Correcting provisions
Article 2
Delegated Regulation (EU) 2015/35 is corrected as follows: 1. in Article 73(1), the first sentence is replaced by the following: ‘The features referred to in Article 72 shall be either those set out in points (a) to (i) or those set out in point (j):’; 2. Article 170 is corrected as follows: (a) in paragraph 1, point (a) is replaced by the following: ‘(a) an instantaneous decrease equal to 22 % in the value of the type 1 equities corresponding to the business referred to in point (i) of Article 304(1) of Directive 2009/138/EC;’; (b) in paragraph 2, point (a) is replaced by the following: ‘(a) equal to 22 % in the value of the type 2 equities corresponding to the business referred to in point (i) of Article 304(1) of Directive 2009/138/EC;’; 3. Article 176 is corrected as follows: (a) paragraph 3 is replaced by the following: ‘3. Bonds or loans for which a credit assessment by a nominated ECAI is available shall be assigned a risk factor stress i depending on the credit quality step and the modified duration dur i of the bond or loan i according to the following table. Credit quality step 0 1 2 3 4 5 and 6 Duration ( dur i ) stress i a i b i a i b i a i b i a i b i a i b i a i b i up to 5 b i · dur i — 0,9 % — 1,1 % — 1,4 % — 2,5 % — 4,5 % — 7,5 % More than 5 and up to 10 a i + b i · ( dur i – 5) 4,5 % 0,5 % 5,5 % 0,6 % 7,0 % 0,7 % 12,5 % 1,5 % 22,5 % 2,5 % 37,5 % 4,2 % More than 10 and up to 15 a i + b i · ( dur i – 10) 7,0 % 0,5 % 8,5 % 0,5 % 10,5 % 0,5 % 20,0 % 1,0 % 35,0 % 1,8 % 58,5 % 0,5 % More than 15 and up to 20 a i + b i · ( dur i – 15) 9,5 % 0,5 % 11 % 0,5 % 13,0 % 0,5 % 25,0 % 1,0 % 44,0 % 0,5 % 61,0 % 0,5 % More than 20 min[ a i + b i · ( dur i – 20);1] 12,0 % 0,5 % 13,5 % 0,5 % 15,5 % 0,5 % 30,0 % 0,5 % 46,6 % 0,5 % 63,5 % 0,5 %’ (b) paragraph 4 is replaced by the following: ‘4. Bonds and loans for which a credit assessment by a nominated ECAI is not available and for which debtors have not posted collateral that meets the criteria set out in Article 214 shall be assigned a risk factor stress i depending on the duration dur i of the bond or loan i according to the following table: Duration ( dur i ) stress i up to 5 3 % · dur i More than 5 and up to 10 15 % + 1,7 % · ( dur i – 5) More than 10 and up to 20 23,5 % + 1,2 % · ( dur i – 10) More than 20 min(35,5 % + 0,5 % · ( dur i – 20);1)’ 4. in Article 179, paragraph 1 is corrected as follows: (a) the introductory sentence is replaced by the following: ‘The capital requirement SCR cd for spread risk on credit derivatives other than those referred to in paragraph 3 shall be equal to the higher of the following capital requirements:’; (b) point (a) is replaced by the following: ‘(a) the loss in the basic own funds that would result from an instantaneous increase in absolute terms of the credit spread of the instruments underlying the credit derivatives;’ 5. in Article 192, paragraph 2, in subparagraph 5, the formula is replaced by the following: ‘ LGD = max(90 % · ( Recoverables + 50 % · RM re ) – F′ · Collateral ;0)’;. 6. in Article 218, paragraph 3 is replaced by the following: ‘3. Where insurance or reinsurance undertakings have concluded several excess of loss reinsurance contracts that each meet the requirements set out in point (d) of paragraph 2, and that in combination meet the requirements set out in points (a), (b) and (c) of paragraph 2, their combination shall be considered as one recognisable excess of loss reinsurance contract.’; 7. in Article 296, paragraph 4 is replaced by the following: ‘4. The solvency and financial condition report shall include information on the areas set out in Article 263 in complying with the disclosure requirements of the insurance or reinsurance undertaking as laid down in paragraphs 1 and 3 of this Article.’; 8. in Article 317, paragraph 3 is replaced by the following: ‘3. Aggregated annual statistical data concerning the supervised undertakings and groups in accordance with Article 316 shall be disclosed in respect of each calendar year within three months after the date by which the undertakings having a financial year ending 31 December are required by Article 312(1)(c) to submit annual quantitative templates. Information concerning the supervisory authorities shall be made available within four months after the 31 December of each calendar year.’; 9. in Article 330, paragraph 1 is replaced by the following: ‘1. In assessing whether certain own funds eligible to cover the Solvency Capital Requirement of a related insurance or reinsurance undertaking, a related third country insurance or reinsurance undertaking, an insurance holding company or a mixed financial holding company cannot effectively be made available to cover the group Solvency Capital Requirement, the supervisory authorities shall consider all of the following elements: (a) whether the own-fund item is subject to legal or regulatory requirements that restrict the ability of that item to absorb all types of losses wherever they arise in the group; (b) whether there are legal or regulatory requirements that restrict the transferability of assets to another insurance or reinsurance undertaking; (c) whether making those own funds available for covering the group Solvency Capital Requirement would not be possible within a maximum of 9 months; (d) whether, where method 2 is used, the own-fund item does not satisfy the requirements set out in Articles 71, 73 and 77; for this purpose, the term “Solvency Capital Requirement” in those Articles shall include both the Solvency Capital Requirement of the related undertaking that has issued the own fund item and the group Solvency Capital Requirement.’; 10. in Article 375, paragraph 2 is replaced by the following: ‘2. Participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies shall submit to the group supervisor the information referred to in paragraph 1 no later than 26 weeks after the reference date of the opening financial statement as referred to in Article 314(1)(a).’; 11. Annex XVII is corrected in accordance with Annex I to this Regulation; 12. Annex XVIII is corrected in accordance with Annex II to this Regulation; 13. Annex XXI is corrected in accordance with Annex III to this Regulation.