Annex I
United Kingdom
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 ’
- 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 ’
- 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 ’