[ParlTrack]

Marco ZANNI, Antonio Maria RINALDI, Valentino GRANT

Proposal for a directive
Article 1 – paragraph 1 – point 38 – point c

Directive 2009/138/EC
Article 77d – paragraph 4 – subparagraph 5

The country adjustment factor referred to in point (e) shall be calculated as follows: ~~𝜔𝑐𝑜 = 𝑚𝑎𝑥(𝑚𝑖𝑛( ;1);0) Where 𝑹𝑺𝑪𝒄𝒐 for the country co as referred to~~∗ 𝑹𝑪𝑺𝒄𝒐 ― 0.6% 𝑹𝑪𝑺𝒄𝒐 ― 0.6% 𝜔𝑐𝑜 = 𝑚𝑎𝑥(𝑚𝑖𝑛( ;1);0) 0.3% 0.3% ∗ ins the ~~first subparagraph, point (d), multiplied by the percentage of investments in debt instruments relative to total assets held by insurance and reinsurance undertakings authorised in country co.~~risk-corrected spread

2022/09/07
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 3

(3) As underlined in the Commission’s Communication of 24 September 2020 ‘A Capital Markets Union for people and businesses’18 , incentivising institutional investors, in particular insurers, to make more long-term investments will be instrumental in supporting re-equitisation in the corporate sector. To facilitate insurers’ contribution to the financing of the economic recovery of the Union, the prudential framework should be adjusted to better take into account the long-term nature of the insurance business. In particular, when calculating the Solvency Capital Requirement under the standard formula, the possibility to use a more favourable standard parameter for equity investments which are held with a long- term perspective should be facilitated, provided that insurance and reinsurance undertakings comply with sound and robust criteria, that preserve policyholder protection and financial stability. Such criteria should aim to ensure that insurance and reinsurance undertakings are able to avoid forced selling of equities intended to be held for the long term, including under stressed market conditions. As insurance and reinsurance undertakings have a wide range of risk-management tools to avoid such forced selling, the criteria should recognise such variety and not require the legal or contractual ring- fencing of long-term investment assets in order to benefit from the more favourable standard parameter for equity investments. __________________ 18 COM/2050/590 final

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 3 a (new)

(3 a) The need to properly reflect extremely low and negative interest rates in the insurance regulation has arisen due to what has been witnessed in recent years on the markets; this has to be achieved via a recalibration of the Interest Rate Risk sub-module to reflect the existence of a negative yield environment. At the same time, the methodology to be used shall not result in unrealistically large decreases in the liquid part of the curve; this can be avoided by foreseeing an explicit floor to represent a lower bound of interest rates. In line with interest rates dynamics, the floor should not be flat but term-dependent.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 4

(4) In its Communication of 11 December 2019 on the European Green Deal19 , the Commission made a commitment to integrate better into the Union’s prudential framework the management of climate and environmental risks. The European Green Deal is the Union’s new growth strategy, which aims to transform the Union into a modern, resource-efficient and competitive economy with no net emissions of greenhouse gases by 2050. It will contribute to the objective of building an economy that works for the people, strengthening the Union’s social market economy, helping to ensure that it is future-ready and that it delivers stability, jobs, growth and investment. In its proposal of 4 March 2020 for a European Climate Law, the Commission proposed to make the objective of climate neutrality and climate resilience by 2050 binding in the Union. That proposal was adopted by the European Parliament and by the Council and it entered into force on 29 July 202120 . The Commission’s ambition to ensure global leadership by the EU on the path towards 2050 was reiterated in the 2021 Strategic Foresight Report21 , which identifies the building of resilient and future-proof economic and financial systems as a strategic area of action. __________________ 19 COM(2019)640 final 20 Regulation (EU) 2021/1119 of the European Parliament and of the Council of 30 June 2021 establishing the framework for achieving climate neutrality and amending Regulations (EC) No 401/2009 and (EU) 2018/1999 (‘European Climate Law’) (OJ L 243, 9.7.2021, p. 1). 21 COM(2021)750 finaldeleted

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 5

(5) The EU sustainable finance framework will play a key role in meeting the targets of the European Green Deal and environmental regulation should be complemented by a sustainable finance framework which channels finance to investments that reduce exposure to these climate and environmental risks. In its Communication of 6 July 2021 on a Strategy for Financing the Transition to a Sustainable Economy22 , the Commission committed to propose amendments to Directive 2009/138/EC to consistently integrate sustainability risks in risk management of insurers by requiring climate change scenario analysis by insurers. __________________ 22 COM(2021)390deleted

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 14

(14) Captive insurance undertakings and captive reinsurance undertakings which only cover risks associated with the industrial or commercial group to which they belong, present a particular risk profile that should be taken into account when defining some requirements, in particular on own-risk and solvency assessment, disclosures and the related empowerments for the Commission to further specify the rules on such empowerments. ~~Moreover~~Therefore, captive insurance undertakings and captive reinsurance undertakings should ~~also be able to~~ benefit from the proportionality measures ~~when they are~~by being automatically classified as low- risk profile undertakings.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 26

(26) Directive 2009/138/EC requires insurance and reinsurance undertakings to have, as an integrated part of their business strategy, a periodic own-risk and solvency assessment. Some risks, such as climate change risks, are difficult to quantify or they materialise over a period that is longer than the one used for the calibration of the Solvency Capital Requirement. Those risks can be better taken into account in the own-risk and solvency assessment. Where insurance and reinsurance undertakings have material exposure to climate risks, they should be required to carry out, within appropriate intervals and as part of the own-risk and solvency assessment, analyses of the impact of long-term climate change risk scenarios on their business. Such analyses should be proportionate to the nature, scale and complexity of the risks inherent in the business of the undertakings. In particular, while the assessment of the materiality of exposure to climate risks should be required from all insurance and reinsurance undertakings, long-term climate scenario analyses should not be required for low-risk profile undertakings.deleted

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 39 a (new)

(39 a) Directive 2009/138/EC requires that the amount of eligible own funds necessary to support the insurance and reinsurance obligations be determined for the purpose of the risk margin calculation and that the Cost-of-Capital rate is equal to the additional rate, above the relevant risk-free interest rate, that an insurance or reinsurance undertaking would incur holding that amount of eligible own funds. Directive 2009/138/EC also requires that the Cost-of-Capital rate be reviewed periodically. For that purpose, the reviews should ensure that the Cost- of-Capital rate remains risk-based and is not set at an overly conservative level. In addition, the projection of future capital requirements for that purpose should take into account the time-dependence of risks in the aggregation of projected future capital requirements. In particular, projected future capital requirements for later years should have a lesser contribution to the risk margin than projected capital requirements of the same level pertaining to earlier years.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 40

(40) For the purposes of calculating their own funds under Regulation (EU) No 575/2013 of the European Parliament and of the Council23 , institutions which belong to financial conglomerates that are subject to Directive 2002/87/EC of the European Parliament and of the Council24 may be permitted not to deduct their significant investments in insurance or reinsurance undertakings, provided that certain criteria are met. There is a need to ensure that prudential rules applicable to insurance or reinsurance undertakings and credit institutions allow for an appropriate level- playing field between banking-led and insurance-led financial groups. Therefore, insurance or reinsurance undertakings should also be permitted not to deduct from their eligible own funds participations in credit and financial institutions, subject to similar conditions and to apply a capital requirement factor based on the market risk module, calculated in accordance with Directive 2009/138/EC, to the participations in credit and financial institutions. In particular, either group supervision in accordance with Directive 2009/138/EC or supplementary supervision in accordance with Directive 2002/87/EC should apply to a group encompassing both the insurance or reinsurance undertaking and the related institution. In addition, the institution should be an equity investment of strategic nature for the insurance or reinsurance undertaking and supervisory authorities should be satisfied as to the level of integrated management, risk management and internal controls regarding the entities in the scope of group supervision or supplementary supervision. To ensure a full level-playing field between banking-led and insurance-led financial groups. __________________ 23 Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1). 24 Directive 2002/87/EC of the European Parliament and of the Council of 16 December 2002 on the supplementary supervision of credit institutions, insurance undertakings and investment firms in a financial conglomerate and amending Council Directives 73/239/EEC, 79/267/EEC, 92/49/EEC, 92/96/EEC, 93/6/EEC and 93/22/EEC, and Directives 98/78/EC and 2000/12/EC of the European Parliament and of the Council (OJ L 35, 11.2.2003, p. 1).

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 45

(45) Directive 2009/138/EC provides for the possibility for insurance and reinsurance undertakings to calculate their Solvency Capital Requirement with an internal model subject to supervisory approval. Where an internal model is applied, that Directive does not prevent the insurance and reinsurance undertaking from taking into account the effect of credit spread movements on the volatility adjustment in its internal model. As the use of the volatility adjustment can lead to benefits in excess of a mitigation of exaggerated bond spreads in the calculation of the best estimate, such excessive benefits can also distort the calculation of the Solvency Capital Requirement where the effect of credit spread movements on the volatility adjustment is taken into account in the internal model. In order to avoid such distortion, the Solvency Capital Requirement should be floored, where supervisory authorities allow insurance and reinsurance undertaking to take into account the effect of credit spread movements on the volatility adjustment in their internal model, at a level below which benefits on the Solvency Capital Requirement in excess of a mitigation of exaggerated bond spreads are expected to occur.deleted

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 54

(54) Supervisory authorities should have the necessary powers to preserve the solvency position of specific insurance or reinsurance undertakings during exceptional situations such as adverse economic or ~~market~~sector events affecting a large part or the totality of the insurance and reinsurance market, in order to protect policyholders and preserve financial stability. Those powers should ~~include the possibility to restrict or suspend distributions to shareholders and other subordinated lend~~be applied on a case-by-case basis, as a matter of last resort and only if there is imminent dangers of ~~a given insurance or reinsurance undertaking before an actual breach~~policyholders' rights being endangered ofr t~~he Solvency Capital Requirement occurs~~o financial stability. Those ~~power~~measures should ~~be applied on a case-by-case basis,~~ respect common risk- based criteria and not undermine the functioning of the internal market.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 64

(64) There is a lack of clarity regarding the types of undertakings for which Method 2, namely a deduction and aggregation method as defined in Article 233 of Directive 2009/138/EC, may be applied when calculating group solvency, which is detrimental to the level-playing field in the Union and in third countries. Therefore, it should be clearly specified which undertakings may be included in the group solvency calculation through Method 2. Such method should only apply to insurance and reinsurance undertakings, third-country insurance and reinsurance undertakings, undertakings belonging to other financial sectors, mixed financial holding companies, insurance holding companies, and other parent undertakings the main business of which is to acquire and hold participations in subsidiary undertakings, where those subsidiary undertakings are exclusively or mainly insurance or reinsurance undertakings, or third-country insurance or reinsurance undertakings.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 78

(78) Achieving the environmental and climate ambitions of the Green Deal requires the channelling of large amounts of investments from the private sector, including from insurance and reinsurance companies, towards sustainable investments. The provisions of Directive 2009/138/EC on the capital requirements should not impede sustainable investments by insurance and reinsurance undertakings but should reflect the full risk of investments in environmentally harmful activities. While there is not sufficient evidence at this stage on risk differentials between environmentally or socially harmful and other investments, such evidence may become available over the next years. In order to ensure an appropriate assessment of the relevant evidence, EIOPA should monitor and report by 2023 on the evidence on the risk profile of environmentally or socially harmful investments. Where appropriate, EIOPA’s report should advise on changes to Directive 2009/138/EC and to the delegated and implementing acts adopted pursuant to that Directive. EIOPA may also inquire whether it would be appropriate that certain environmental risks, other than climate change-related, should be taken into account and how. For instance, if evidence so suggests, EIOPA could analyse the need for extending scenario analyses as introduced by this Directive in the context of climate change-related risks to other environmental risks.deleted

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Recital 79

(79) Climate change is affecting and will affect at least over the next decades the frequency and severity of natural catastrophes which are likely to further aggravate due to environmental degradation and pollution. This may also change the exposure of insurance and reinsurance undertakings to natural catastrophe risk and render invalid the standard parameters for natural catastrophe risk set out in Delegated Regulation (EU) 2015/35. In order to ensure that there is no persistent discrepancy between the standard parameters for natural catastrophe risk and the actual exposure of insurance and reinsurance companies to such risks, EIOPA should review regularly the scope of the natural catastrophe risk module and the calibrations of its standard parameters. For that purpose, EIOPA should take into account the latest available evidence from climate science and, where discrepancies are found, it should submit an opinion to the Commission accordingly.deleted

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 2

Directive 2009/138/EC
Article 4 – paragraph 1 – point a

(a) the undertaking’s annual gross written premium does not exceed EUR 125 000 000;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 2

Directive 2009/138/EC
Article 4 – paragraph 1 – point b

(b) the total of the undertaking’s technical provisions, gross of the amounts recoverable from reinsurance contracts and special purpose vehicles, as referred in Article 76, does not exceed EUR 650 000 000;;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 2

Directive 2009/138/EC
Article 4 – paragraph 1 – point c

(c) where the undertaking belongs to a group, the total of the technical provisions of the group defined as gross of the amounts recoverable from reinsurance contracts and special purpose vehicles does not exceed EUR 265 ~~million; (https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02009L0138-20210630)~~000 000; Or. en

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 5 – point b

Directive 2009/138/EC
Article 13 – paragraph 1 – point 10a

(10a) ‘low-risk profile undertaking’ means an insurance and reinsurance undertaking that meets the conditions set out in Article 29a and has been classified as such in accordance with Article 29b as well as a captive insurance undertaking and a captive reinsurance undertaking;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 13

Directive 2009/138/EC
Article 29a – paragraph 1 – subparagraph 1 – point a – subparagraph 1 – point iv

(iv) investments in non-traditional investments do not represent more than 230% of total investments;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 13

Directive 2009/138/EC
Article 29a – paragraph 1 – subparagraph 1 – point b – subparagraph 1 – point v

(v) investments in non-traditional investments do not represent more than 230% of total investments;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 13

Directive 2009/138/EC
Article 29a – paragraph 1 – subparagraph 1 – point c – subparagraph 1 – point vii

(vii) investments in non-traditional investments do not represent more than 230% of total investments;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 13

Directive 2009/138/EC
Article 29a – paragraph 1 – subparagraph 2

For the purpose of this Article, traditional investments shall consist of bonds, equities, real estate, loans including private loans, promissory notes and mortgages, cash and cash equivalents and deposits ~~and t~~. Total investments shall consist of all assets, including derivatives, and excluding investments covering unit-~~index~~ linked contracts, excluding property ~~for own use, excluding plant~~ and equipment for own use, excluding property under construction for own used.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 16 – point a

Directive 2009/138/EC
Article 35 – paragraph 1

Member States shall require insurance and reinsurance undertakings to submit to the supervisory authorities the information which is necessary for the purposes of supervision, taking into account the objectives of supervision laid down in Articles 27 and 28 and the general principles of supervision, in particular the principle of proportionality, laid down in Article 29.;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 16 – point b

Directive 2009/138/EC
Article 35 – paragraph 5a – subparagraph 2 – point a

(a) every ~~thre~~five years, for low-risk profile undertakings;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 16 – point g

Directive 2009/138/EC
Article 35 – paragraph 12 – subparagraph 1 – point b a (new)

(b a) reduce compliance costs, in particular for low-risk profile undertakings;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 17

Directive 2009/138/EC
Article 35a – paragraph 1 – subparagraph 2

That limitation to regular supervisory reporting shall be granted only to undertakings that collectively do not represent more than 230 % of a Member State’s life and non-life insurance and reinsurance market respectively, where the non-life market share is based on gross written premiums and the life market share is based on gross technical provisions.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 17

Directive 2009/138/EC
Article 35a – paragraph 2 – subparagraph 3

The exemption from reporting on an item- by-item basis shall be granted only to undertakings that collectively do not represent more than 230 % of a Member State’s life and non-life insurance or reinsurance market respectively, where the non-life market share is based on gross written premiums and the life market share is based on gross technical provisions. When determining the eligibility of undertakings for those limitations or exemptions, supervisory authorities shall give priority to low-risk profile undertakings.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 25

Directive 2009/138/EC
Article 45a

(25) the following Article 45a is inserted: ‘ Article 45a Climate change scenario analysis 1. identification and assessment of risks referred to in Article 45(2), the undertaking concerned shall also assess whether it has any material exposure to climate change risks. The undertaking shall demonstrate the materiality of its exposure to climate change risks in the assessment referred to in Article 45(1). 2. has material exposure to climate change risks, the undertaking shall specify at least two long-term climate change scenarios, including the following: (a) a long-term climate change scenario where the global temperature increase remains below two degrees Celsius; (b) a long-term climate change scenario where the global temperature increase is equal to or higher than two degrees Celsius. 3. assessment referred to in Article 45(1) shall contain an analysis of the impact on the business of the undertaking of the long-term climate change scenarios specified pursuant to paragraph 2 of this Article. Those intervals shall be proportionate to the nature, scale and complexity of the climate change risks inherent in the business of the undertaking, but be no longer than three years. 4. scenarios referred to in the paragraph 2 shall be reviewed, at least every three years, and updated where necessary. 5. paragraphs 2, 3 and 4, insurance and reinsurance undertakings that are classified as low-risk profile undertakings shall neither be required to specify climate change scenarios nor to assess their impact on the business of the undertaking.; ’deleted For the purposes of the Where the undertaking concerned At regular intervals, the The long-term climate change By way of derogation from

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 36

Directive 2009/138/EC
Article 77 – paragraph 3 a (new)

3a. The risk margin for the entire portfolio of insurance and reinsurance obligations shall be calculated using the following formula: RM = CoC * Σt≥0 (0.9t*SCR(t)/((1+r(t+1))t+1) where (a) CoC denotes the Cost-of-Capital rates (b) the sum covers all integers including zero (c) SCR(t) denotes the Solvency Capital Requirement after t years (d) r(t+1) denotes the basic risk-free interest rate for the maturity of t+1 years.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 36 a (new)

Directive 2009/138/EC
Article 77 – paragraph 5 a (new)

5a. The Cost-of-Capital rate referred to in paragraph 5 shall be assumed to be equal to 4 %.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 37

Directive 2009/138/EC
Article 77a – paragraph 2 – subparagraph 1

2. For the purpose of paragraph 1, second subparagraph, any parameters determining the speed of the convergence of the forward rates towards the ultimate forward rate of the extrapolation may be chosen such that on [OP please insert date = application date] the risk-free interest rate term structure is sufficiently similar to the risk-free interest rate term structure on that date determined in line with the rules for the extrapolation applicable on [OP please insert date = one day before date of application]. Those parameters of the extrapolation shall be decreased linearly at the beginning of each calendar year, during a transitional period. The final parameters of the extrapolation shall be applied as of 1 JanuaryThe extrapolated risk-free rate shall be determined as follows: rFSP+h = FSP+h√((1+rFSP)FSP * exp(h*fh)) - 1 Where: fh = ln(1+UFR) + [(LLFR - ln(1+UFR)] * ((1-exp(-a*h)/(a*h)) (a) UFR is the Ultimate Forward Rate (b) a is the convergence speed parameter (c) LLFR is the Last Liquid Forward Rate (d) FSP is the First Smoothing Point The convergence speed parameter a shall be set at 2032%.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 38 – point c

Directive 2009/138/EC
Article 77d – paragraph 2 – subparagraphs 2 a (new) and 2 b (new)

For each currency and each country, the spread referred to in paragraph (2) shall be equal to the following: S = wgov * max (Sgov, 0) + wcorp * max(Scorp, 0) where: (a) wgov denotes the ratio of the value of government bonds included in the reference portfolio of assets for that currency or country and the value of all the assets included in that reference portfolio; (b) Sgov denotes the average currency spread on government bonds included in the reference portfolio of assets for that currency or country; (c) wcorp denotes the ratio of the value of bonds other than government bonds, loans and securitisations included in the reference portfolio of assets for that currency or country and the value of all the assets included in that reference portfolio; (d) Scorp denotes the average currency spread on bonds other than government bonds, loans and securitisations included in the reference portfolio of assets for that currency or country. For the purposes of this paragraph, ‘government bonds’ means exposures to central governments and central banks.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 38 – point c

Directive 2009/138/EC
Article 77d – paragraph 3 a (new)

3a. The portion of the spread that is attributable to a realistic assessment of expected losses, unexpected credit risk or any other risk shall be calculated in the same manner as the fundamental spread referred to in Article 77c(2).

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 40 – point a – point iii

Directive 2009/138/EC
Article 86 – paragraph 1 – point i – point iii

(iii) for each relevant asset class, the percentage of the spread that represents the portion attributable to a realistic assessment of expected losses or unexpected credit or other risks of the assets as referred to in Article 77d(3);deleted

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 41 – point a

Directive 2009/138/EC
Article 92 – paragraph 1a – subparagraph 1

1a. The Commission shall adopt delegated acts in accordance with Article 301a specifying the treatment of participations, within the meaning of Article 212(2), third subparagraph, in financial and credit institutions with respect to the determination of own funds, including: (i) approaches to deductions from the basic own funds of an insurance or reinsurance undertaking of material participations in credit and financial institutions; (ii) the market risk module to be applied by insurance and reinsurance undertakings and groups to the participations in credit and financial institutions pursuant to this Article.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 43 a (new)

Directive 2009/138/EC
Article 105 a (new)

(1a) the following Article is inserted: ‘Article 105 a Long-term equity investments 1. A sub-set of equity investments may be treated as long-term equity investments if the insurance or reinsurance undertaking demonstrates, to the satisfaction of the supervisory authority, that all of the following conditions are met: (a) the sub-set of equity investments is clearly identified; (b) the sub-set of equity investment is included within a portfolio of assets which is assigned to cover the best estimate of a portfolio of insurance or reinsurance obligations corresponding to one or several clearly identified businesses, and the undertaking maintains that assignment; (c) the assigned portfolio of assets referred to in point (b) are identified and managed separately from the other activities of the undertaking; (d) a policy for long term investment management is set up for each long-term equity portfolio and reflects undertaking’s commitment to hold the global exposure to equity in the sub-set of equity investment for a period that exceeds 5 years on average. The administrative, management or supervisory board of the undertaking has signed off these investment management policies and these policies are frequently reviewed against the actual management of the portfolios. (e) the sub-set of equity investments consists only of equities that are listed in countries that are member of the OECD or of unlisted equities of companies that have their head offices in countries that are member of the OECD; (f) where undertakings can demonstrate that either particular Homogeneous Risk Groups (HRG) of the life insurance and reinsurance liabilities belongs to categories I or II as defined for the purpose of the calculation of the VA and the Macaulay duration of the liabilities in this HRG exceeds 5 years or a sufficient liquidity buffer is in place for the portfolio of non-life insurance and reinsurance liabilities and the assigned portfolio of assets; (g) the risk management, asset-liability management and investment policies of the insurance or reinsurance undertaking reflects the undertaking's intention to hold the sub-set of equity investments for a period that is compatible with the requirement of point (d) and its ability to meet the requirement of point (f). Those elements are reported in the Own Risk and Solvency Assessment (ORSA) of the undertakings; (h) the sub-set of equity investments shall be properly diversified in such a way as to avoid excessive reliance on any particular issuer or group of undertakings and excessive accumulation of risk in the portfolio as a whole. 2. The proportion of equity backing life technical provisions that is assigned to the long-term equity investment category does not exceed the proportion of life technical provisions compliant with the criteria specified in paragraph 1 on the total life technical provisions of the insurance or reinsurance undertaking. 3. Where equities are held within collective investment undertakings or within alternative investment funds the conditions laid down in paragraph 1 may be assessed at the level of the funds and not of the underlying assets held within those funds. 4. Insurance or reinsurance undertakings that treat a sub-set of equity investments as long- term equity investments in accordance with paragraph 1 shall not revert to an approach that does not include long-term equity investments. Where an insurance or reinsurance undertaking that treats a sub-set of equity investments as long-term equity investments is no longer able to comply with the conditions set out in paragraph 1, it shall immediately inform the supervisory authority and shall cease to apply Articles 169(1)(b), (2)(b), (3)(b) and (4)(b) to any of its equity investments for a period of 36 months; 5. Participations shall be excluded from the sub-set of equity investments. In addition to the proposed criteria EIOPA advises that, in cases where the allocation of equity to Long Term Equity (LTE) has a material impact on the overall SCR of the undertaking, enhanced reporting requirements should apply (e.g. through the Regular Supervisory Reporting) in addition to the regular reporting through ORSA established under criterion 1(h). Such requirements should focus on the assessment of the undertaking’s ability to effectively hold equity in the long term from a risk management perspective, as well as a sensitivity analysis of the impact of LTE on its solvency position. The capital requirement for long-term equity investments shall be equal to the loss in the basic own funds that would result from an instantaneous decrease equal to 22% in the value of investments that are treated as long-term equity.’

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 45

Directive 2009/138/EC
Article 109 – paragraph 1 – subparagraph 1 a (new)

Notwithstanding the first subparagraph, low-risk profile undertakings may use a simplified calculation for a specific sub- module or risk module.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 46 – point b

Directive 2009/138/EC
Article 111 – paragraph 1 – subparagraph 2 a (new)

For the purpose of the first subparagraph, point (c), the methods, assumptions and standard parameters for the interest rate risk sub-module referred to in Article 105(5)(a) shall reflect the risk that low or negative interest rates may fall below their current level. By way of derogation from the previous sentence, 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 can be 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. Having this in mind and in line with interest rates dynamics, the explicit floor identified should be increasing and term-dependent.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 47

Directive 2009/138/EC
Article 112 – paragraph 7

(47) in Article 112, paragraph 7 is replaced by the following: ‘ 7. from supervisory authorities to use an internal model, and each time they report the result of a calculation of the Solvency Capital Requirement pursuant to Article 102(1), insurance and reinsurance undertakings shall provide the supervisory authorities with an estimate of the Solvency Capital Requirement determined in accordance with the standard formula, as set out in Subsection 2.; ’deleted After having received approval

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 48

Directive 2009/138/EC
Article 122 – paragraph 5

(48) in Article 122, the following paragraph 5 is added: ‘ 5. insurance and reinsurance undertakings to take into account the effect of credit spread movements on the volatility adjustment calculated in accordance with Article 77d in their internal model, only where: (a) the effect of credit spread movements on the volatility adjustment for the euro does not take into account a possible increase of the volatility adjustment by a macro volatility adjustment pursuant to Article 77d(4); (b) is not lower than any of the following: (i) Requirement calculated as the Solvency Capital Requirement, except that the effect of credit spread movements on the volatility adjustment is taken into account in accordance with the methodology used by EIOPA for the purposes of the publication of technical information pursuant to Article 77e(1), point (c); (ii) Requirement calculated in accordance with (i), except that the representative portfolio for a currency referred to in Article 77d(2), second subparagraph, is determined on the basis of the assets in which the insurance and reinsurance undertaking is investing instead of the assets of all insurance or reinsurance undertakings with insurance or reinsurance obligations denominated in that currency. For the purpose of the first subparagraph, point (b), the determination of the representative portfolio for a given currency shall be based on the undertaking’s assets dominated in that currency and used to cover the best estimate for insurance and reinsurance obligations denominated in that currency.; ’deleted Member States may allow the method to take into account the Solvency Capital Requirement a notional Solvency Capital a notional Solvency Capital

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 54

Directive 2009/138/EC
Article 144b – paragraph 3 – subparagraph 2

Such a power shall only be exercised in exceptional circumstances, as a last resort measure and where this is in the collective interest of policy holders. Before exercising such a power, the supervisory authority shall take into account potential unintended effects on financial markets and on the rights of policyholders, including in a cross-border context. Supervisory authorities shall duly justify the application of those powers in writing.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 63

Directive 2009/138/EC
Article 213a – paragraph 1 – point e

(e) investments in non-traditional investments do not represent more than 230% of total investments;

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 64 – point b

Directive 2009/138/EC
Article 214 – paragraph 2 – subparagraph 2 – point ii

~~(ii) the exclusion of the undertaking from the scope of group supervision would have no material impact on the group solvency;~~deleted

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 64 – point c

Directive 2009/138/EC
Article 214 – paragraph 3 – subparagraph 2

Before excluding the ultimate parent undertaking from group supervision pursuant to paragraph 2, point (b), the group supervisor shall consult EIOPA, and where applicable, other supervisory authorities concerned, and shall assess the impact of exercising group supervision at the level of an intermediate participating undertaking on the solvency position of the group. ~~In particular, such an exclusion shall not be possible if it would result in a material improvement in the solvency position of the group.;~~

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 70

Directive 2009/138/EC
Article 228 – paragraph 1 – introductory part

1. Irrespective of the method used in accordance with Article 220 of this Directive, for the purpose of calculating the group solvency, when participations in related undertakings from other financial sectors represent 20% or more of the voting rights or capital of the undertaking, the participating insurance or reinsurance undertaking shall take into account the contribution to the group eligible own funds and to the group Solvency Capital Requirement of the following undertakings:

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 70

Directive 2009/138/EC
Article 228 – paragraph 5 a (new)

5a. For participations in related undertakings from other financial sectors different to those referred to in paragraph 1, participating undertakings shall apply a capital requirement according to a market risk module approach.

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 90

Directive 2009/138/EC
Article 304 – paragraph 1

1. Member States may authorise life insurance undertakings providing: (a) occupational retirement provision business in accordance with Article 4 of Directive 2003/41/EC, or (b) retirement benefits paid by reference to reaching, or the expectation of reaching, retirement where the premiums paid for those benefits have a tax deduction which is authorised to policy holders in accordance with the national legislation of the Member State that has authorised the undertaking; where (i) all assets and liabilities corresponding to the business are ring-fenced, managed and organised separately from the other activities of the insurance undertakings, without any possibility of transfer; (ii) the activities of the undertaking related to points (a) and (b), in relation to which the approach referred to in this paragraph is applied, are pursued only in the Member State where the undertaking has been authorisedand reinsurance undertakings where: (i) the average duration of the liabilities corresponding to the business held by the undertaking exceeds eight years; and (iii) ~~the average duration of the liabilities corresponding to the business held by the undertaking exceeds an average of 12 years;~~ to apply an equity risk sub-module of the Solvency Capital Requirement, which is calibrated using a Value-at-Risk measure, over a time period, which is consistent with the typical holding period of equity investments for the undertaking concerned, with a confidence level providing the policy holders and beneficiaries with a level of protection equivalent to that set out in Article 101, where the approach provided for in this Article is used only in respect of those assets and liabilities referred in point (i) of this paragraph. In the calculation of the Solvency Capital Requirement those assets and liabilities shall be fully considered for the purpose of assessing the diversification effects, without prejudice to the need to safeguard the interests of policy holders and beneficiaries in other Member States. Subject to the approval of the supervisory authorities, the approach set out in the first subparagraph shall be used only where the solvency and liquidity position as well as the strategies, processes and reporting procedures of the undertaking concerned with respect to asset–liability management are such as to ensure, on an ongoing basis, that it is able to hold equity investments for a period which is consistent with the typical holding period of equity investments for the undertaking concerned. The undertaking shall be able to demonstrate to the supervisory authority that that condition is verified with the level of confidence necessary to provide policy holders and beneficiaries with a level of protection equivalent to that set out in Article 101. Insurance and reinsurance undertakings shall not revert to applying the approach set out in Article 105, except in duly justified circumstances and subject to the approval of the supervisory authorities. (https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX%3A02009L0138-20210630)" Or. en

2022/08/01
Committee: ECON

Marco ZANNI, Valentino GRANT, Antonio Maria RINALDI

Proposal for a directive
Article 1 – paragraph 1 – point 90

Directive 2009/138/EC
Article 304 – paragraph 2

2. As of [OP please insert date = date of application of this amending Directive] life insurance undertakings may continue to apply the approach referred to in paragraph 1 of this Article only in respect of assets and liabilities to which supervisory authorities approved the application of the duration-based equity sub-module before [OP please insert date = application date of this amending Directive].;deleted

2022/08/01
Committee: ECON

48 Amendments of Valentino GRANT related to 2021/0295(COD)

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