum insured by the insurance or reinsurance undertaking for lines of business 5 and 17 as set out in Annex I in relation to contracts that cover flood risk, where the risk is situated in risk zone i of region r.

• (a) obligations of lines of business 7 or 19 as set out in Annex I that cover flood risk, where the risk is not situated in one of the regions set out in Annex XIII;

• (b) obligations of lines of business 6 or 18 as set out in Annex I in relation to onshore property damage by flood, where the risk is not situated in one of the regions set out in Annex XIII;

• (c) obligations of lines of business 5 or 17 as set out in Annex I that cover flood risk, where the risk is not situated in one of the regions set out in Annex XIII.

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where:

• (a) DIVflood is calculated in accordance with Annex III, but based on the premiums in relation to the obligations referred to in points (a), (b) and (c) of paragraph 8 and restricted to the regions 5 to 18 set out in point (8) of Annex III;

- (b) Pflood is an estimate of the premiums to be earned by the insurance or reinsurance undertaking for each contract that covers the obligations referred to in points (a), (b) and (c) of paragraph 8 during the following 12 months: for this purpose, premiums shall be gross, without deduction of premiums for reinsurance contracts.

Article 124

Hail risk sub-module

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where:

• (a) the sum includes all possible combinations (r,s) of the regions set out in Annex VIII;

• (b) CorrHL(r,s) denotes the correlation coefficient for hail risk for region r and region s as set out in Annex VIII;

• (c) SCR(hail,r) and SCR(hail,s) denote the capital requirements for hail risk in regions r and s respectively;

• (d) SCR(hail,other) denotes the capital requirement for hail risk in regions other than those set out in Annex XIII.

• (a) the capital requirement for hail risk in region r according to scenario A;

• (b) the capital requirement for hail risk in region r according to scenario B.

• (a) an instantaneous loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 70 % of the specified hail loss in region r;

• (b) a loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 50 % of the specified hail loss in region r.

• (a) an instantaneous loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 100 % of the specified hail loss in region r;

• (b) a loss of an amount that, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, is equal to 20 % of the specified hail loss in region r.

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where:

• (b) the sum includes all possible combinations of risk zones (i,j) of region r set out in Annex IX;

• (c) Corr(hail,r,i,j) denotes the correlation coefficient for hail risk in risk zones i and j of region r set out in Annex XXV;

• (d) WSI(hail,r,i) and WSI(hail,r,j) denote the weighted sums insured for hail risk in risk zones i and j of region r set out in Annex IX.

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

where:

• (a) W(hail,r,i) denotes the risk weight for hail risk in risk zone i of region r set out in Annex X;

• (b) SI(hail,r,i) denotes the sum insured for hail risk in hail zone i of region r;

• (c) Q(hail,r) denotes the hail risk factor for region r as set out in Annex VIII.

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 hail 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 hail risk in that risk zone as the lower amount.

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

where:

• (a) SI(property,r,i) denotes the sum insured by the insurance or reinsurance undertaking for lines of business 7 and 19 as set out in Annex I in relation to contracts that cover hail risk, where the risk is situated in risk zone i of region r;

• (b) SI(onshore-property,r,i) denotes the sum insured by the insurance or reinsurance undertaking for lines of business 6 and 18 as set out in Annex I in relation to contracts that cover onshore property damage by hail, where the risk is situated in risk zone i of region r;

• (c) SI(motor,r,i) denotes the sum insured by the insurance or reinsurance undertaking for insurance or reinsurance obligations for lines of business 5 and 17 as set out in Annex I in relation to contracts that cover hail risk, where the risk is situated in risk zone i of region r.

• (a) obligations of lines of business 7 or 19 as set out in Annex I that cover hail risk, where the risk is not situated in one of the regions set out in Annex XIII;

• (b) obligations of lines of business 6 or 18 as set out in Annex I in relation to onshore property damage by hail, where the risk is not situated in one of the regions set out in Annex XIII;

• (c) obligations of lines of business 5 or 17 as set out in Annex I that cover hail risk, where the risk is not situated in one of the regions set out in Annex XIII.

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where:

• (a) DIVhail is calculated in accordance with Annex III, but based on the premiums in relation to the obligations referred to in points (a), (b) and (c) of paragraph 8 and restricted to the regions 5 to 18 set out in Annex III;

- (b) Phail is an estimate of the premiums to be earned by the insurance or reinsurance undertaking for each contract that covers the obligations referred to in points (a), (b) and (c) of paragraph 8 during the following 12 months: for this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts.

Article 125

Subsidence risk sub-module

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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.

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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.

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.

Article 126

Interpretation of catastrophe scenarios

• (a) the two consecutive events referred to in those Articles are independent;

• (b) insurance and reinsurance undertakings do not enter into new insurance risk mitigation techniques between the two events.

2. Notwithstanding point (d) of Article 83(1), where current reinsurance contracts allow for reinstatements, insurance and reinsurance undertakings shall take into account future management actions in relation to the reinstatements between the first and the second event. The assumptions about future management actions shall be realistic, objective and verifiable.

Article 127

Sub-module for catastrophe risk of non-proportional property reinsurance

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where:

• (a) DIVnpproperty is calculated in accordance with Annex III, but based on the premiums earned by the insurance and reinsurance undertaking in line of business 28 as set out in Annex I, other than non-proportional reinsurance obligations relating to insurance obligations included in lines of business 9 and 21 as set out in Annex I;

- (b) Pproperty is an estimate of the premiums to be earned by the insurance or reinsurance undertaking during the following 12 months for each contract that covers the reinsurance obligations of line of business 28 as set out in Annex I other than non-proportional reinsurance obligations relating to insurance obligations included in lines of business 9 and 21 as set out in Annex I: for this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts.

Article 128

Man-made catastrophe risk sub-module

• (a) the motor vehicle liability risk sub-module;

• (b) the marine risk sub-module;

• (c) the aviation risk sub-module;

• (d) the fire risk sub-module;

• (e) the liability risk sub-module;

• (f) the credit and suretyship risk sub-module.

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where:

• (a) the sum includes all sub-modules set out in paragraph 1;

- (b) SCRi denotes the capital requirements for sub-module i.

Article 129

Motor vehicle liability risk sub-module

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

where:

• (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 .

The number of motor vehicles covered by the proportional reinsurance obligations of the insurance or reinsurance undertaking shall be weighted by the relative share of the undertaking's obligations in respect of the sum insured of the motor vehicles.

2. The deemed policy limit referred to in paragraph 1 shall be the overall limit of the motor vehicle liability insurance policy or, where no such overall limit is specified in the terms and conditions of the policy, the sum of the limits for damage to property and for personal injury. Where the policy limit is specified as a maximum per victim, the deemed policy limit shall be based on the assumption of ten victims.

Article 130

Marine risk sub-module

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where:

• a) SCRvessel is the capital requirement for the risk of a vessel collision;

• b) SCRplatform is the capital requirement for the risk of a platform explosion.

L vessel = maxv(SI (hull,v) + SI (liab,v)+ SI (pollution,v))

where:

• (a) the maximum relates to all sea, lake, river and canal vessels insured by the insurance or reinsurance undertaking in respect of vessel collision in lines of business 6, 18 and 27 set out in Annex I where the insured value of the vessel is at least  EUR 337 500 ;

• (b) SI(hull,v) is the sum insured by the insurance or reinsurance undertaking, after deduction of the amounts that the insurance or reinsurance undertaking can recover from reinsurance contracts and special purpose vehicles, for marine hull insurance and reinsurance in relation to vessel v;

• (c) SI(liab,v) is the sum insured by the insurance or reinsurance undertaking, after deduction of the amounts that the insurance or reinsurance undertaking can recover from reinsurance contracts and special purpose vehicles, for marine liability insurance and reinsurance in relation to vessel v;

• (d) SI(pollution,v) is the sum insured by the insurance or reinsurance undertaking, after deduction of the amounts that the insurance or reinsurance undertaking can recover from reinsurance contracts and special purpose vehicles, for oil pollution insurance and reinsurance in relation to vessel v.

For the purposes of determining SI(hull,v), SI(liab,v) and SI(pollution,v), insurance and reinsurance undertakings shall only take into account reinsurance contracts and special purpose vehicles that would pay out in the event of insurance claims related to vessel v. Reinsurance contracts and special purpose vehicles where payout is dependent on insurance claims not related to vessel v shall not be taken into account.

Where the deduction of amounts recoverable would lead to a capital requirement for the risk of a vessel collision that captures insufficiently the risk of a vessel collision that the insurance or reinsurance undertaking is exposed to, the insurance or reinsurance undertaking shall calculate SI(hull,v), SI(liab,v) or SI(pollution,v) without deduction of amounts recoverable.

L platform = maxp(SI p)

where:

• (a) the maximum relates to all oil and gas offshore platforms insured by the insurance or reinsurance undertaking in respect of platform explosion in lines of business 6, 18 and 27 set out in Annex I;

• (b) SIp is the accumulated sum insured by the insurance or reinsurance undertaking, after deduction of the amounts that the insurance or reinsurance undertaking can recover from reinsurance contracts and special purpose vehicles, for the following insurance and reinsurance obligations in relation to platform p:
• (i) obligations to compensate for property damage;
• (ii) obligations to compensate for the expenses for the removal of wreckage;
• (iii) obligations to compensate for loss of production income;
• (iv) obligations to compensate for the expenses for capping of the well or making the well secure;
• (v) liability insurance and reinsurance obligations.

For the purposes of determining SIp, insurance and reinsurance undertakings shall only take into account reinsurance contracts and special purpose vehicles that would pay out in the event of insurance claims related to platform p. Reinsurance contracts and special purpose vehicles where payout is dependent on insurance claims that are not related to platform p shall not be taken into account.

Where the deduction of amounts recoverable would lead to a capital requirement for the risk of a platform explosion that captures insufficiently the risk of a platform explosion that the insurance or reinsurance undertaking is exposed to, the insurance or reinsurance undertaking shall calculate SIp without the deduction of amounts recoverable.

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.

Article 131

Aviation risk sub-module

The capital requirement for aviation risk 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 is equal to the following:

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where:

• (a) the maximum relates to all aircrafts insured by the insurance or reinsurance undertaking in lines of business 6, 18 and 27 set out in Annex I;

• (b) SIa is the sum insured by the insurance or reinsurance undertaking, after deduction of the amounts that the insurance or reinsurance undertaking can recover from reinsurance contracts and special purpose vehicles, for aviation hull insurance and reinsurance and aviation liability insurance and reinsurance in relation to aircraft a. For the purposes of this Article, insurance and reinsurance undertakings shall only take into account reinsurance contracts and special purpose vehicles that would pay out in the event of insurance claims related to aircraft a. Reinsurance contracts and special purpose vehicles where payout is dependent on insurance claims that are not related to aircraft a shall not be taken into account. Where the deduction of amounts recoverable would lead to a capital requirement for aviation risk that captures insufficiently the aviation risk that the insurance or reinsurance undertaking is exposed to, the insurance or reinsurance undertaking shall, calculate SIa without the deduction of amounts recoverable.

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.

Article 132

Fire risk sub-module

• (a) the insurance or reinsurance undertaking has insurance or reinsurance obligations in lines of business 7 and 19 set out in Annex I, in relation to each building which cover damage due to fire or explosion, including as a result of terrorist attacks;

• (b) all buildings are partly or fully located within a radius of 200 meters.

In determining the sum insured for a set of buildings, insurance and reinsurance undertakings shall only take into account reinsurance contracts and special purpose vehicles that would pay out in the event of insurance claims related to that set of buildings. Reinsurance contracts and special purpose vehicles where payout is dependent on insurance claims that are not related to that set of buildings shall not be taken into account.

Where the deduction of amounts recoverable would lead to a capital requirement for fire risk that captures insufficiently the fire risk that the insurance or reinsurance undertaking is exposed to, the insurance or reinsurance undertaking shall calculate the sum insured for a set of buildings without the deduction of amounts recoverable.

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.

Article 133

Liability risk sub-module

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where:

• (a) the sum includes all possible combinations of liability risk groups (i,j) as set out in Annex XI;

• (b) Corr(liability,i,j) denotes the correlation coefficient for liability risk of liability risk groups i and j as set out in Annex XI;

• (c) SCR(liability,i) denotes the capital requirement for liability risk of liability risk group i.

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where:

• (a) f(liability,i) denotes the risk factor for liability risk group i as set out in Annex XI;

• (b) P(liability,i) denotes the premiums earned by the insurance or reinsurance undertaking during the following 12 months in relation to insurance and reinsurance obligations in liability risk group i; for this purpose premiums shall be gross, without deduction of premiums for reinsurance contracts.

• (a) the loss of liability risk group i is caused by ni claims and the losses caused by these claims are representative for the business of the insurance or reinsurance undertaking in liability risk group i and sum up to the loss of liability risk group i;

• (b) the number of claims ni is equal to the lowest integer that exceeds the following amount: Image omitted; see official source where:
• (i) f(liability,i) and P(liability,i) are defined as in paragraph 2;
• (ii) Lim(i,1) denotes the largest liability limit of indemnity provided by the insurance or reinsurance undertaking in liability risk group i;

- (c) where the insurance or reinsurance undertaking provides unlimited cover in liability risk group i, the number of claims ni is equal to one.

Article 134

Credit and suretyship risk sub-module

Image omitted; see official source

where:

• (a) SCRdefault is the capital requirement for the risk of a large credit default;

• (b) SCRrecession is the capital requirement for recession risk.

4. The capital requirement for recession risk 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 100 % of the premiums earned by the insurance or reinsurance undertaking during the following 12 months in lines of business 9 and 21.

Article 135

Sub-module for other non-life catastrophe risk

The capital requirement for other non-life catastrophe risk shall be equal to the loss in basic own funds of insurance and reinsurance undertakings that would result from an instantaneous loss, without deduction of the amounts recoverable from reinsurance contracts and special purpose vehicles, that is equal to the following amount:

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where:

• (a) P 1, P 2, P 3, P 4 and P 5 denote estimates of the gross premium, without deduction of the amounts recoverable from reinsurance contracts, expected to be earned by the insurance or reinsurance undertaking during the following 12 months in relation to the groups of insurance and reinsurance obligations 1 to 5 set out in Annex XII;

- (b) c

1, c 2, c 3, c 4 and c 5 denote the risk factors for the groups of insurance and reinsurance obligations 1 to 5 set out in Annex XII.

SECTION 3 Life underwriting risk module

Article 136

Correlation coefficients

• (a) the mortality risk sub-module referred to in point (a) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

• (b) the longevity risk sub-module referred to in point (b) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

• (c) the disability-morbidity risk sub-module referred to in point (c) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

• (d) the life-expense risk sub-module referred to in point (d) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

• (e) the revision risk sub-module referred to in point (e) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

• (f) the lapse risk sub-module referred to in point (f) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC;

• (g) the life-catastrophe risk sub-module referred to in point (g) of subparagraph 2 of Article 105(3) of Directive 2009/138/EC.

Image omitted; see official source

where:

• (a) the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;

• (b) CorrNL(i,j) denotes the correlation parameter for life underwriting risk for sub-modules i and j;

• (c) SCRi and SCRj denote the capital requirements for risk sub-module i and j respectively.

| j *i | Mortality | Longevity | Disability | Life expense | Revision | Lapse | Life catastrophe* |

| --- | --- | --- | --- | --- | --- | --- | --- | | Mortality | 1 | – 0,25 | 0,25 | 0,25 | 0 | 0 | 0,25 | | Longevity | – 0,25 | 1 | 0 | 0,25 | 0,25 | 0,25 | 0 | | Disability | 0,25 | 0 | 1 | 0,5 | 0 | 0 | 0,25 | | Life expense | 0,25 | 0,25 | 0,5 | 1 | 0,5 | 0,5 | 0,25 | | Revision | 0 | 0,25 | 0 | 0,5 | 1 | 0 | 0 | | Lapse | 0 | 0,25 | 0 | 0,5 | 0 | 1 | 0,25 | | Life catastrophe | 0,25 | 0 | 0,25 | 0,25 | 0 | 0,25 | 1 |

Article 137

Mortality risk sub-module

• (a) multiple insurance policies in respect of the same insured person may be treated as if they were one insurance policy;

• (b) where the calculation of technical provisions is based on groups of policies as referred to in Article 35, the identification of the policies for which technical provisions increase under an increase of mortality rates may also be based on those groups of policies instead of single policies, provided that it yields a result which is not materially different.

3. With regard to reinsurance obligations, the identification of the policies for which technical provisions increase under an increase of mortality rates shall apply to the underlying insurance policies only and shall be carried out in accordance with paragraph 2.

Article 138

Longevity risk sub-module

• (a) multiple insurance policies in respect of the same insured person may be treated as if they were one insurance policy;

• (b) where the calculation of technical provisions is based on groups of policies as referred to in Article 35, the identification of the policies for which technical provisions increase under a decrease of mortality rates may also be based on those groups of policies instead of single policies, provided that it yields a result which is not materially different.

3. With regard to reinsurance obligations, the identification of the policies for which technical provisions increase under a decrease of mortality rates shall apply to the underlying insurance policies only and shall be carried out in accordance with paragraph 2.

Article 139

Disability-morbidity risk sub-module

The capital requirement for disability-morbidity risk referred to in Article 105(3)(c) of Directive 2009/138/EC 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 35 % in the disability and morbidity rates which are used in the calculation of technical provisions to reflect the disability and morbidity experience in the following 12 months;

• (b) an increase of 25 % in the disability and morbidity rates which are used in the calculation of technical provisions to reflect the disability and morbidity experience for all months after the following 12 months;

- (c) a decrease of 20 % in the disability and morbidity recovery rates used in the calculation of technical provisions in respect of the following 12 months and for all years thereafter.

Article 140

Life-expense risk sub-module

The capital requirement for life-expense risk referred to in Article 105(3)(d) of Directive 2009/138/EC 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.

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

Article 141

Revision risk sub-module

The capital requirement for revision risk referred to in Article 105(3)(e) of Directive 2009/138/EC shall be equal to the loss in basic own funds of insurance and reinsurance undertakings that would result from an instantaneous permanent increase of 3 % in the amount of annuity benefits only on annuity insurance and reinsurance obligations where the benefits payable under the underlying insurance policies could increase as a result of changes in the legal environment or in the state of health of the person insured.

Article 142

Lapse risk sub-module

• (a) the capital requirement for the risk of a permanent increase in lapse rates;

• (b) the capital requirement for the risk of a permanent decrease in lapse rates;

• (c) the capital requirement for mass lapse risk.

• (a) all legal or contractual policyholder rights to fully or partly terminate, surrender, decrease, restrict or suspend insurance cover or permit the insurance policy to lapse;

• (b) all legal or contractual policyholder rights to fully or partially establish, renew, increase, extend or resume the insurance or reinsurance cover.

For the purposes of point (b), the change in the option exercise rate referred to in paragraphs 2 and 3 shall be applied to the rate reflecting that the relevant option is not exercised.

• (a) the rights referred to in paragraph 4 of the policy holders of the reinsurance contracts;

• (b) the rights referred to in paragraph 4 of the policy holders of the insurance contracts underlying the reinsurance contracts;

• (c) where the reinsurance contracts covers insurance or reinsurance contracts that will be written in the future, the right of the potential policy holders not to conclude those insurance or reinsurance contracts.

• (a) the discontinuance of 70 % of the insurance policies falling within the scope of operations referred to with Article 2(3)(b)(iii) and (iv) of Directive 2009/138/EC, for which discontinuance would result in an increase of technical provisions without the risk margin and where one of the following conditions are met:
• (i) the policyholder is not a natural person and discontinuance of the policy is not subject to approval by the beneficiaries of the pension fund;
• (ii) the policyholder is a natural person acting for the benefit of the beneficiaries of the policy, except where there is a family relationship between that natural person and the beneficiaries, or where the policy is effected for private estate planning or inheritance purposes and the number of beneficiaries under the policy does not exceed 20;

• (b) the discontinuance of 40 % of the insurance policies other than those falling within point (a) for which discontinuance would result in an increase of technical provisions without the risk margin;

• (c) where reinsurance contracts cover insurance or reinsurance contracts that will be written in the future, the decrease of 40 % of the number of those future insurance or reinsurance contracts used in the calculation of technical provisions.

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.

For the purposes of determining the loss in basic own funds of the insurance or reinsurance undertaking under the events referred to in points (a) and (b) the undertaking shall base the calculation on the type of discontinuance which most negatively affects the basic own funds of the undertaking on a per policy basis.

7. Where the largest of the capital requirements referred to in points (a), (b) and (c) of paragraph 1 of this Article and the largest of the corresponding capital requirements calculated in accordance with Article 206(2) of this Regulation are not based on the same scenario, the capital requirement for lapse risk referred to in Article 105(3)(f) of Directive 2009/138/EC shall be the capital requirement referred to in points (a), (b) and (c) of paragraph 1 of this Article for which the underlying scenario results in the largest corresponding capital requirement calculated in accordance with Article 206(2) of this Regulations.

Article 143

Life-catastrophe risk sub-module

• (a) multiple insurance policies in respect of the same insured person may be treated as if they were one insurance policy;

• (b) where the calculation of technical provisions is based on groups of policies as referred to in Article 35, the identification of the policies for which technical provisions increase under an increase of mortality rates may also be based on those groups of policies instead of single policies, provided that it yields a result which is not materially different.

3. With regard to reinsurance policies, the identification of the policies for which technical provisions increase under an increase of mortality rates shall apply to the underlying insurance policies only and shall be carried out in accordance with paragraph 2.

SECTION 4 Health underwriting risk module

Article 144

Health underwriting risk module

• (a) the NSLT health insurance underwriting risk sub-module;

• (b) the SLT health insurance underwriting risk sub-module;

• (c) the health catastrophe risk sub-module.

Image omitted; see official source

where:

• (a) the sum covers all possible combinations (i,j) of the sub-modules set out in paragraph 1;

• (b) CorrH(i,j) denotes the correlation parameter for health underwriting risk for sub-modules i and j;

• (c) SCRi and SCRj denote the capital requirements for risk sub-module i and j respectively.

j *i*	NSLT health underwriting	SLT health underwriting	Health catastrophe
NSLT health underwriting	1	0,5	0,25
SLT health underwriting	0,5	1	0,25
Health catastrophe	0,25	0,25	1

• (a) the NSLT health underwriting risk sub-module to health insurance and reinsurance obligations included in lines of business 1, 2, 3, 13, 14, 15 and 25 as set out in Annex I;

• (b) the SLT health underwriting risk sub-module to health insurance and reinsurance obligations included in lines of business 29, 33 and 35 as set out in Annex I;

- (c) the health catastrophe risk sub-module to health insurance and reinsurance obligations.

Article 145

NSLT health underwriting risk sub-module

• (a) the NSLT health premium and reserve risk sub-module;

• (b) the NSLT health lapse risk sub-module.

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where:

• (a) SCR(NSLTh,pr) denotes the capital requirement for NSLT health premium and reserve risk;

- (b) SCR(NSLTh,lapse) denotes the capital requirement for NSLT health lapse risk.

Article 146

NSLT health premium and reserve risk sub-module

The capital requirement for NSLT health premium and reserve risk shall be equal to the following:

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where:

• (a) σNSLTh denotes the standard deviation for NSLT health premium and reserve risk determined in accordance with Article 148;

- (b) VNSLTh denotes the volume measure for NSLT health premium and reserve risk determined in accordance with Article 147.

Article 147

Volume measure for NSLT health premium and reserve risk

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where:

• (a) V(prem,s) denotes the volume measure for premium risk of segment s;

• (b) V(res,s) denotes the volume measure for reserve risk of segment s;

• (c) DIVs denotes the factor for geographical diversification of segment s.

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where:

• (a) Ps denotes an estimate of the premiums to be earned by the insurance or reinsurance undertaking in the segment s during the following 12 months;

• (b) P(last,s) denotes the premiums earned by the insurance and reinsurance undertaking in the segment s during the last 12 months;