{
  "url": "https://openlegislation.uk/eu-regulation-2016-1868/annex-I",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-1868/annex-I.json",
  "legislation": "eur/2016/1868",
  "legislation_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)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2016-1868",
  "path": "annex/I",
  "kind": "annex",
  "number": "I",
  "heading": null,
  "text": "Annex I to Commission Implementing Regulation (EU) 2015/2450 is amended as follows:\n1)) S.26.01.01 is replaced by the following:\n‘\nS.26.01.01\nSolvency Capital Requirement — Market risk\nArticle 112\nZ0010\nSimplifications used\nC0010\nSimplifications — spread risk — bonds and loans\nR0010\nCaptives simplifications — interest rate risk\nR0020\nCaptives simplifications — spread risk on bonds and loans\nR0030\nCaptives simplifications — market concentration risk\nR0040\nInitial absolute values before shock\nAbsolute values after shock\nAssets\nLiabilities\nAssets\nLiabilities (after the loss absorbing capacity of technical provisions)\nNet solvency capital requirement\nLiabilities (before the loss-absorbing capacity of technical provisions)\nGross solvency capital requirement\nMarket risk — Basic information\nC0020\nC0030\nC0040\nC0050\nC0060\nC0070\nC0080\nInterest rate risk\nR0100\ninterest rate down shock\nR0110\ninterest rate up shock\nR0120\nEquity risk\nR0200\ntype 1 equities\nR0210\ntype 1 equity\nR0220\nstrategic participations (type 1 equities)\nR0230\nduration-based (type 1 equities)\nR0240\ntype 2 equities\nR0250\ntype 2 equity\nR0260\nstrategic participations (type 2 equities)\nR0270\nduration-based (type 2 equities)\nR0280\nqualifying infrastructure equities\nR0290\nProperty risk\nR0300\nInitial absolute values before shock\nAbsolute values after shock\nAssets\nLiabilities\nAssets\nLiabilities (after the loss absorbing capacity of technical provisions)\nNet solvency capital requirement\nLiabilities (before the loss-absorbing capacity of technical provisions)\nGross solvency capital requirement\nMarket risk — Basic information\nC0020\nC0030\nC0040\nC0050\nC0060\nC0070\nC0080\nSpread risk\nR0400\nbonds and loans\nR0410\nbonds and loans (qualifying infrastructure investment)\nR0411\nbonds and loans (other than qualifying infrastructure investment)\nR0412\ncredit derivatives\nR0420\ndownward shock on credit derivatives\nR0430\nupward shock on credit derivatives\nR0440\nSecuritisation positions\nR0450\ntype 1 securitisations\nR0460\ntype 2 securitisations\nR0470\nresecuritisations\nR0480\nMarket risk concentrations\nR0500\nCurrency risk\nR0600\nincrease in the value of the foreign currency\nR0610\ndecrease in the value of the foreign currency\nR0620\nDiversification within market risk module\nR0700\nTotal market risk\nR0800\n’\n2)) S.26.01.04 is replaced by the following:\n‘\nS.26.01.04\nSolvency Capital Requirement — Market risk\nArticle 112\nZ0010\nSimplifications used\nC0010\nSimplifications — spread risk — bonds and loans\nR0010\nCaptives simplifications — interest rate risk\nR0020\nCaptives simplifications — spread risk on bonds and loans\nR0030\nCaptives simplifications — market concentration risk\nR0040\nInitial absolute values before shock\nAbsolute values after shock\nAssets\nLiabilities\nAssets\nLiabilities (after the loss absorbing capacity of technical provisions)\nNet solvency capital requirement\nLiabilities (before the loss-absorbing capacity of technical provisions)\nGross solvency capital requirement\nMarket risk — Basic information\nC0020\nC0030\nC0040\nC0050\nC0060\nC0070\nC0080\nInterest rate risk\nR0100\ninterest rate down shock\nR0110\ninterest rate up shock\nR0120\nEquity risk\nR0200\ntype 1 equities\nR0210\ntype 1 equity\nR0220\nstrategic participations (type 1 equities)\nR0230\nduration-based (type 1 equities)\nR0240\ntype 2 equities\nR0250\ntype 2 equity\nR0260\nstrategic participations (type 2 equities)\nR0270\nduration-based (type 2 equities)\nR0280\nqualifying infrastructure equities\nR0290\nProperty risk\nR0300\nInitial absolute values before shock\nAbsolute values after shock\nAssets\nLiabilities\nAssets\nLiabilities (after the loss absorbing capacity of technical provisions)\nNet solvency capital requirement\nLiabilities (before the loss-absorbing capacity of technical provisions)\nGross solvency capital requirement\nMarket risk — Basic information\nC0020\nC0030\nC0040\nC0050\nC0060\nC0070\nC0080\nSpread risk\nR0400\nbonds and loans\nR0410\nbonds and loans (qualifying infrastructure investment)\nR0411\nbonds and loans (other than qualifying infrastructure investment)\nR0412\ncredit derivatives\nR0420\ndownward shock on credit derivatives\nR0430\nupward shock on credit derivatives\nR0440\nSecuritisation positions\nR0450\ntype 1 securitisations\nR0460\ntype 2 securitisations\nR0470\nresecuritisations\nR0480\nMarket risk concentrations\nR0500\nCurrency risk\nR0600\nincrease in the value of the foreign currency\nR0610\ndecrease in the value of the foreign currency\nR0620\nDiversification within market risk module\nR0700\nTotal market risk\nR0800\n’\n3)) SR.26.01.01 is replaced by the following:\n‘\nSR.26.01.01\nSolvency Capital Requirement — Market risk\nArticle 112\nZ0010\nRing Fenced Fund/Matching adjustment portfolio or remaining part\nZ0020\nFund/Portfolio number\nZ0030\nSimplifications used\nC0010\nSimplifications — spread risk — bonds and loans\nR0010\nCaptives simplifications — interest rate risk\nR0020\nCaptives simplifications — spread risk on bonds and loans\nR0030\nCaptives simplifications — market concentration risk\nR0040\nInitial absolute values before shock\nAbsolute values after shock\nAssets\nLiabilities\nAssets\nLiabilities (after the loss absorbing capacity of technical provisions)\nNet solvency capital requirement\nLiabilities (before the loss-absorbing capacity of technical provisions)\nGross solvency capital requirement\nMarket risk — Basic information\nC0020\nC0030\nC0040\nC0050\nC0060\nC0070\nC0080\nInterest rate risk\nR0100\ninterest rate down shock\nR0110\ninterest rate up shock\nR0120\nEquity risk\nR0200\ntype 1 equities\nR0210\ntype 1 equity\nR0220\nstrategic participations (type 1 equities)\nR0230\nduration-based (type 1 equities)\nR0240\ntype 2 equities\nR0250\ntype 2 equity\nR0260\nstrategic participations (type 2 equities)\nR0270\nduration-based (type 2 equities)\nR0280\nqualifying infrastructure equities\nR0290\nProperty risk\nR0300\nInitial absolute values before shock\nAbsolute values after shock\nAssets\nLiabilities\nAssets\nLiabilities (after the loss absorbing capacity of technical provisions)\nNet solvency capital requirement\nLiabilities (before the loss-absorbing capacity of technical provisions)\nGross solvency capital requirement\nMarket risk — Basic information\nC0020\nC0030\nC0040\nC0050\nC0060\nC0070\nC0080\nSpread risk\nR0400\nbonds and loans\nR0410\nbonds and loans (qualifying infrastructure investment)\nR0411\nbonds and loans (other than qualifying infrastructure investment)\nR0412\ncredit derivatives\nR0420\ndownward shock on credit derivatives\nR0430\nupward shock on credit derivatives\nR0440\nSecuritisation positions\nR0450\ntype 1 securitisations\nR0460\ntype 2 securitisations\nR0470\nresecuritisations\nR0480\nMarket risk concentrations\nR0500\nCurrency risk\nR0600\nincrease in the value of the foreign currency\nR0610\ndecrease in the value of the foreign currency\nR0620\nDiversification within market risk module\nR0700\nTotal market risk\nR0800\n’",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2016/1868/annex/I",
    "retrieved_at": "2026-11-01T14:45:25.336394+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}