On 17 January 2015 Solvency II Delegated Act (officially Commission Delegated Regulation (EU) 2015/35) entered into force as it was officially published in the Official Journal of the EU. Level 2 document (797 pages in total: 226 pages of main text, 571 pages belong to annexes) further develops some issues from the Solvency II Framework Directive.
Commission Delegated Regulation (main text) is divided into three basic parts (titles) as follows:
Title I – Valuation and risk-based capital requirements (Pillar I), enhanced governance (Pillar II) and increased transparency (Pillar III)
It consists of the following chapters:
General provisions
Valuation of assets and liabilities
Rules relating to technical provisions
Own funds
Solvency capital requirement standard formula
Solvency capital requirement — full and partial internal models
Minimum capital requirement
Investments in securitisation positions
System of governance
Capital add-on
Extension of the recovery period
Public disclosure
Regular supervisory reporting
Transparency and accountability of supervisory authorities
Special purpose vehicles
Title II – Insurance groups
It consists of the following chapters:
Solvency calculation at group level
Internal models for the calculation of the consolidated group solvency capital requirement
Supervision of group solvency for groups with centralised risk management
Coordination of group supervision
Public disclosure
Group supervisory reporting
Title III – Third country equivalence and final provisions
It consists of the following chapters:
Undertakings carrying out reinsurance activities with their head office in a third country
Related third country insurance and reinsurance undertakings
Insurance and reinsurance undertakings with the parent undertakings outside the union
Final provisions
Main text of this regulation is followed by the annexes that include (not-exhaustive list):
List of lines of businesses
Segmentation and parameters (including correlation coefficients) for the purposes of the calculation of the capital requirement for the non-life premium and reserve risk
Calculation of the factor for geographical diversification
Parameters (including correlation coefficients) and geographical division of regions into risk zones for the purposes of the calculation of the capital requirement for the natural catastrophe risk
Method-specific data requirements and method specifications for USPs of the standard formula
Integration techniques for partial internal models
Structure of the Solvency and Financial Condition Report and Regular Supervisory Report
For additional information about Level 2 document refer to the official website of the Commission where you can find full text of the regulation, impact assessment (which concentrates on capital requirements and other measures relating to long term investments, requirements on the composition of insurers’ own funds, remuneration issues, requirements for valuation of assets and liabilities, and reporting) and Frequently Asked Questions.