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Commission Implementing Regulation (EU) 2016/1868Show full title
Commission Implementing Regulation (EU) 2016/1868 of 20 October 2016 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance)
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Changes over time for: ANNEX II
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Changes and effects yet to be applied to Annex II:
- Regulation power to modify conferred by 2023 c. 29 s. 3 Sch. 1 Pt. 3
- Regulation revoked by 2023 c. 29 Sch. 1 Pt. 3
ANNEX IIU.K.
Annex II to Implementing Regulation (EU) 2015/2450 is amended as follows:
1)
In S.06.02 — List of assets, the instructions of C0300 is replaced by the following:
| ‘C0300 | Infrastructure investment | Identify if the asset is an infrastructure investment as defined in article 1 (55a) and (55b) of Commission Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used:
|
2)
In S.21.02.C0080 the instructions are replaced by the following: ‘Identify the ISO 4217 alphabetic code of the original currency.’.
3)
In S.26.01 — Solvency Capital Requirement — Market risk:
(a)
The following rows are added under Equity risk, under row R0260-R0280/C0040:
| ‘R0290/C0020 | Initial absolute values before shock — Assets — Equity risk — qualifying infrastructure equities | This is the initial absolute value of the assets sensitive to the equity risk for qualifying infrastructure equities. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0290/C0030 | Initial absolute values before shock — Liabilities — Equity risk — qualifying infrastructure equities | This is the initial absolute value of liabilities sensitive to the equity risk for qualifying infrastructure equities. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0290/C0040 | Absolute values after shock — Assets — Equity risk — qualifying infrastructure equities | This is the absolute value of the assets sensitive to equity risk for qualifying infrastructure equities, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0290/C0050 | Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Equity risk — qualifying infrastructure equities | This is the absolute value of liabilities sensitive to equity risk (for qualifying infrastructure equities), after the shock and after the loss absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0290/C0060 | Absolute value after shock — Net solvency capital requirement — Equity risk — qualifying infrastructure equities | This is the net capital charge for equity risk (for qualifying infrastructure equities) after adjustment for the loss absorbing capacity of technical provisions. |
| R0290/C0070 | Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions) — Equity risk — qualifying infrastructure equities | This is the absolute value of the liabilities sensitive to equity risk (for qualifying infrastructure equities), after the shock but before the loss absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0290/C0080 | Absolute value after shock — Gross solvency capital requirement — Equity risk — qualifying infrastructure equities | This is the gross capital charge for equity risk for qualifying infrastructure equities, i.e. before the loss absorbing capacity of technical provisions.’ |
(b)
The following rows are added under Spread risk, in between row R0410/C0080 and R0420/C0060:
| ‘R0411/C0020 | Initial absolute values before shock — Assets — Spread risk — bonds and loans (qualifying infrastructure investments) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investments. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0411/C0030 | Initial absolute values before shock — Liabilities — Spread risk — bonds and loans (qualifying infrastructure investments) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investments. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0411/C0040 | Absolute values after shock — Assets — Spread risk — bonds and loans (qualifying infrastructure investments) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investments, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0411/C0050 | Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Spread risk — bonds and loans (qualifying infrastructure investments) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investments, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0411/C0060 | Absolute value after shock — Net solvency capital requirement — Spread risk — bonds and loans (qualifying infrastructure investments) | This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure investments, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0010/C0010 = 1, this item shall not be reported. |
| R0411/C0070 | Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions) — Spread risk — bonds and loans (qualifying infrastructure investments) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investments, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0411/C0080 | Absolute value after shock — Gross solvency capital requirement — Spread risk — bonds and loans (qualifying infrastructure investments) | This is the gross capital charge for spread risk on bonds and loans that are qualifying infrastructure investments, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0010/C0010 = 1, this item shall not be reported. |
| R0412/C0020 | Initial absolute values before shock — Assets — Spread risk — bonds and loans (other than qualifying infrastructure investments) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investments. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0412/C0030 | Initial absolute values before shock — Liabilities — Spread risk — bonds and loans (other than qualifying infrastructure investments) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investments. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0040 | Absolute values after shock — Assets — Spread risk — bonds and loans (other than qualifying infrastructure investments) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investments, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0412/C0050 | Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Spread risk — bonds and loans (other than qualifying infrastructure investments) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investments, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0060 | Absolute value after shock — Net solvency capital requirement — Spread risk — bonds and loans (other than qualifying infrastructure investments) | This is the net capital charge for spread risk on bonds and loans other than qualifying infrastructure investments, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0010/C0010 = 1, this item shall not be reported. |
| R0412/C0070 | Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions) — Spread risk — bonds and loans (other than qualifying infrastructure investments) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investments, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0080 | Absolute value after shock — Gross solvency capital requirement — Spread risk — bonds and loans (other than qualifying infrastructure investments) | This is the gross capital charge for spread risk on bonds and loans other than qualifying infrastructure investments, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0411 and R0412 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0010/C0010 = 1, this item shall not be reported.’ |
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