Commission Implementing Regulation (EU) 2016/1868 Annex II

Annex II

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Annex II

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ANNEX II

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

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: 1 — Not an infrastructure investment 2 — Infrastructure non-qualifying: Government Guarantee (Government, Central bank, Regional government or local authority) 3 — Infrastructure non-qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority) 4 — Infrastructure non-qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation) 9 — Infrastructure non-qualifying: Other non-qualifying infrastructure loans or investments, not classified under the above categories 12 — Infrastructure qualifying: Government Guarantee (Government, Central bank, Regional government or local authority) 13 — Infrastructure qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority) 14 — Infrastructure qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation) 19 — Infrastructure qualifying: Other qualifying infrastructure investments, not classified in the above categories. 20 — European Long-Term Investment Fund (ELTIF investing in infrastructure assets and ELTIF investing in other — non infrastructure — assets)’

2)	In S.21.02.C0080 the instructions are replaced by the following: ‘Identify the ISO 4217 alphabetic code of the original currency.’.

In S.26.01 — Solvency Capital Requirement — Market risk:

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.’

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.’