Solvency II Corrected: What Insurers Must Review in Their Capital Models

Key data

European insurers have a pending task following the publication, on 14 July 2026, of the fourteenth correction of errors in the Delegated Regulation (EU) 2015/35, the technical standard that implements the Solvency II Directive. The official reference is CELEX:32015R0035R(14).

This is not a policy change, but rather a correction of errata in the current regulatory text. However, if an insurer has been applying the incorrect parameters, its solvency calculations may be off, with the supervisory consequences that entails.

What does this regulation establish?

Delegated Regulation (EU) 2015/35 is the technical standard of reference that develops in detail the Solvency II Directive (2009/138/CE). It regulates how insurers must calculate their capital requirements, value assets and liabilities, and establish technical provisions.

This correction of errors — the fourteenth since the original publication — corrects errata that may have affected the following key areas:

The correction does not introduce new substantive obligations, but does require verification that ongoing calculations have been performed with the correct parameters and not those containing errata.

Economic and operational impact

The actual impact depends on which specific errata have been corrected and whether the entity applied them incorrectly. Actuarial departments must evaluate case by case. However, the areas of operational risk are clear:

• SCR recalibration: If the corrected parameters affect the solvency capital requirement, the entity may have a real SCR different from the one declared, with possible capital deficit or excess immobilization.
• Review of economic balance: Errata in criteria for valuing assets or liabilities may alter the published solvency coverage ratio.
• Technical provisions: A provision miscalculated by applying incorrect parameters may result in insufficient reserves, one of the most serious breaches under Solvency II.
• Cost of internal review: The review of models and calculations has an actuarial and compliance cost that entities must budget for.
• Supervisory risk: The DGSFP in Spain may issue requirements if it detects that an entity has not adapted its calculations to the correct parameters.

Who does it affect?

• Life and non-life insurance companies operating under the Solvency II regime in the European Union.
• Reinsurance companies subject to the same regulatory framework.
• Actuarial departments responsible for calculating the SCR, technical provisions and valuation of the economic balance.
• Compliance departments that must ensure correct application of the regulation.
• Chief Financial Officers (CFO) and Chief Risk Officers (CRO) of insurers, who are accountable to the supervisor for proper solvency capital coverage.
• Insurance groups with presence in several EU countries, which must apply the correction consistently across all their entities.

Entities below the Solvency II threshold (simplified Solvency I regime) are not directly affected by this correction.

Practical example

A Spanish life insurance company with a standard model calculates its SCR quarterly using the parameters of Delegated Regulation (EU) 2015/35. If any of the parameters corrected in this errata affected, for example, the longevity risk module or the calculation of the best estimate of provisions, the SCR declared to the DGSFP could be off from the correct value.

The actuarial department must identify which articles or annexes of the regulation have been corrected, compare the previous parameters with the corrected ones, recalculate the affected modules and, if the result differs materially, notify the correction to the supervisor and include it in the next solvency report (SFCR or RSR).

If the entity has an internal model approved by the DGSFP, it must additionally verify whether the correction affects the approved calibrations and whether it is necessary to communicate any minor modification to the supervisor.

What should companies do now?

1. Locate the correction text: Access the full text of CELEX:32015R0035R(14) on EUR-Lex to identify exactly which articles and parameters have been corrected.
2. Assign the review to the actuarial department: The actuarial team must compare the corrected parameters with those currently being applied in the SCR calculation models, provisions and valuation of assets and liabilities.
3. Evaluate material impact: Determine whether the corrections significantly alter the solvency coverage ratio or the amounts of technical provisions declared.
4. Update models and systems: Incorporate the corrected parameters into actuarial calculation systems and regulatory reporting.
5. Review compliance documentation: Update internal procedures, the ORSA and any documentation that references the affected parameters.
6. Consider communication with the supervisor: If the impact is material, consult with the legal and compliance department to determine whether it should be communicated proactively to the DGSFP before the next periodic report.

Official source

Consult complete regulation at official source

Disclaimer: This article is for informational purposes only and does not constitute legal advice. For specific decisions, consult a qualified professional. Source: https://eur-lex.europa.eu/./legal-content/AUTO/?uri=CELEX:32015R0035R(14)