(1) Annex I is amended in accordance with Annex I to this Regulation; (2) Annex II is amended in accordance with Annex II to this Regulation; (3) Annex III is amended in accordance with Annex III to this Regulation; (4) Annex VI is amended in accordance with Annex IV to this Regulation.
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)
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 "
1) 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.". 3) In S.26.01 — Solvency Capital Requirement — Market risk: (a) 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." (b) 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."
1) 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.26.01 — Solvency Capital Requirement — Market risk: (a) 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." (b) 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."
| "48 | Infrastructure funds | Collective investment undertakings that invest in Infrastructure assets as defined in point 55a or 55b of Article 1 of Delegated Regulation (EU) 2015/35" |
(a) In SR.01.01.04.R0840 the title is replaced by the following: "Solvency Capital Requirement — for groups on Standard Formula"; (b) In SR.01.01.04.R0850 the title is replaced by the following: "Solvency Capital Requirement — for groups using the standard formula and partial internal model"; (c) In SR.01.01.04.R0860 the title is replaced by the following: "Solvency Capital Requirement — for groups on Full Internal Models"; (d) In S.05.01.01, the second table is replaced by the following: "Line of Business for: non-life insurance and reinsurance obligations (direct business and accepted proportional reinsurance) Line of Business for: accepted non-proportional reinsurance Total Legal expenses insurance Assistance Miscellaneous financial loss Health Casualty Marine, aviation, transport Property C0100 C0110 C0120 C0130 C0140 C0150 C0160 C0200 Premiums written Gross — Direct Business R0110 Gross — Proportional reinsurance accepted R0120 Gross — Non-proportional reinsurance accepted R0130 Reinsurers' share R0140 Net R0200 Premiums earned Gross — Direct Business R0210 Gross — Proportional reinsurance accepted R0220 Gross — Non-proportional reinsurance accepted R0230 Reinsurers' share R0240 Net R0300 Claims incurred Gross — Direct Business R0310 Gross — Proportional reinsurance accepted R0320 Gross — Non-proportional reinsurance accepted R0330 Reinsurers' share R0340 Net R0400 Changes in other technical provisions Gross — Direct Business R0410 Gross — Proportional reinsurance accepted R0420 Gross — Non- proportional reinsurance accepted R0430 Reinsurers' share R0440 Net R0500 " (e) In S.05.02.01, row R1300 is replaced by the following: "Total expenses R1300 " (f) In S.14.01.01.C0180 the title is replaced by the following: "Best Estimate and Technical Provisions as a whole"; (g) In S.23.01.01, row R0230 is replaced by the following: "Deductions for participations in financial and credit institutions R0230 " (h) In S.23.01.04: (i) Row R0220 is replaced by the following: "Own funds from the financial statements that should not be represented by the reconciliation reserve and do not meet the criteria to be classified as Solvency II own funds R0220 " (ii) Row R0230 is replaced by the following: "Deductions for participations in other financial undertakings, including non-regulated undertakings carrying out financial activities R0230 " (iii) Row R0440 is replaced by the following: "Total own funds of other financial sectors R0440 "
(i) In SR.27.01.01, in the first table, row Z0010 regarding Article 112 is deleted; (j) In S.26.01.01, S.26.01.04 and SR.26.01.01, row R0600 is replaced by the following: "Currency risk R0600 " (k) In S.27.01.01, S.27.01.04 and SR.27.01.01 in R0600 the title is replaced by the following: "Total Windstorm specified Regions before diversification"; (l) In S.27.01.01, S.27.01.04 and SR.27.01.01 in R1030 the title is replaced by the following: "Total Earthquake specified Regions before diversification"; (m) In S.27.01.01, S.27.01.04 and SR.27.01.01 in R1400 the title is replaced by the following: "Total Flood specified Regions before diversification"; (n) In S.27.01.01, S.27.01.04 and SR.27.01.01 in R1720 the title is replaced by the following: "Total Hail specified Regions before diversification"; (o) In S.27.01.01, S.27.01.04 and SR.27.01.01, in the table "Man made catastrophe risk — Marine", row R2420 is replaced by the following: "Total after diversification R2420 " (p) In S.27.01.01, S.27.01.04 and SR.27.01.01, in the table "Man made catastrophe risk — Liability", row R2820 is replaced by the following: "Total after diversification R2820 " (q) In S.27.01.01, S.27.01.04 and SR.27.01.01, in the table "Man made catastrophe risk — Credit & Suretyship", row R3120 is replaced by the following: "Total after diversification R3120 " (r) In S.27.01.01, S.27.01.04 and SR.27.01.01, in the table "Other non-life catastrophe risk", rows R3260 and R3270 are replaced by the following: "Diversification between groups of obligations R3260 Total after diversification R3270 " (s) In S.29.01.01.R0200 the title is replaced by the following: "Variations due to net technical provisions"; (t) In S.31.02.01, the first part of the first table is replaced by the following: "Internal code of SPV Type of code SPV ID Code of SPV notes or other financing mechanism issued ID Code Type of SPV notes or other financing mechanism issued Lines of Business SPV securitisation relates Type of Trigger(s) in the SPV Contractual trigger event Same trigger as in underlying cedant's portfolio? Basis risk arising from risk-transfer structure Basis risk arising from contractual terms (cont.) C0030 C0210 C0040 C0050 C0060 C0070 C0080 C0090 C0100 C0110 " (u) In S.31.02.04, the first part of the first table is replaced by the following: "Legal name of reinsured undertaking Identification code of the undertaking Internal code of SPV Type of code SPV ID Code of SPV notes or other financing mechanism issued ID Code Type of SPV notes or other financing mechanism issued Lines of Business SPV securitisation relates Type of Trigger(s) in the SPV Contractual trigger event Same trigger as in underlying cedant's portfolio? Basis risk arising from risk-transfer structure (cont.) C0010 C0020 C0030 C0210 C0040 C0050 C0060 C0070 C0080 C0090 C0100 "
(a) In S.01.01.C0010/R0150 the instructions are replaced by the following: "One of the options in the following closed list shall be used: 1 — Reported 2 — Not reported as no Collective investment undertakings 3 — Not due in accordance with instructions of the template 6 — Exempted under Article 35(6) to (8) 7 — Not due as no material changes since quarterly submission (this option is only applicable on annual submissions) 0 — Not reported (in this case special justification is needed)";
(b) In S.01.01.C0010/R0160 the instructions are replaced by the following: "One of the options in the following closed list shall be used: 1 — Reported 2 — Not reported as no structured products 3 — Not due in accordance with instructions of the template 6 — Exempted under 35 (6) to (8) 0 — Not reported other reason (in this case special justification is needed)";
(c) In S.01.01.C0010/R0200 the instructions are replaced by the following: "One of the options in the following closed list shall be used: 1 — Reported 2 — Not reported as no Securities lending and repos 3 — Not due in accordance with instructions of the template 6 — Exempted under Article 35(6) to (8) 0 — Not reported other reason (in this case special justification is needed)";
(d) In S.02.02.C0020/R0130 the instructions are replaced by the following: "Report the total value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for all currencies."; (e) In S.02.02.C0030/R0130 the instructions are replaced by the following: "Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for the reporting currency."; (f) In S.02.02.C0040/R0130 the instructions are replaced by the following: "Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for the remaining currencies that are not reported by currency. This means that this cell excludes the amount reported in the reporting currency (C0030/R0130) and in the currencies reported by currency (C0050/R0130)."; (g) In S.02.02.C0050/R0130 the instructions are replaced by the following: "Report the value of the deposits from reinsurers, insurance and intermediaries payables and reinsurance payables for each of the currencies required to be reported separately."; (h) In S.05.01.C0010 to C0160/R1000 the instructions are replaced by the following: "Acquisition expenses include expenses, including renewal expenses, which can be identified at the level of individual insurance contract and have been incurred because the undertaking has issued that particular contract. These are commission costs, costs of selling, underwriting and initiating an insurance contract that has been issued. It includes movements in deferred acquisition costs. For reinsurance undertakings, the definition shall be applied mutatis mutandis. The net acquisition expenses represent the sum of the direct business and the accepted reinsurance business reduced by the amount ceded to reinsurance undertakings."; (i) In S.06.02. the sixth paragraph of the general comments is replaced by the following: "On the table Information on positions held, each asset shall be reported separately in as many lines as needed in order to properly fill in all non-monetary variables with the exception of item "Quantity", requested in that table. If for the same asset two values can be attributed to one variable, then this asset needs to be reported in more than one line."; (j) In S.06.02.C0050, S.07.01.C0050 and S.11.01.C0050, the second paragraph of the instructions is replaced by the following: "When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: "99/1"."; (k) In S.06.02.C0110 and S.11.01.C0080, the first paragraph of the instructions is replaced by the following: "ISO 3166–1 alpha–2 code of the country where undertaking assets are held in custody. For identifying international custodians, such as Euroclear, the country of custody will be the one where the custody service was contractually defined."; (l) In S.06.02.C0140 the instructions are replaced by the following: "Amount outstanding measured at par amount, for all assets where this item is relevant, and at nominal amount for CIC = 72, 73, 74, 75, 79 and 8. This item is not applicable for CIC category 71 and 9. This item shall not be reported if item Quantity (C0130) is reported."; (m) In S.06.02.C0170 the instructions are replaced by the following: "Value calculated as defined by article 75 of the Directive 2009/138/EC, which corresponds to: the multiplication of "Par amount" (principal amount outstanding measured at par amount or nominal amount) by "Unit percentage of par amount Solvency II price" plus "Accrued interest", for assets where the first two items are relevant; the multiplication of "Quantity" by "Unit Solvency II price", for assets where these two items are relevant; Solvency II value of the asset for assets classifiable under asset categories 71 and 9.";
(n) In S.06.02.C0380 the instructions are replaced by the following: "Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant. This item shall be reported if a "par amount" information (C0140) has been provided in the first part of the template ("Information on positions held") except for CIC category 71 and 9. This item shall not be reported if item Unit Solvency II price (C0370) is reported."; (o) In S.08.01 the third paragraph of the general comments is replaced by the following: "Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative. Both derivatives considered as assets or considered as liabilities shall be included."; (p) In S.08.02.C0230 the instructions are replaced by the following: "Value of the derivative calculated as defined by article 75 of the Directive 2009/138/EC at the trade (closing or sale) or maturity date. It can be positive, negative or zero."; (q) In S.09.01.C0100 and C0110, at the end of the instructions the following is added: "This calculation should be performed without interests accrued."; (r) In S.11.01.C0100 the instructions are replaced by the following: "Amount outstanding measured at par amount, for all assets where this item is relevant, and at nominal amount for CIC = 72, 73, 74, 75, 79 and 8. This item is not applicable for CIC category 71 and 9. This item shall not be reported if item Quantity (C0090) is reported."; (s) In S.11.01.C0120 the instructions are replaced by the following: "Value calculated as defined by article 75 of the Directive 2009/138/EC, which corresponds to: the multiplication of "Par amount" (principal amount outstanding measured at par amount or nominal amount) by "Unit percentage of par amount Solvency II price" plus "Accrued interest", for assets where the first two items are relevant; the multiplication of "Quantity" by "Unit Solvency II price", for assets where these two items are relevant; Solvency II value of the asset for assets classifiable under asset categories 71 and 9.";
(t) In S.11.01.C0270 the instructions are replaced by the following: "Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant. This item shall be reported if a "par amount" information (C0100) has been provided in the first part of the template ("Information on positions held") except for CIC category 71 and 9. This item shall not be reported if item Unit Solvency II price (C0260) is reported."; (u) In S.23.01.R0290/C0030 the instructions are replaced by the following: "This is the amount of basic own fund items after deductions that meet the criteria for Tier 1 restricted items."; (v) In S.23.01.R0290/C0040 the instructions are replaced by the following: "This is the amount of basic own fund items after deductions that meet the criteria for Tier 2."; (w) In S.23.01.R0290/C0050 the instructions are replaced by the following: "This is the amount of basic own fund items after deductions that meet the criteria for Tier 3."; (x) In S.25.01 the fourth paragraph of the general comments is replaced by the following: 
, where— adjustment Adjustment calculated according to one of the three methods referred above — BSCR′ Basic solvency capital requirement calculated according to the information reported in this template (C0040/R0100) — nSCR int nSCR for intangible assets risk according to the information reported in this template (C0040/R0070)"; (y) In S.26.05.R0230/C0020 the following is deleted in the instructions: "If R0010/C0010 = 1, this item represents total capital charge for non–life premium and reserve risk sub module calculated using simplified calculation."; (z) In S.27.01 the row corresponding to Z0010 is deleted; (aa) In S.27.01 all references to "EEA" are replaced by "specified"; (bb) In S.27.01.C0410/R1950 the instructions are replaced by the following: "Specified gross subsidence loss, before taking into consideration the effect of diversification effect between zones."; (cc) In S.27.01.C0420/R1950 the instruction are replaced by the following: "The Risk Charge Factor of the territory of France for subsidence, before taking into consideration the effect of diversification effect between zones"; (dd) In S.27.01.C1320/R3700–R4010, C1330/R3700–R4010, C1340/R3700–R4010, C1350/R3700–R4010, C1360/R3700–R4010 the instructions are replaced by the following: "The average value of benefits payable by insurance and reinsurance undertakings for the largest accident risk concentration."; (ee) In S.31.01.C0140 the instructions are replaced by the following: "Amount of cash deposits received by the undertaking from the reinsurers."; (ff) In S.31.02.C0030 and C0200 the instructions are replaced by the following: "Internal code attributed to the SPV by the undertaking by this order of priority: Legal Entity Identifier (LEI); Specific code
This code shall be unique to each SPV and remain constant over subsequent reports."; (gg) In S.31.01.C0230, S.31.02.C0290, at the end of the instructions the following is added: "One of the options in the following closed list shall be used: 0 — Credit quality step 0 1 — Credit quality step 1 2 — Credit quality step 2 3 — Credit quality step 3 4 — Credit quality step 4 5 — Credit quality step 5 6 — Credit quality step 6 9 — No rating available";
(hh) In S.36.03.C0160, in the instructions the lines of business 29 to 36 are replaced by the following: "29 — Health insurance 30 — Insurance with profit participation 31 — Index-linked and unit-linked insurance 32 — Other life insurance 33 — Annuities stemming from non-life insurance contracts and relating to health insurance obligations 34 — Annuities stemming from non-life insurance contracts and relating to insurance obligations other than health insurance obligations 35 — Health reinsurance 36 — Life reinsurance".
(a) In S.12.01.Z0030 the second paragraph of the instructions are replaced by the following: "When item Z0020 = 2, then report "0""; (b) In S.12.01 the first column of instructions corresponding to R0340 is replaced by the following: "C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0340"; (c) In S.12.01.C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0110, C0150/R0110, C0210/R0110, C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0120, C0150/R0120, C0210/R0120, C0020, C0030, C0060, C0090, C0100, C0160, C0190, C0200/R0130, C0150/R0130 and C0210/R0130 the second paragraph of the instructions is replaced by the following: "This value shall be reported as a negative value when it reduces the technical provisions."; (d) In S.14.01.C0180 the label is replaced by the following: "Best Estimate and Technical Provisions as a whole"; (e) In S.14.01.C0180 the instructions are replaced by the following: "Amount of gross best estimate and Technical Provisions as a whole calculated by Homogenous Risk Group"; (f) In S.16.01, in the general comments, the following is deleted in the instructions (8th paragraph): "Amounts shall be reported by year of occurrence of the accidents that have originated the claims associated to annuities."; (g) In S.16.01.Z0030 the first paragraph of the instructions is replaced by the following: "Identify the ISO 4217 alphabetic code of the settlement currency of the obligation. All amounts, not reported by currency, are reported in the undertaking's reporting currency."; (h) In S.16.01.C0010/R0030 and C0070/R0040-R0190, at the end of the instructions the following is added: "Information should be considered gross of reinsurance."; (i) In S.16.01.C0080/R0040-R0190, the instructions are replaced by the following: "Undiscounted development result calculated as the undiscounted annuity claims provisions at the start of year N, minus annuity payments paid during year N and minus undiscounted annuity claims provisions at the end of year N."; (j) In S.17.01.Z0030, the second paragraph of the instructions is replaced by the following: "When item Z0020 = 2, then report "0""; (k) In S.17.01.C0020 to C0170/R0290, C0180/R0290, C0020 to C0170/R0300, C0180/R0300, C0020 to C0170/R0310 and C0180/R0310, the second paragraph is replaced by the following: "This value shall be reported as a negative value when it reduces the technical provisions."; (l) In S.19.01.C0180/R0100 to R0260 the instructions are replaced by the following: "Total "Sum of all years" contains the sum of all data in rows (sum of all payments referred to the accident/underwriting year), including total."; (m) In S.23.01 the row R0230/C0050 is added after R0230/C0040: "R0230/C0050 Deduction for participations in financial and credit institutions — Tier 3 This is the amount of the deduction for participations in financial and credit institutions that are deducted from Tier 3 in accordance with article 68 of Delegated Regulation (EU) 2015/35." (n) In S.23.01.R0500/C0010 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, and ancillary own fund items that meet the Tier 1, Tier 2 and Tier 3 criteria and that are therefore available to meet the SCR."; (o) In S.23.01.R0500/C0020 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 1 unrestricted items and that are therefore available to meet the SCR."; (p) In S.23.01.R0500/C0030 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 1 restricted items and that are therefore available to meet the SCR."; (q) In S.23.01.R0500/C0040 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, and ancillary own fund items that meet the criteria to be included in Tier 2 and that are therefore available to meet the SCR."; (r) In S.23.01.R0500/C0050 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, and ancillary own fund items that meet the criteria to be included in Tier 3 and that are therefore available to meet the SCR."; (s) In S.23.01.R0510/C0010 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, that meet the Tier 1 and Tier 2 criteria and that are therefore available to meet the MCR."; (t) In S.23.01.R0510/C0020 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 1 unrestricted items and that are therefore available to meet the MCR."; (u) In S.23.01.R0510/C0030 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 1 restricted items and that are therefore available to meet the MCR."; (v) In S.23.01.R0510/C0040 the instructions are replaced by the following: "This is the sum of all basic own fund items, after deductions, that meet the criteria to be included in Tier 2 and that are therefore available to meet the MCR."; (w) In S.24.01.C0030, S.24.01.C0100, S.24.01.C0250, S.24.01.C0320, S.24.01.C0390, S.24.01.C0460, S.24.01.C0530 the second paragraph is replaced by the following: "When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: "99/1"."; (x) In S.29.01.01 — R0200 the title is replaced by the following: "Variations due to net technical provisions"; (y) In S.29.02.C0010/R0030 the second bullet point of the first paragraph of the instructions is replaced by the following: "For those financial and subordinated liabilities redeemed during the reporting period, the difference between the redemption price and the Solvency II value as at the end of the last reporting period;"; (z) In S.29.03.C0010–C0020/R0090; C0050-C0060/R0240 the first bullet point of the second paragraph of the instructions is replaced by the following: "Consider the opening Best Estimate (cell C0010/R0010) including the adjustment to opening Best Estimate (cell C0010/R0010 to R0040) and the impact of unwinding of year N projected cash–flows (C0010/R0060 to R0080 and C0020/R0060 to R0080 respectively);"; (aa) In S.29.04.Z0010 the instructions are replaced by the following: "Lines of business (LoB) for which a split of the analysis per period will be required. The following close list shall be used: 1 — 1 and 13 Medical expense insurance 2 — 2 and 14 Income protection insurance 3 — 3 and 15 Workers' compensation insurance 4 — 4 and 16 Motor vehicle liability insurance 5 — 5 and 17 Other motor insurance 6 — 6 and 18 Marine, aviation and transport insurance 7 — 7 and 19 Fire and other damage to property insurance 8 — 8 and 20 General liability insurance 9 — 9 and 21 Credit and suretyship insurance 10 — 10 and 22 Legal expenses insurance 11 — 11 and 23 Assistance 12 — 12 and 24 Miscellaneous financial loss 25 — Non-proportional health reinsurance 26 — Non-proportional casualty reinsurance 27 — Non-proportional marine, aviation and transport reinsurance 28 — Non-proportional property reinsurance 37 — Life (including lines of business 29 to 34, as defined in Annex I to Delegated Regulation (EU) 2015/35) 38 — Health SLT (including lines of business 35 and 36)";
(bb) In S.30.01.C0310 the instructions are replaced by the following: "The sum reinsured on a facultative basis is that part of the sum insured which is reinsured on a facultative basis. The amount shall be consistent with the Sum insured as specified in C0290 and reflects the maximum liability (100 %) for the facultative reinsurers."; (cc) In S.30.02.C0090 the instructions are replaced by the following: "Representing the activities of the broker involved, as considered by the undertaking. In case the activities are combined all activities must be mentioned separated by a ",": 1 — Intermediary for placement 2 — Underwriting on behalf of 3 — Financial services";
(dd) In S.30.02.C0220 the instructions are replaced by the following: "Representing the activities of the broker involved, as considered by the undertaking. In case the activities are combined all activities must be mentioned separated by a ",": 1 — Intermediary for placement 2 — Underwriting on behalf of 3 — Financial services";
(ee) In S.30.02.C0350 at the end of the instructions the following is added: "One of the options in the following closed list shall be used: 0 — Credit quality step 0 1 — Credit quality step 1 2 — Credit quality step 2 3 — Credit quality step 3 4 — Credit quality step 4 5 — Credit quality step 5 6 — Credit quality step 6 9 — No rating available";
(ff) In S.30.04.C0090 the instructions are replaced by the following: "Representing the activities of the broker involved, as considered by the undertaking. In case the activities are combined all activities must be mentioned separated by ",": 1 — Intermediary for placement 2 — Underwriting on behalf of 3 — Financial services";
(gg) In S.30.04.C0310 the instructions are replaced by the following: "Identification of the code used for the "Collateral provider" item. One of the options in the following closed list shall be used: 1 — LEI 9 — None";
(hh) In S.36.03 the second paragraph of the general comments is replaced by the following: "The purpose of this template is to collect information on all IGTs (significant, very significant and transactions required to be reported in all circumstances) related to internal reinsurance within a group identified according to Article 213(2)(d) of Directive 2009/138/EC. These include, but are not limited to:".
(a) In S.11.01 the 11 th paragraph, second bullet, the 12th paragraph, second bullet and the 14th paragraph, second bullet of the general comments are replaced by the following:"— The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;"; (b) In S.11.01 the 15 th paragraph, second bullet of the general comments is replaced by the following:"— The assets held directly (i.e. not on a look-through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies under method 2 shall be reported item by item;"; (c) In S.11.01 the 11 th paragraph, third bullet and 14th paragraph, third bullet of the general comments are replaced by the following:"— The assets held directly (i.e. not on a look–through basis) as collateral by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) in of Delegated Regulation (EU) 2015/35 shall be reported item by item;"; (d) In S.11.01 the 12 th paragraph, third bullet of the general comments is replaced by the following:"— The assets held directly (i.e. not on a look–through basis) as collateral by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;"; (e) In S.11.01 the 15 th paragraph, third bullet of the general comments, is replaced by the following:"— The assets held directly (i.e. not on a look–through basis) as collateral by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;"; (f) In S.23.01 the row R0230/C0050 is added (after R0230/C0040): "R0230/C0050 Deductions for participations in other financial undertakings, including non–regulated undertakings carrying out financial activities — Tier 3 This is the deduction of the participations in credit institutions, investment firms, financial institutions, alternative investment fund managers, UCITS management companies, institutions for occupational retirement provisions, non–regulated undertakings carrying out financial activities, including the participations that are deducted according to Article 228, paragraph 2 of the Directive 2009/138/EC. Those participations are deducted from basic own funds and added back as own funds according to the relevant sectoral rules in the rows from R0410 to R0440, thereby facilitating the calculation of SCR ratios both excluding and including other financial sector entities — Tier 3." (g) In S.23.01 the row R0440/C0050 is added (after R0440/C0040): "R0440/C0050 Total own funds of other financial sectors — Tier 3 Total of own funds in other financial sectors –Tier 3. The total own funds deducted in cell R0230/C0010 are brought back here after the adjustment for non-available own funds according to the relevant sectoral rules and after the deduction according to Article 228, paragraph 2 of the Directive 2009/138/EC." (h) In S.23.01.R0520/C0010 the instructions are replaced by the following: "This is the total own funds of the undertaking, comprising basic own funds after deductions, plus ancillary own funds, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A."; (i) In S.23.01.R0520/C0020 the instructions are replaced by the following: "This is the own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A and that meet the criteria to be included in Tier 1 unrestricted items."; (j) In S.23.01.R0520/C0030 the instructions are replaced by the following: "This is the own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A and that meet the criteria to be included in Tier 1 restricted items."; (k) In S.23.01.R0520/C0040 the instructions are replaced by the following: "This is the own funds of the undertaking, comprising basic own funds after deductions, plus ancillary own funds, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and from the undertakings included via D&A and that meet the criteria to be included in Tier 2."; (l) In S.23.01.R0520/C0050 the instructions are replaced by the following: "This is the own funds of the undertaking, comprising basic own funds after deductions, plus ancillary own funds, that are available to meet the consolidated group SCR but excluding the own funds from other financial sector and the undertakings included via D&A and that meet the criteria to be included in Tier 3."; (m) In S.23.01.R0530/C0010 the instructions are replaced by the following: "This is the total own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the minimum consolidated group SCR, excluding the own funds from other financial sector and from the undertakings included via D&A."; (n) In S.23.01.R0530/C0020 the instructions are replaced by the following: "This is the own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the minimum SCR for a group and that meet the criteria to be included in Tier 1 unrestricted."; (o) In S.23.01.R0530/C0030 the instructions are replaced by the following: "This is the own funds of the group, comprising basic own funds after deductions, that are available to meet the minimum SCR for a group and that meet the criteria to be included in Tier 1 restricted items."; (p) In S.23.01.R0530/C0040 the instructions are replaced by the following: "This is the own funds of the undertaking, comprising basic own funds after deductions, that are available to meet the minimum SCR for a group and that meet the criteria to be included in Tier 2."; (q) In S.23.01.R0680/C0010 the instructions are replaced by the following: "The group SCR is the sum of the consolidated group SCR calculated in accordance with Article 336, (a), (b), (c) and (d) of Delegated Regulation (EU) 2015/35 (R0590/C0010) and the SCR for entities included with D&A (R0670/C0010)."; (r) In S.25.02.C0070 the instructions are replaced by the following: "For each component this cell represents the amount calculated according to the partial internal model. Therefore, the amount calculated with the Standard Formula shall be the difference between the amounts reported in C0030 and C0070."; (s) In S.32.01.C0140 the instructions are replaced by the following: "(Re)insurance undertakings shall report their underwriting performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency."; (t) In S.32.01.C0150 the instructions are replaced by the following: "(Re)insurance undertakings shall report their investment performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency. This value shall not include any value already reported in C0140."; (u) In S.32.01.C0160 the instructions are replaced by the following: "All the related undertakings within the scope of group supervision, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, shall report their total performance in accordance with their financial statements. A monetary amount shall be reported. The currency used shall be the group reporting currency."; (v) In S.36.01, S.36.02, S.36.03 and S.36.04 the third paragraph of the general comments is deleted.
(a) In Code 7 the definition is replaced by the following: "Money in the physical form, cash-equivalents, bank deposits and other money deposits"; (b) In Code 0 the definition is replaced by the following: "Other assets reported in "Other investments"."
(a) The codes "Country", "XV", "XL" and "XT" are replaced by the following: "First 2 positions — Assets listed in Definition Country ISO 3166-1-alpha-2 country code Identify the ISO 3166-1-alpha-2 country code where the asset is listed in. An asset is considered as being listed if it is negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU. If the asset is listed in more than one country or the undertaking uses for valuation purposes a price provider which is one of the regulated markets or multilateral trading facility where the asset is listed in, the country shall be the one of that regulated market or multilateral trading facility used as the reference for valuation purposes. XV Assets listed in one or more than one country Identify assets that are listed in one or more countries but when the undertaking uses for valuation purposes a price provider which is not one of the regulated markets or multilateral trading facility where the asset is listed in. XL Assets that are not listed in a stock exchange Identify assets that are not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU. XT Assets that are not exchange tradable Identify assets that by their nature are not subject to negotiation on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU." (b) After the row of code "0" (Other investments), a new row is added as follows: "09 Other investments Other assets reported in "Other investments""