{
  "url": "https://openlegislation.uk/eu-regulation-2016-1868/annex-II",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-1868/annex-II.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/II",
  "kind": "annex",
  "number": "II",
  "heading": null,
  "text": "Annex II to Implementing Regulation (EU) 2015/2450 is amended as follows:\n1)) In S.06.02 — List of assets, the instructions of C0300 is replaced by the following:\n‘\nC0300\nInfrastructure investment\nIdentify if the asset is an infrastructure investment as defined in article 1 (55a) and (55b) of Commission Delegated Regulation (EU) 2015/35.\nOne of the options in the following closed list shall be used:\n1 — Not an infrastructure investment\n2 — Infrastructure non-qualifying: Government Guarantee (Government, Central bank, Regional government or local authority)\n3 — Infrastructure non-qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority)\n4 — Infrastructure non-qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation)\n9 — Infrastructure non-qualifying: Other non-qualifying infrastructure loans or investments, not classified under the above categories\n12 — Infrastructure qualifying: Government Guarantee (Government, Central bank, Regional government or local authority)\n13 — Infrastructure qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority)\n14 — Infrastructure qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation)\n19 — Infrastructure qualifying: Other qualifying infrastructure investments, not classified in the above categories.\n20 — European Long-Term Investment Fund (ELTIF investing in infrastructure assets and ELTIF investing in other — non infrastructure — assets)\n’\n2)) In S.21.02.C0080 the instructions are replaced by the following: ‘Identify the ISO 4217 alphabetic code of the original currency.’.\n3)) In S.26.01 — Solvency Capital Requirement — Market risk:\n(a) The following rows are added under Equity risk, under row R0260-R0280/C0040:\n‘\nR0290/C0020\nInitial absolute values before shock — Assets — Equity risk — qualifying infrastructure equities\nThis is the initial absolute value of the assets sensitive to the equity risk for qualifying infrastructure equities.\nRecoverables from reinsurance and SPVs shall not be included in this cell.\nR0290/C0030\nInitial absolute values before shock — Liabilities — Equity risk — qualifying infrastructure equities\nThis is the initial absolute value of liabilities sensitive to the equity risk for qualifying infrastructure equities.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0290/C0040\nAbsolute values after shock — Assets — Equity risk — qualifying infrastructure equities\nThis is the absolute value of the assets sensitive to equity risk for qualifying infrastructure equities, after the shock.\nRecoverables from reinsurance and SPVs shall not be included in this cell.\nR0290/C0050\nAbsolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Equity risk — qualifying infrastructure equities\nThis 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.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0290/C0060\nAbsolute value after shock — Net solvency capital requirement — Equity risk — qualifying infrastructure equities\nThis is the net capital charge for equity risk (for qualifying infrastructure equities) after adjustment for the loss absorbing capacity of technical provisions.\nR0290/C0070\nAbsolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions) — Equity risk — qualifying infrastructure equities\nThis 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.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0290/C0080\nAbsolute value after shock — Gross solvency capital requirement — Equity risk — qualifying infrastructure equities\nThis is the gross capital charge for equity risk for qualifying infrastructure equities, i.e. before the loss absorbing capacity of technical provisions.\n’\n(b) The following rows are added under Spread risk, in between row R0410/C0080 and R0420/C0060:\n‘\nR0411/C0020\nInitial absolute values before shock — Assets — Spread risk — bonds and loans (qualifying infrastructure investments)\nThis is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investments.\nRecoverables from reinsurance and SPVs shall not be included in this cell.\nR0411/C0030\nInitial absolute values before shock — Liabilities — Spread risk — bonds and loans (qualifying infrastructure investments)\nThis 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.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0411/C0040\nAbsolute values after shock — Assets — Spread risk — bonds and loans (qualifying infrastructure investments)\nThis is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investments, after the shock.\nRecoverables from reinsurance and SPVs shall not be included in this cell.\nR0411/C0050\nAbsolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Spread risk — bonds and loans (qualifying infrastructure investments)\nThis 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.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0411/C0060\nAbsolute value after shock — Net solvency capital requirement — Spread risk — bonds and loans (qualifying infrastructure investments)\nThis 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.\nIf R0010/C0010 = 1, this item shall not be reported.\nR0411/C0070\nAbsolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions) — Spread risk — bonds and loans (qualifying infrastructure investments)\nThis 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.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0411/C0080\nAbsolute value after shock — Gross solvency capital requirement — Spread risk — bonds and loans (qualifying infrastructure investments)\nThis 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.\nIf R0010/C0010 = 1, this item shall not be reported.\nR0412/C0020\nInitial absolute values before shock — Assets — Spread risk — bonds and loans (other than qualifying infrastructure investments)\nThis is the initial absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investments.\nRecoverables from reinsurance and SPVs shall not be included in this cell.\nR0412/C0030\nInitial absolute values before shock — Liabilities — Spread risk — bonds and loans (other than qualifying infrastructure investments)\nThis 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.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0412/C0040\nAbsolute values after shock — Assets — Spread risk — bonds and loans (other than qualifying infrastructure investments)\nThis is the absolute value of the assets sensitive to the spread risk on bonds and loans other than qualifying infrastructure investments, after the shock.\nRecoverables from reinsurance and SPVs shall not be included in this cell.\nR0412/C0050\nAbsolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — Spread risk — bonds and loans (other than qualifying infrastructure investments)\nThis 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.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0412/C0060\nAbsolute value after shock — Net solvency capital requirement — Spread risk — bonds and loans (other than qualifying infrastructure investments)\nThis 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.\nIf R0010/C0010 = 1, this item shall not be reported.\nR0412/C0070\nAbsolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions) — Spread risk — bonds and loans (other than qualifying infrastructure investments)\nThis 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.\nThe amount of TP shall be net of reinsurance and SPV recoverables.\nR0412/C0080\nAbsolute value after shock — Gross solvency capital requirement — Spread risk — bonds and loans (other than qualifying infrastructure investments)\nThis 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.\nIf R0010/C0010 = 1, this item shall not be reported.\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/II",
    "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."
}