(51)

Article 111 is amended as follows: paragraph 1 is amended as follows: points (l) and (m) are replaced by the following: ; the simplified calculations provided for specific risk modules and risk sub-modules referred to in Article 109(1) and for immaterial risk modules and risk sub-modules referred to in Article 109(2), as well as the criteria that insurance and reinsurance undertakings, including captive insurance undertakings and captive reinsurance undertakings, shall be required to fulfil in order to be entitled to use simplifications, as set out in Article 109(1); the approach to be used with respect to qualifying holdings within the meaning of Article 13, point (21), in the calculation of the Solvency Capital Requirement, in particular the calculation of the equity risk sub-module referred to in Article 105(5), taking into account the likely reduction in the volatility of the value of those qualifying holdings arising from the strategic nature of those investments and the influence exercised by the insurance or reinsurance undertaking on those investees;’ the following subparagraphs are added: ‘For the purposes of the first subparagraph, point (c), of this paragraph, the methods, assumptions and standard parameters for the interest rate risk sub-module referred to in Article 105(5), second subparagraph, point (a), shall reflect the risk that interest rates may further decrease even where they are low or negative and the calculation of the interest rate risk sub-module shall be consistent with the extrapolation of interest rates in accordance with Article 77a. Notwithstanding the first sentence of this subparagraph, the calculation of the interest rate risk sub-module shall not be required to take into account the risk of interest rates falling to levels below a negative floor where a negative floor is determined such that the likelihood of interest rates across relevant currencies and across maturities not being at all times above the negative floor is sufficiently small. For the purposes of the first subparagraph, point (h), of this paragraph, the methods and adjustments to be used to reflect the reduced scope for risk diversification of insurance and reinsurance undertakings relating to ring-fenced funds shall not apply to the portfolios of assets that are not ring-fenced funds and that are assigned to cover a corresponding best estimate of insurance or reinsurance obligations as referred to in Article 77b(1), point (a).’; the following paragraph is inserted: ‘2a. Where the Commission, pursuant to paragraph 1, first subparagraph, point (c), of this Article adopts delegated acts to supplement this Directive by specifying the methods, assumptions and standard parameters to be used for calculating the interest rate risk sub-module referred to in Article 105(5), second subparagraph, point (a), with the objective to improve the sensitivity of capital requirements in line with developments in interest rates, amendments to the interest rate risk sub-module may be phased in over a transitional period of up to five years. Such phasing-in shall be mandatory and apply to all insurance or reinsurance undertakings.’ ; paragraph 3 is replaced by the following: ‘3. By 29 January 2030, and every five years thereafter, EIOPA shall carry out an assessment of the appropriateness of the methods, assumptions, and standard parameters used when calculating the Solvency Capital Requirement on the basis of the standard formula. It shall, in particular, take into account the performance of any asset class and financial instruments, the behaviour of investors in those asset classes and financial instruments as well as developments in international standard setting in financial services. The review of certain risks and certain asset classes may be prioritised. On the basis of EIOPA’s assessment, the Commission shall present, where appropriate, proposals for the amendment of this Directive, or of delegated or implementing acts adopted pursuant thereto. Insurance and reinsurance undertakings applying the phasing-in referred to in paragraph 2a of this Article shall within the part of their report on their solvency financial condition consisting of information targeted at market professionals referred to in Article 51(1b) publicly disclose: ; the fact that they apply the phasing-in referred to in paragraph 2a of this Article; and the quantification of the impact of not applying the phasing-in referred to in paragraph 2a of this Article on their financial position.’

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Source: EUR-Lex (Cellar) · retrieved 2026-10-14 · Text as adopted (Official Journal); later amendments are not incorporated in this text.