(fra kommisjonsforordningen)

(1) The criteria that supervisory authorities should take into account when determining which insurance or reinsurance undertakings and groups should be requested to consider and analyse whether their activities may affect the macroeconomic and financial markets’ developments and have the potential to turn into sources of systemic risk, as referred to in Article 45(1), second subparagraph, point (e)(ii), of Directive 2009/138/EC, should be in line with the most recent approaches to assess the macroprudential relevance of insurance and reinsurance undertakings. Specifically, those criteria should be inspired by the insurance core principles adopted by the International Association of Insurance Supervisors in its Holistic Framework for the assessment and mitigation of systemic risk in the insurance sector, endorsed at international level by supervisory authorities. 

(2) To identify insurance or reinsurance undertakings and groups that due to their size are more important from a financial stability perspective, quantitative criteria should be used as a priority. To strike a balance between the need, on the one hand, for financial stability monitoring and, on the other hand, for burden reduction, the quantitative criteria should be based on a threshold for total assets of EUR 20 000 000 000, which ensures sufficient market coverage both at Union and national level. 

(3) To identify additional insurance or reinsurance undertakings and groups that have not been captured by the application of the quantitative criteria, but for which their additional macroeconomic analyses in the own risk and solvency assessment, as referred to in Article 45(1), second subparagraph, point (e), of Directive 2009/138/EC, and incorporation of macroprudential considerations as part of the prudent person principle, referred to in Article 132(6) of Directive 2009/138/EC, might be needed due to their risk profile, qualitative criteria should be used. Where the application of those qualitative criteria reveals that insurance or reinsurance undertakings and groups meeting the threshold for total assets of EUR 20 000 000 000 are not materially vulnerable to systemic risk, supervisory authorities should consider not to request those undertakings or groups to carry out the additional macroprudential analyses in the own risk and solvency assessment and to incorporate macroprudential considerations in the prudent person principle. 

(4) To ensure consistency with the framework of the recovery and resolution of insurance and reinsurance undertakings, as laid down in Directive (EU) 2025/1 of the European Parliament and of the Council, the specifications of the criteria of substitutability in a cross-border context and of interconnectedness that supervisory authorities should take into account should be the same as the specifications laid down in the delegated regulation adopted pursuant to Article 5(12), point (a), of that Directive.

(5) To ensure a proportionate and risk-based liquidity risk management plan, insurance or reinsurance undertakings and groups should provide the results of their own liquidity analysis in the liquidity risk management plan in accordance with the system of governance and risk management requirements laid down in Articles 41(3) and 44(2) of Directive 2009/138/EC. Moreover, liquidity risk management plans should take into account the governance requirements laid down in Article 259(1), point (a) and Article 260(1), point (d), of Commission Delegated Regulation (EU) 2015/35, and be based on the insurance core principles on liquidity risk management of the International Association of Insurance Supervisors. 

(6) The specification of the criteria for identifying insurance or reinsurance undertakings and groups which should also cover liquidity analysis over the medium and long term in the liquidity risk management plan requires a common understanding of the timeframes over which short-, medium- and long-term liquidity risks may materialise. To recognise the specific business model of insurance or reinsurance undertakings and groups compared to other financial institutions, the liquidity analysis over the short term should span a period of up to three months, whereas the liquidity analysis over the medium and long term should cover a period beyond three months. 

(7) To adequately capture the undertakings that may be exposed to material medium and long-term liquidity risks due to their structure or their risk profile, the criteria to be taken into account when identifying the insurance or reinsurance undertakings and groups that are to be requested to extend the liquidity risk management plan to cover also liquidity analysis over the medium and long-term should be both quantitative and qualitative. Those criteria should be proportionate to the nature, scale, and complexity of the risks involved, and they should support supervisory convergence. 

(8) As for the macroprudential analyses, to identify insurance or reinsurance undertakings and groups that due to their size are requested to draw up and maintain a liquidity risk management plan covering liquidity analysis over the medium and long term, quantitative criteria should be used as a priority given that size is considered to be a liquidity risk amplifier. To strike a balance between the needs of financial stability monitoring and burden reduction, the quantitative criteria should be based on a threshold for total assets of EUR 20 000 000 000, which ensures sufficient market coverage both at Union and national level. 

(9) To identify additional insurance or reinsurance undertakings and groups that have not been captured by the application of quantitative criteria but which due to their risk profile may be prone to liquidity risks over the medium and long term, qualitative criteria should be used. The application of the qualitative criteria should also enable the supervisory authorities to identify insurance or reinsurance undertakings and groups that have been captured by the application of the quantitative criteria, but for which the assessment of the nature, scale, and complexity of liquidity related risks reveals that they are not materially vulnerable to medium and long-term liquidity risk and as such should not to be requested to include medium to long-term liquidity analysis in their liquidity risk management plans. 

(10) Depending on the group’s structure and liquidity risk profile, the liquidity risk management plan over the medium and long term at group level may adequately capture the liquidity vulnerabilities of certain related insurance and reinsurance undertakings within the group, in particular where their individual liquidity risk profile is not material or is appropriately reflected in the group-wide assessment. Therefore, the requirement to have a liquidity risk management plan over the medium and long term at group level should not systematically imply the need for a separate liquidity risk management plan over the medium and long term for each related insurance or reinsurance undertaking within the group, and reciprocally. 

(11) The liquidity risk management plans should be easily accessible and comparable, in particular for the administrative, management or supervisory body of these undertakings and for the supervisory authorities. They should therefore follow a common structure. 

(12) Article 144a(5) of Directive 2009/138/EC allows insurance and reinsurance undertakings that apply the matching adjustment or the volatility adjustment to combine the liquidity risk management plan with the liquidity plan referred to in Article 44(2) of that Directive in relation to the assets and liabilities subject to those adjustments. The common structure of both plans should therefore be sufficiently flexible. To provide the readers of the liquidity risk management plan, including the supervisory authority, with a synthesis of the different components of the liquidity analysis, the liquidity risk management plan should start with an overall assessment of the adequacy of liquidity to settle obligations when they fall due. 

(13) A description of the assumptions underlying the projections of incoming and outgoing cash flows, notably specifying the material sources of liquidity risk to which the undertaking is exposed, enhances the readers’ insights in the risk profile of insurance and reinsurance undertakings and contributes to the understanding of the liquidity risk management plan. Insurance and reinsurance undertakings should therefore provide information on these assumptions, both on an ongoing basis and under stressed conditions. For the same reason, the liquidity risk management plan should also describe the sources of liquidity risk considered, which may include margin and collateral calls on derivatives, securities financing transactions and other exposures, redemptions by policy holders, potential natural and man-made catastrophes and a deterioration of the insurance and reinsurance undertakings’ credit standing, and should specify the size of the shocks assumed in the stress tests and scenario analysis. 

(14) Insurance and reinsurance undertakings should use time horizons in the projections of incoming and outgoing cash flows that effectively capture their liquidity risk profile and the timing of their liquidity needs, which may include horizons expressed in days for daily margin and collateral calls. As a consequence, they should provide in the liquidity risk management plan the results of the cash flow projections for one or more time horizons within the short term and, where applicable, the medium and long term. 

(15) Liquidity risk on parts of the assets and liabilities may be borne by the policyholders and parts of the assets and liabilities may be ring-fenced, including in funds with life insurance obligations with profit participation, so that those assets are not available to provide liquidity to other parts of the insurance or reinsurance undertaking. Therefore, in the liquidity risk management plan, insurance and reinsurance undertakings should present the results of the cash flow projections separately for assets and liabilities relating to index-linked and unit-linked obligations and ring-fenced funds, including matching adjustment portfolios. For the same reason, insurance and reinsurance undertakings should also identify any internal liquidity restrictions and provide an assessment of whether those internal liquidity restrictions are complied with. 

(16) The results of the cash flow projections should provide the readers of the liquidity risk management plan, including the supervisory authorities, insight in the main drivers of the development of incoming and outgoing cash flows, the reliance on the buffers of liquid assets and other sources of liquidity to absorb any shortfalls, and the effectiveness of potential supervisory measures to restore the liquidity position of insurance and reinsurance undertakings. The liquidity risk management plan should therefore contain a breakdown of the projections of incoming and outgoing cash flows on an ongoing basis and under stressed conditions. The cash flow items to be distinguished should cover the main cash inflows and outflows of insurance and reinsurance undertakings, cash outflows that constitute important sources of liquidity risk, including margin and collateral calls, cash inflows originating from the buffers of liquid assets and other sources of liquidity, including unsecured funding, and the outgoing cash flows that supervisory authorities can temporarily restrict or suspend to remedy liquidity vulnerabilities in exceptional circumstances, in accordance with Article 144b(3) of Directive 2009/138/EC. To ensure a proportionate and risk-based approach, insurance and reinsurance undertakings should provide the prescribed cash flow items for the projections on an ongoing basis, and for the projections under stressed conditions only where those items change materially. 

(17) Insurance and reinsurance undertakings should maintain adequate liquidity to settle their financial obligations towards policyholders and other counterparties when they fall due, even under stressed conditions. The liquidity risk management plan should therefore contain a breakdown of the buffers of liquid assets and of the assumed haircuts, which should correspond to the loss in the value of the assets when the assets are transformed into liquidity under stressed conditions within the timeframe corresponding to the liquidity needs. That breakdown should be accompanied by an assessment of the reliability of the assets in providing liquidity, of the operational capacity of the insurance or reinsurance undertaking to convert assets into liquidity, and of the availability of arrangements with counterparties, also in stressed circumstances, to transform liquid assets into liquidity and to provide other sources of liquidity. 

(18) The liquidity risk management plan should contain the latest values of the insurance and reinsurance undertakings’ liquidity risk indicators, together with a description and explanation of their appropriateness. Although the liquidity risk indicators should be the insurance and reinsurance undertakings’ own indicators, reflecting their specificities and liquidity risk profile, it is important to ensure that the indicators convey relevant information on the insurance and reinsurance undertakings’ liquidity position. Therefore, the liquidity risk management plan should include indicators that signal whether liquidity exposures are within the insurance and reinsurance undertakings’ approved risk tolerance limits and that compare liquidity resources and needs under normal and stressed conditions, including the commonly used liquidity coverage ratio and the excess liquidity metric. 

(19) The updating of the liquidity risk management plan ensures that the plan contains current and relevant information, but disproportionate costs of updating the content too frequently should be avoided. The liquidity risk management plan should therefore be updated annually, or more frequently to capture any significant fluctuations in liquidity risk exposures throughout the year. The liquidity risk management plan should also be updated following a significant change in the liquidity risk profile of the undertaking, or any major external development affecting significantly the relevance of the content of the liquidity risk management plan. 

(20) To mitigate any threats to the liquidity position of the group, participating insurance and reinsurance undertakings, insurance holding companies and mixed financial holding companies should describe in the liquidity risk management plan at group level the impacts of all significant intra-group transactions and risk concentrations. 

(21) Liquidity is not always freely transferable within a group when needed. Participating insurance and reinsurance undertakings, insurance holding companies or mixed financial holding companies should therefore ensure that the impacts described in the liquidity risk management plan at group level include any restrictions of transfer of liquidity within the group on an ongoing basis and under stressed conditions. 

(22) Under current rules, supervisory authorities across the Union are not endowed with suitable instruments to consider insurers’ macroprudential footprint concerning their qualitative risk management tools and investment decisions. The financial crisis of 2008 revealed weaknesses in coping with systemic risk, which triggered a macroprudential overhaul of the financial regulation. Article 144d (1), points (a), (b) and (c), Article 144d(2), and Article 246a(4) of Directive 2009/138/EC empower the Commission to adopt regulatory technical standards to specify criteria to determine when insurance or reinsurance undertakings and groups are to be requested to incorporate macroprudential considerations into the own risk and solvency assessment and the prudent person principle, to draw up and maintain a liquidity risk management plan covering liquidity analysis over the medium and long term, and to specify the content and the frequency of update of the liquidity risk management plans both at solo and group level. By harmonising supervisory practices and framing public authorities’ discretion, those criteria aim at supporting effective macroprudential supervision for insurance, reinsurance undertakings and groups, thereby contributing to the protection of policyholders. It is therefore necessary to include those regulatory technical standards in a single delegated regulation. 

(23) This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Insurance and Occupational Pensions Authority. 

(24) The European Insurance and Occupational Pensions Authority has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Insurance and Reinsurance Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1094/2010 of the European Parliament and of the Council,