TITLE IGENERAL RULES ON THE TAKING-UP AND PURSUIT OF DIRECT INSURANCE AND REINSURANCE ACTIVITIES
CHAPTER VIRules relating to the valuation of assets and liabilities, technical provisions, own funds, Solvency Capital Requirement, Minimum Capital Requirement and investment rules
Section 4Solvency capital requirement
Subsection 1General provisions for the solvency capital requirement using the standard formula or an internal model
Article 100General provisions
Member States shall require that insurance and reinsurance undertakings hold eligible own funds covering the Solvency Capital Requirement.
The Solvency Capital Requirement shall be calculated, either in accordance with the standard formula in Subsection 2 or using an internal model, as set out in Subsection 3.
Article 101Calculation of the Solvency Capital Requirement
1
The Solvency Capital Requirement shall be calculated in accordance with paragraphs 2 to 5.
2
The Solvency Capital Requirement shall be calculated on the presumption that the undertaking will pursue its business as a going concern.
3
The Solvency Capital Requirement shall be calibrated so as to ensure that all quantifiable risks to which an insurance or reinsurance undertaking is exposed are taken into account. It shall cover existing business, as well as the new business expected to be written over the following 12 months. With respect to existing business, it shall cover only unexpected losses.
It shall correspond to the Value-at-Risk of the basic own funds of an insurance or reinsurance undertaking subject to a confidence level of 99,5 % over a one-year period.
4
The Solvency Capital Requirement shall cover at least the following risks:
a
non-life underwriting risk;
b
life underwriting risk;
c
health underwriting risk;
d
market risk;
e
credit risk;
f
operational risk.
Operational risk as referred to in point (f) of the first subparagraph shall include legal risks, and exclude risks arising from strategic decisions, as well as reputation risks.
5
When calculating the Solvency Capital Requirement, insurance and reinsurance undertakings shall take account of the effect of risk-mitigation techniques, provided that credit risk and other risks arising from the use of such techniques are properly reflected in the Solvency Capital Requirement.
Article 102Frequency of calculation
1
Insurance and reinsurance undertakings shall calculate the Solvency Capital Requirement at least once a year and report the result of that calculation to the supervisory authorities.
Insurance and reinsurance undertakings shall hold eligible own funds which cover the last reported Solvency Capital Requirement.
Insurance and reinsurance undertakings shall monitor the amount of eligible own funds and the Solvency Capital Requirement on an ongoing basis.
If the risk profile of an insurance or reinsurance undertaking deviates significantly from the assumptions underlying the last reported Solvency Capital Requirement, the undertaking concerned shall recalculate the Solvency Capital Requirement without delay and report it to the supervisory authorities.
2
Where there is evidence to suggest that the risk profile of the insurance or reinsurance undertaking has altered significantly since the date on which the Solvency Capital Requirement was last reported, the supervisory authorities may require the undertaking concerned to recalculate the Solvency Capital Requirement.