Annex I to Commission Implementing Regulation (EU) 2015/2450 is amended as follows:
1) | S.26.01.01 is replaced by the following: ‘S.26.01.01 Solvency Capital Requirement — Market risk Article 112 | Z0010 | | | | | Simplifications used | | C0010 | Simplifications — spread risk — bonds and loans | R0010 | | Captives simplifications — interest rate risk | R0020 | | Captives simplifications — spread risk on bonds and loans | R0030 | | Captives simplifications — market concentration risk | R0040 | |
| | Initial absolute values before shock | Absolute values after shock | | | Assets | Liabilities | Assets | Liabilities (after the loss absorbing capacity of technical provisions) | Net solvency capital requirement | Liabilities (before the loss-absorbing capacity of technical provisions) | Gross solvency capital requirement | Market risk — Basic information | | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | Interest rate risk | R0100 | | | | | | | | interest rate down shock | R0110 | | | | | | | | interest rate up shock | R0120 | | | | | | | | Equity risk | R0200 | | | | | | | | type 1 equities | R0210 | | | | | | | | type 1 equity | R0220 | | | | | | | | strategic participations (type 1 equities) | R0230 | | | | | | | | duration-based (type 1 equities) | R0240 | | | | | | | | type 2 equities | R0250 | | | | | | | | type 2 equity | R0260 | | | | | | | | strategic participations (type 2 equities) | R0270 | | | | | | | | duration-based (type 2 equities) | R0280 | | | | | | | | qualifying infrastructure equities | R0290 | | | | | | | | Property risk | R0300 | | | | | | | |
| | Initial absolute values before shock | Absolute values after shock | | | Assets | Liabilities | Assets | Liabilities (after the loss absorbing capacity of technical provisions) | Net solvency capital requirement | Liabilities (before the loss-absorbing capacity of technical provisions) | Gross solvency capital requirement | Market risk — Basic information | | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | Spread risk | R0400 | | | | | | | | bonds and loans | R0410 | | | | | | | | bonds and loans (qualifying infrastructure investment) | R0411 | | | | | | | | bonds and loans (other than qualifying infrastructure investment) | R0412 | | | | | | | | credit derivatives | R0420 | | | | | | | | downward shock on credit derivatives | R0430 | | | | | | | | upward shock on credit derivatives | R0440 | | | | | | | | Securitisation positions | R0450 | | | | | | | | type 1 securitisations | R0460 | | | | | | | | type 2 securitisations | R0470 | | | | | | | | resecuritisations | R0480 | | | | | | | | Market risk concentrations | R0500 | | | | | | | | Currency risk | R0600 | | | | | | | | increase in the value of the foreign currency | R0610 | | | | | | | | decrease in the value of the foreign currency | R0620 | | | | | | | | Diversification within market risk module | R0700 | | | | | | | | Total market risk | R0800 | | | | | | | ’ |
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2) | S.26.01.04 is replaced by the following: ‘S.26.01.04 Solvency Capital Requirement — Market risk Article 112 | Z0010 | | | | | Simplifications used | | C0010 | Simplifications — spread risk — bonds and loans | R0010 | | Captives simplifications — interest rate risk | R0020 | | Captives simplifications — spread risk on bonds and loans | R0030 | | Captives simplifications — market concentration risk | R0040 | |
| | Initial absolute values before shock | Absolute values after shock | | | Assets | Liabilities | Assets | Liabilities (after the loss absorbing capacity of technical provisions) | Net solvency capital requirement | Liabilities (before the loss-absorbing capacity of technical provisions) | Gross solvency capital requirement | Market risk — Basic information | | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | Interest rate risk | R0100 | | | | | | | | interest rate down shock | R0110 | | | | | | | | interest rate up shock | R0120 | | | | | | | | Equity risk | R0200 | | | | | | | | type 1 equities | R0210 | | | | | | | | type 1 equity | R0220 | | | | | | | | strategic participations (type 1 equities) | R0230 | | | | | | | | duration-based (type 1 equities) | R0240 | | | | | | | | type 2 equities | R0250 | | | | | | | | type 2 equity | R0260 | | | | | | | | strategic participations (type 2 equities) | R0270 | | | | | | | | duration-based (type 2 equities) | R0280 | | | | | | | | qualifying infrastructure equities | R0290 | | | | | | | | Property risk | R0300 | | | | | | | |
| | Initial absolute values before shock | Absolute values after shock | | | Assets | Liabilities | Assets | Liabilities (after the loss absorbing capacity of technical provisions) | Net solvency capital requirement | Liabilities (before the loss-absorbing capacity of technical provisions) | Gross solvency capital requirement | Market risk — Basic information | | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | Spread risk | R0400 | | | | | | | | bonds and loans | R0410 | | | | | | | | bonds and loans (qualifying infrastructure investment) | R0411 | | | | | | | | bonds and loans (other than qualifying infrastructure investment) | R0412 | | | | | | | | credit derivatives | R0420 | | | | | | | | downward shock on credit derivatives | R0430 | | | | | | | | upward shock on credit derivatives | R0440 | | | | | | | | Securitisation positions | R0450 | | | | | | | | type 1 securitisations | R0460 | | | | | | | | type 2 securitisations | R0470 | | | | | | | | resecuritisations | R0480 | | | | | | | | Market risk concentrations | R0500 | | | | | | | | Currency risk | R0600 | | | | | | | | increase in the value of the foreign currency | R0610 | | | | | | | | decrease in the value of the foreign currency | R0620 | | | | | | | | Diversification within market risk module | R0700 | | | | | | | | Total market risk | R0800 | | | | | | | ’ |
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3) | SR.26.01.01 is replaced by the following: ‘SR.26.01.01 Solvency Capital Requirement — Market risk Article 112 | Z0010 | | Ring Fenced Fund/Matching adjustment portfolio or remaining part | Z0020 | | Fund/Portfolio number | Z0030 | | | | | Simplifications used | | C0010 | Simplifications — spread risk — bonds and loans | R0010 | | Captives simplifications — interest rate risk | R0020 | | Captives simplifications — spread risk on bonds and loans | R0030 | | Captives simplifications — market concentration risk | R0040 | |
| | Initial absolute values before shock | Absolute values after shock | | | Assets | Liabilities | Assets | Liabilities (after the loss absorbing capacity of technical provisions) | Net solvency capital requirement | Liabilities (before the loss-absorbing capacity of technical provisions) | Gross solvency capital requirement | Market risk — Basic information | | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | Interest rate risk | R0100 | | | | | | | | interest rate down shock | R0110 | | | | | | | | interest rate up shock | R0120 | | | | | | | | Equity risk | R0200 | | | | | | | | type 1 equities | R0210 | | | | | | | | type 1 equity | R0220 | | | | | | | | strategic participations (type 1 equities) | R0230 | | | | | | | | duration-based (type 1 equities) | R0240 | | | | | | | | type 2 equities | R0250 | | | | | | | | type 2 equity | R0260 | | | | | | | | strategic participations (type 2 equities) | R0270 | | | | | | | | duration-based (type 2 equities) | R0280 | | | | | | | | qualifying infrastructure equities | R0290 | | | | | | | | Property risk | R0300 | | | | | | | |
| | Initial absolute values before shock | Absolute values after shock | | | Assets | Liabilities | Assets | Liabilities (after the loss absorbing capacity of technical provisions) | Net solvency capital requirement | Liabilities (before the loss-absorbing capacity of technical provisions) | Gross solvency capital requirement | Market risk — Basic information | | C0020 | C0030 | C0040 | C0050 | C0060 | C0070 | C0080 | Spread risk | R0400 | | | | | | | | bonds and loans | R0410 | | | | | | | | bonds and loans (qualifying infrastructure investment) | R0411 | | | | | | | | bonds and loans (other than qualifying infrastructure investment) | R0412 | | | | | | | | credit derivatives | R0420 | | | | | | | | downward shock on credit derivatives | R0430 | | | | | | | | upward shock on credit derivatives | R0440 | | | | | | | | Securitisation positions | R0450 | | | | | | | | type 1 securitisations | R0460 | | | | | | | | type 2 securitisations | R0470 | | | | | | | | resecuritisations | R0480 | | | | | | | | Market risk concentrations | R0500 | | | | | | | | Currency risk | R0600 | | | | | | | | increase in the value of the foreign currency | R0610 | | | | | | | | decrease in the value of the foreign currency | R0620 | | | | | | | | Diversification within market risk module | R0700 | | | | | | | | Total market risk | R0800 | | | | | | | ’ |
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