Instruction No. 2015-I-29 of December 17, 2015 on Reporting Minor Modifications to the Internal Model to the ACPR

PRUDENTIAL SUPERVISION AND RESOLUTION AUTHORITY

Instruction No. 2015-I-29 on the reporting of minor modifications to the internal model to the Prudential Supervision and Resolution Authority

The Prudential Supervision and Resolution Authority,

Having regard to the Monetary and Financial Code, particularly Article L. 612-24;

Having regard to the Insurance Code, particularly Article L. 352-1, as well as Article R. 352-15;

Having regard to the Mutual Code;

Having regard to the Social Security Code;

Having regard to Directive 2009/138/EC of the European Parliament and of the Council on the taking up and pursuit of the business of Insurance and Reinsurance (Solvency II);

Having regard to EIOPA Guidelines 14/180 on the use of internal models;

Having regard to the opinion of the Prudential Affairs Consultative Committee dated November 24, 2015;

DECIDES

Article 1

The following are hereinafter referred to as "insurance or reinsurance undertakings using an internal model for the calculation of the Solvency Capital Requirement":

• Insurance or reinsurance undertakings whose internal model has been approved by the Prudential Supervision and Resolution Authority under Article L. 352-1 III of the Insurance Code.

• Participating and parent undertakings mentioned respectively in the 2nd and 3rd paragraphs of Article L. 356-2, whose group internal model has been approved by the Prudential Supervision and Resolution Authority as the group supervisor under Article R. 356-19 or R. 356-20 of the Insurance Code.

• Undertakings linked within the meaning of Article L. 356-1, 4° of the Insurance Code, whose group internal model has been approved under Article R. 356-20-1 of the Insurance Code by a foreign supervisory authority as the group supervisor.

Article 2

Insurance or reinsurance undertakings using an internal model for the calculation of the Solvency Capital Requirement shall communicate to the Prudential Supervision and Resolution Authority, each quarter, the minor modifications made to the internal model during the preceding quarter. These minor modifications shall be communicated to the Prudential Supervision and Resolution Authority according to the following schedule:

• No later than 14 weeks after the end of each quarterly reporting period, for quarterly periods ending between January 1, 2016, and January 1, 2017;
• No later than 13 weeks after the end of each quarterly reporting period, for quarterly periods ending between January 2, 2017, and January 1, 2018;
• No later than 12 weeks after the end of each quarterly reporting period, for quarterly periods ending between January 2, 2018, and June 29, 2019;
• No later than 11 weeks after the end of each quarterly reporting period, for quarterly periods ending from June 30, 2019 onwards.

Article 3

Minor modifications shall be communicated in a report containing the quantitative and qualitative impacts of the modifications, as well as an approximation of the cumulative quantitative and qualitative effects of the modifications made to the internal model since the last version approved by the supervisory authority.

Article 4

Minor modifications shall be communicated to the General Secretariat of the Prudential Supervision and Resolution Authority in accordance with the procedures defined in Article 3 of Instruction No. 2015-I-32 regarding the transmission of prudential documents to the Prudential Supervision and Resolution Authority by insurance and reinsurance undertakings.

Article 5

This Instruction shall enter into force on January 1, 2016.

Done in Paris, December 17, 2015

For the Insurance Sectoral Sub-College The President, [Bernard DELAS]