Commission Implementing Regulation (EU) 2019/2103 of 27 November 2019 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 in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance) (c. 2103)

ANNEX I U.K.

Annex I to Implementing Regulation (EU) 2015/2450 is amended as follows:

(1)

in template S.06.02.01, the following column is inserted between columns C0290 and C0300:

‘SCR calculation approach for CIU

C0292’

(2)

in template S.25.01.01, the following tables are added:

‘Approach to tax rate

		Yes/No
		C0109
Approach based on average tax rate	R0590

Calculation of the adjustment for the loss-absorbing capacity of deferred taxes (voluntary information until 31 December 2019, compulsory as from 1 January 2020)

		Before the shock	After the shock	LAC DT
		C0110	C0120	C0130
DTA	R0600
DTA carry forward	R0610
DTA due to deductible temporary differences	R0620
DTL	R0630
LAC DT	R0640
LAC DT justified by reversion of deferred tax liabilities	R0650
LAC DT justified by reference to probable future taxable economic profit	R0660
LAC DT justified by carry back, current year	R0670
LAC DT justified by carry back, future years	R0680
Maximum LAC DT	R0690’

(3)

in template SR.25.01.01, the following tables are added:

‘Approach to tax rate

		Yes/No
		C0109
Approach based on average tax rate	R0590

Calculation of the adjustment for the loss-absorbing capacity of deferred taxes (voluntary information until 31 December 2019, compulsory from 1 January 2020)

		Before the shock	After the shock	LAC DT
		C0110	C0120	C0130
DTA	R0600
DTA carry forward	R0610
DTA due to deductible temporary differences	R0620
DTL	R0630
LAC DT	R0640
LAC DT justified by reversion of deferred tax liabilities	R0650
LAC DT justified by reference to probable future taxable economic profit	R0660
LAC DT justified by carry back, current year	R0670
LAC DT justified by carry back, future years	R0680
Maximum LAC DT	R0690’

(4)

in template S.25.02.01, the following tables are added:

‘Approach to tax rate

		Yes/No
		C0109
Approach based on average tax rate	R0590

Calculation of the adjustment for the loss-absorbing capacity of deferred taxes (voluntary information until 31 December 2019, compulsory as from 1 January 2020)

		Before the shock	After the shock	LAC DT
		C0110	C0120	C0130
DTA	R0600
DTA carry forward	R0610
DTA due to deductible temporary differences	R0620
DTL	R0630
Amount/estimate of LAC DT	R0640
Amount/estimate of LAC DT justified by reversion of deferred tax liabilities	R0650
Amount/estimate of LAC DT justified by reference to probable future taxable economic profit	R0660
Amount/estimate of LAC DT justified by carry back, current year	R0670
Amount/estimate of LAC DT justified by carry back, future years	R0680
Amount/estimate of Maximum LAC DT	R0690’

(5)

in template SR.25.02.01, the following tables are added:

‘Approach to tax rate

		Yes/No
		C0109
Approach based on average tax rate	R0590

Calculation of the adjustment for the loss-absorbing capacity of deferred taxes (voluntary information until 31 December 2019, compulsory as from 1 January 2020)

		Before the shock	After the shock	LAC DT
		C0110	C0120	C0130
DTA	R0600
DTA carry forward	R0610
DTA due to deductible temporary differences	R0620
DTL	R0630
Amount/estimate of LAC DT	R0640
Amount/estimate of LAC DT justified by reversion of deferred tax liabilities	R0650
Amount/estimate of LAC DT justified by reference to probable future taxable economic profit	R0660
Amount/estimate of LAC DT justified by carry back, current year	R0670
Amount/estimate of LAC DT justified by carry back, future years	R0680
Amount/estimate of Maximum LAC DT	R0690’

(6)

in template S.25.03.01, the following tables are added:

‘Approach to tax rate

		Yes/No
		C0109
Approach based on average tax rate	R0590

Calculation of the adjustment for the loss-absorbing capacity of deferred taxes (voluntary information until 31 December 2019, compulsory as from 1 January 2020)

		Before the shock	After the shock	LAC DT
		C0110	C0120	C0130
DTA	R0600
DTA carry forward	R0610
DTA due to deductible temporary differences	R0620
DTL	R0630
Amount/estimate of LAC DT	R0640
Amount/estimate of LAC DT justified by reversion of deferred tax liabilities	R0650
Amount/estimate of LAC DT justified by reference to probable future taxable economic profit	R0660
Amount/estimate of LAC DT justified by carry back, current year	R0670
Amount/estimate of LAC DT justified by carry back, future years	R0680
Amount/estimate of Maximum LAC DT	R0690’

(7)

in template SR.25.03.01, the following tables are added:

‘Approach to tax rate

		Yes/No
		C0109
Approach based on average tax rate	R0590

Calculation of the adjustment for the loss-absorbing capacity of deferred taxes (voluntary information until 31 December 2019, compulsory as from 1 January 2020)

		Before the shock	After the shock	LAC DT
		C0110	C0120	C0130
DTA	R0600
DTA carry forward	R0610
DTA due to deductible temporary differences	R0620
DTL	R0630
Amount/estimate of LAC DT	R0640
Amount/estimate of LAC DT justified by reversion of deferred tax liabilities	R0650
Amount/estimate of LAC DT justified by reference to probable future taxable economic profit	R0660
Amount/estimate of LAC DT justified by carry back, current year	R0670
Amount/estimate of LAC DT justified by carry back, future years	R0680
Maximum LAC DT	R0690’

(8)

template S.26.01.01 is amended as follows:

(a)

row R0010 is deleted;

(b)

the following rows are inserted before row R0020:

‘Simplifications spread risk – bonds and loans	R0012
Simplifications market risk concentration– simplifications used	R0014’

(c)

row R0220 is replaced by the following:

‘Type 1 equity other than long-term

R0221’

(d)

the following row R0231 is inserted after R0230:

‘Long-term equity investments (type 1 equities)

R0231’

(e)

row R0260 is replaced by the following:

‘Type 2 equity other than long-term

R0261’

(f)

the following row R0271 is inserted after R0270:

‘Long-term equity investments (type 2 equities)

R0271’

(g)

the following rows are inserted between rows R0291 and R0292:

‘qualifying infrastructure corporate equities, other than strategic and long-term	R0293
strategic participations (qualifying infrastructure corporate equities)	R0294
Long-term equity investments (qualifying infrastructure corporate equities)	R0295’

(h)

the following rows are inserted between rows R0292 and R0300:

‘qualifying infrastructure equities other than corporate equities, other than strategic and long-term	R0296
strategic participations (qualifying infrastructure equities other than corporate equities)	R0297
Long-term equity investments (qualifying infrastructure equities other than corporate equities)	R0298’

(i)

rows R0460 and R0470 are deleted;

(j)

the following rows are inserted between rows R0450 and R0480:

‘Senior STS securitisation	R0461
Non-senior STS securitisation	R0462’

(k)

the following rows are inserted between row R0480 and R0500:

‘Other securitisation	R0481
Transitional type 1 securitisation	R0482
Guaranteed STS securitisation	R0483’

(9)

template S.26.01.04 is amended as follows:

(a)

row R0010 is deleted;

(b)

the following rows are inserted before row R0020:

‘Simplifications spread risk – bonds and loans	R0012
Simplifications market risk concentration – simplifications used	R0014’

(c)

row R0220 is replaced by the following:

‘Type 1 equity other than long-term

R0221’

(d)

the following row R0231 is inserted after row R0230:

‘Long-term equity investments (type 1 equities)

R0231’

(e)

row R0260 is replaced by the following:

‘Type 2 equity other than long-term

R0261’

(f)

the following row R0271 is inserted after row R0270:

‘Long-term equity investments (type 2 equities)

R0271’

(g)

the following rows are inserted between rows R0291 and R0292:

‘qualifying infrastructure corporate equities, other than strategic and long-term	R0293
strategic participations (qualifying infrastructure corporate equities)	R0294
Long-term equity investments (qualifying infrastructure corporate equities)	R0295’

(h)

the following rows are inserted between rows R0292 and R0300:

‘qualifying infrastructure equities other than corporate equities, other than strategic and long-term	R0296
strategic participations (qualifying infrastructure equities other than corporate equities)	R0297
Long-term equity investments (qualifying infrastructure equities other than corporate equities)	R0298’

(i)

rows R0460 and R0470 are deleted;

(j)

the following rows are inserted between rows R0450 and R0480:

‘Senior STS securitisation	R0461
Non-senior STS securitisation	R0462’

(k)

the following rows are inserted between rows R0480 and R0500:

‘Other securitisation	R0481
Transitional type 1 securitisation	R0482
Guaranteed STS securitisation	R0483’

(l)

the following table is added:

‘Currency used as a reference to calculate the currency risk

		C0090
Currency used as a reference to calculate the currency risk	R0810’

(10)

template SR.26.01.01 is amended as follows:

(a)

row R0010 is deleted;

(b)

the following rows are inserted before row R0020:

‘Simplifications spread risk – bonds and loans	R0012
Simplifications market risk concentration – simplifications used	R0014’

(c)

row R0220 is replaced by the following:

‘Type 1 equity other than long-term

R0221’

(d)

the following row R0231 is inserted after R0230:

‘Long-term equity investments (type 1 equities)

R0231’

(e)

row R0260 is replaced by the following:

‘Type 2 equity other than long-term

R0261’

(f)

the following row R0271 is inserted after row R0270:

‘Long-term equity investments (type 2 equities)

R0271’

(g)

the following rows are inserted between rows R0291 and R0292:

‘qualifying infrastructure corporate equities, other than strategic and long-term	R0293
strategic participations (qualifying infrastructure corporate equities)	R0294
Long-term equity investments (qualifying infrastructure corporate equities)	R0295’

(h)

the following rows are inserted between rows R0292 and R0300:

‘qualifying infrastructure equities other than corporate equities, other than strategic and long-term	R0296
strategic participations (qualifying infrastructure equities other than corporate equities)	R0297
Long-term equity investments (qualifying infrastructure equities other than corporate equities)	R0298’

(i)

rows R0460 and R0470 are deleted;

(j)

the following rows are inserted between rows R0450 and R0480:

‘Senior STS securitisation	R0461
Non-senior STS securitisation	R0462’

(k)

the following rows are inserted between row R0480 and R0500:

‘Other securitisation	R0481
Transitional type 1 securitisation	R0482
Guaranteed STS securitisation	R0483’

(11)

in template S.26.04.01, the following row is inserted after row R0050:

‘Simplifications — NSLT lapse risk

R0051’

(12)

in template S.26.04.04 the following row is inserted after row R0050:

‘Simplifications — NSLT lapse risk

R0051’

(13)

in template SR.26.04.01, the following row is inserted after row R0050:

‘Simplifications — NSLT lapse risk

R0051’

(14)

in template S.26.05.01, the following row is inserted after row R0010:

‘Simplifications used – non-life lapse risk

R0011’

(15)

in template S.26.05.04, the following row is inserted after row R0010:

‘Simplifications used – non-life lapse risk

R0011’

(16)

in template SR.26.05.01, the following row is inserted after row R0010:

‘Simplifications used – non-life lapse risk

R0011’

(17)

in template S.26.07.01 the following tables are added:

‘Market risk — Market risk concentration

		C0300
Debt portfolio share	R0300

NAT CAT simplifications

		Chosen risk weight	Sum of exposure
		C0320	C0330
Windstorm	R0400
Hail	R0410
Earthquake	R0420
Flood	R0430
Subsidence	R0440’

(18)

in template S.26.07.04, the following tables are added:

‘Market risk — Market risk concentration

		C0300
Debt portfolio share	R0300

NAT CAT simplifications

		Chosen risk weight	Sum of exposure
		C0320	C0330
Windstorm	R0400
Hail	R0410
Earthquake	R0420
Flood	R0430
Subsidence	R0440’

(19)

in template SR.26.07.01, the following tables are added:

‘Market risk — Market risk concentration

		C0300
Debt portfolio share	R0300

NAT CAT simplifications

		Chosen risk weight	Sum of exposure
		C0320	C0330
Windstorm	R0400
Hail	R0410
Earthquake	R0420
Flood	R0430
Subsidence	R0440’

(20)

template S.27.01.01 is amended as follows:

(a)

the following table is inserted after the title of the template:

‘Simplifications used

		Simplifications used
		C0001
Simplifications used – fire risk	R0001
Simplifications used – natural catastrophe risk	R0002’

(b)

the following row is inserted between rows R0440 and R0450:

‘Republic of Slovenia

R0441’

(c)

the following row is inserted between rows R0460 and R0470:

‘Republic of Hungary

R0461’

(d)

the following row is inserted between rows R0520 and R0530:

‘Republic of Finland

R0521’

(e)

the following row is inserted between rows R1640 and R1650:

‘Czech Republic

R1641’

(f)

the following row is inserted between rows R1700 and R1710:

‘Republic of Slovenia

R1701’

(g)

the following table is inserted after row R2420:

‘Number of vessels

		Number
		C0781
Number of vessels below the threshold of EUR 250k	R2421’

(h)

columns C1210, C1220 and C1340 (‘Disability 10 years’) are deleted;

(21)

template S.27.01.04 is amended as follows:

(a)

the following table is inserted before row R0010:

‘Simplifications used

		Simplifications used
		C0001
Simplifications used – fire risk	R0001
Simplifications used – natural catastrophe risk	R0002’

(b)

the following row is inserted between rows R0440 and R0450:

‘Republic of Slovenia

R0441’

(c)

the following row is inserted between rows R0460 and R0470:

‘Republic of Hungary

R0461’

(d)

the following row is inserted between rows R0520 and R0530:

‘Republic of Finland

R0521’

(e)

the following row is inserted between rows R1640 and R1650:

‘Czech Republic

R01641’

(f)

the following row is inserted between rows R1700 and R1710:

‘Republic of Slovenia

R01701’

(g)

the following table inserted after row R2420:

‘Number of vessels

		Number
		C0781
Number of vessels below the threshold of EUR 250k	R2421’

(h)

columns C1210, C1220 and C1340 (‘Disability 10 years’) are deleted;

(22)

template SR.27.01.01 is amended as follows:

(a)

the following table is inserted before row R0010:

‘Simplifications used

		Simplifications used
		C0001
Simplifications used – fire risk	R0001
Simplifications used – natural catastrophe risk	R0002’

(b)

the following row R0441 is inserted between rows R0440 and R0450:

‘Republic of Slovenia

R0441’

(c)

the following row R0461 is inserted between rows R0460 and R0470:

‘Republic of Hungary

R0461’

(d)

the following row R0521 is inserted between rows R0520 and R0530:

‘Republic of Finland

R0521’

(e)

the following row is inserted between rows R1640 and R1650:

‘Czech Republic

R01641’

(f)

the following row is inserted between rows R1700 and R1710:

‘Republic of Slovenia

R01701’

(g)

the following table is inserted after row R2420:

‘Number of vessels

		Number
		C0781
Number of vessels below the threshold of EUR 250k	R2421’

(h)

columns C1210, C1220 and C1340 (‘Disability 10 years’) are deleted.