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    S.26.01 — Solvency Capital Requirement — Market risk Group

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    S.26.01 — Solvency Capital Requirement — Market risk

    General comments:

    This section relates to the annual submission of information for groups, ring fenced-funds, matching adjustment portfolios and remaining part.

    The template S.26.01 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.

    Template S.26.01 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation-based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

    Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.

    For group reporting the following specific requirements shall be met:

    • a) This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
    • b) When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
    • c) This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
    ITEMINSTRUCTIONS
    Z0010Article 112Identifies whether the reported figures
    have been requested under Article 112(7),
    to provide an estimate of the SCR using
    standard formula. One of the options in
    the following closed list shall be used:
    1 — Article 112(7) reporting
    2 — Regular reporting
    Z0020Ring-fenced fund,
    matching adjustment
    portfolio or remaining part    		Identifies whether the reported figures are
    with regard to a RFF, matching
    adjustment portfolio or to the remaining
    part. One of the options in the following
    closed list shall be used:
    1 — RFF/MAP
    2 — Remaining part
    Z0030Fund/Portfolio numberWhen item Z0020 = 1, identification
    number for a ring-fenced fund or
    matching adjustment portfolio. This
    number is attributed by the undertaking
    within the scope of group supervision and
    must be consistent over time and with the
    fund/portfolio number reported in other
    templates.
    R0012/C0010Simplifications spread
    risk – bonds and loans    		The options in the following closed list
    shall be used:
    1 – Simplification for the purposes of
    Article 104
    2 – Simplifications for the purposes of
    Article 105a
    9 – Simplifications not used
    Options 1 and 2 may be used
    simultaneously.
    If R0012/C0010 = 1, only C0060 and
    C0080 shall be filled in for R0410
    R0014/C0010Simplifications market
    risk concentration – simplifications used    		One of the options in the following closed
    list shall be used:
    1 – Simplifications
    for
    the
    purposes of Article 105a
    9 – Simplifications not used
    R0020/C0010Captives simplifications
    — interest rate risk    		Identify whether a captive undertaking
    within the scope of group supervision
    used simplifications for the calculation of
    interest rate risk. The following options
    shall be used:
    1 — Simplifications used
    2 — Simplifications not used
    Where R0020/C0010 = 1, only C0060
    and C0080 shall be filled in for R0100 – R0120
    R0030/C0010Captives simplifications
    — spread risk on bonds
    and loans    		Identify whether a captive undertaking
    within the scope of group supervision
    used simplifications for the calculation of
    spread risk with regard to bonds and
    R0040/C0010Captives simplifications
    — market risk
    concentration    		loans. The following options shall be
    used:
    1 — Simplifications used
    2 — Simplifications not used
    Identify whether a captive undertaking
    within the scope of group supervision
    used simplifications for the calculation of
    market risk concentration. The following
    options shall be used:
    1 — Simplifications used
    2 — Simplifications not used
    Interest rate risk
    R0100/C0060Absolute value after shock
    — Net solvency capital
    requirement — interest
    rate risk    		This is the net capital charge for interest
    rate risk, i.e. after adjustment for the loss
    absorbing capacity of technical
    provisions.
    If R0020/C0010=1, this item represents
    the net capital charge for interest rate risk
    calculated using simplified calculations
    for captive undertakings within the scope
    of group supervision.
    R0100/C0080Absolute value after shock
    — Gross solvency capital
    requirement — interest
    rate risk    		This is the gross capital charge for
    interest rate risk, i.e. before the loss
    absorbing capacity of technical
    provisions.
    If R0020/C0010=1, this item represents
    the gross capital charge for interest rate
    risk calculated using simplified
    calculations for captive undertakings
    within the scope of group supervision.
    R0110 – R0120/C0020Initial absolute values
    before shock — Assets — Interest rate risk — interest rate down/up
    shock    		This is the total value of the assets
    sensitive to interest rate down/up risk,
    before shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0110 – R0120/C0030Initial absolute values
    before shock — Liabilities
    — Interest rate risk —    		This is the total value of the liabilities
    sensitive to interest rate down/up risk,
    before shock.
    interest rate down/up
    shock    		The amount of technical provisions
    (‘TP’) shall be net of reinsurance and
    SPV recoverables.
    R0110 – R0120/C0040Absolute values after
    shock — Assets — Interest rate risk — interest rate down/up
    shock    		This is the absolute value of assets
    sensitive to interest rate down/up risks
    after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0110 – R0120/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — Interest
    rate risk – interest rate
    down/up shock    		This is the absolute value of liabilities
    (after the loss absorbing capacity of
    technical provisions) sensitive to interest
    rate down/up risks after the shock.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0110 – R0120/C0060Absolute value after shock
    — Net solvency capital
    requirement — interest
    rate risk – interest rate
    down/up shock    		This is the net capital charge for interest
    rate down/up risk, after adjustment for the
    loss absorbing capacity of technical
    provisions.
    If R0020/C0010=1, this item represents
    the net capital charge for interest rate
    down/up risk calculated using
    simplifications.
    R0110 – R0120/C0070Absolute values after
    shock — Liabilities
    (before the loss-absorbing
    capacity of technical
    provisions) — Interest
    rate risk — Interest rate
    down/up shock    		This is the absolute value of liabilities
    (before the loss absorbing capacity of
    technical provisions) sensitive to interest
    rate down/up risks after the shock.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0110 – R0120/C0080Absolute value after shock
    — Gross solvency capital
    requirement — interest
    rate risk — interest rate
    down/up shock    		This is the gross capital charge for the
    interest rate down/up risk, i.e. before the
    loss absorbing capacity of Technical
    provisions
    If R0020/C0010=1, this item represents
    the gross capital charge for interest rate
    down/up risk calculated using
    simplifications.
    Equity risk
    R0200/C0060Absolute value after shock
    — Net solvency capital
    requirement — equity risk    		This is the net capital charge for equity
    risk, i.e. after adjustment for the loss
    absorbing capacity of technical
    provisions.
    R0200/C0080Absolute value after shock
    — Gross solvency capital
    requirement — equity risk    		This is the gross capital charge for equity
    risk, i.e. before the loss absorbing
    capacity of technical provisions.
    R0210/C0020Initial absolute values
    before shock — Assets — equity risk — type 1
    equities    		This is the initial absolute value of the
    assets sensitive to the equity risk charge
    related to type 1 equities
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0210/C0030Initial absolute values
    before shock — Liabilities
    — equity risk — type 1
    equities    		This is the initial absolute value of the
    liabilities sensitive to equity risk related
    to type 1 equities.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0210/C0040Absolute values after
    shock — Assets — Equity
    risk — type 1 equities    		This is the absolute value of the assets
    sensitive to the equity risk charge related
    to type 1 equities category, after the
    shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0210/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — Equity risk
    –type 1 equities    		This is the absolute value of the liabilities
    sensitive to equity risk charge related to
    type 1 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.
    R0210/C0060Absolute value after shock
    — Net solvency capital
    requirement — equity risk
    –type 1 equities    		This is the net capital charge for equity
    risk (for type 1 equities), after adjustment
    for the loss absorbing capacity of
    technical provisions.
    R0210/C0070Absolute values after
    shock — Liabilities
    (before the loss absorbing
    capacity of technical    		This is the absolute value of the liabilities
    sensitive to equity risk charge related to
    type 1 equities, after the shock but before
    the loss absorbing capacity of technical
    provisions.
    provisions) — equity risk
    –type 1 equities    		The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0210/C0080Absolute value after shock
    — Gross solvency capital
    requirement — Equity
    risk –type 1 equities    		This is the gross capital charge for equity
    risk for type 1 equities, i.e. before the loss
    absorbing capacity of technical
    provisions.
    R0221, R0230,
    R0231,
    R0240/C0020    		Initial absolute values
    before shock — Assets — equity risk –type 1
    equities    		This is the initial absolute value of the
    assets sensitive to the equity risk (for
    each kind of type 1 equity).
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0221, R0230,
    R0231,
    R0240/C0040    		Absolute values after
    shock — Assets — equity
    risk –type 1 equities    		This is the absolute value of the assets
    sensitive the equity risk charge, (for each
    kind of type 1 equity), after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0250/C0020Initial absolute values
    before shock — Assets — equity risk –type 2
    equities    		This is the initial absolute value of the
    assets sensitive to the equity risk for type
    2 equities.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0250/C0030Initial absolute values
    before shock — Liabilities
    — equity risk –type 2
    equities    		This is the initial absolute value of
    liabilities sensitive to the equity risk for
    type 2 equities.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0250/C0040Absolute values after
    shock — Assets — Equity
    risk — type 2 equities    		This is the absolute value of the assets
    sensitive to equity risk charge for type 2
    equities, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0250/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — Equity risk
    –type 2 equities    		This is the absolute value of liabilities
    sensitive to equity risk (for type 2
    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.
    R0250/C0060Absolute value after shock
    — Net solvency capital
    requirement — equity risk
    –type 2 equities    		This is the net capital charge for equity
    risk (for type 2 equities) after adjustment
    for the loss absorbing capacity of
    technical provisions.
    R0250/C0070Absolute values after
    shock — Liabilities
    (before the loss absorbing
    capacity of technical
    provisions) equity risk – type 2 equities    		This is the absolute value of the liabilities
    sensitive to equity risk (for type 2
    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.
    R0250/C0080Absolute value after shock
    — Gross solvency capital
    requirement — Equity
    risk — type 2 equities    		This is the gross capital charge for equity
    risk for type 2 equities, i.e. before the loss
    absorbing capacity of technical provisions
    R0261, R0270,
    R0271,
    R0280/C0020    		Initial absolute values
    before shock — Assets — equity risk –type 2
    equities    		This is the value of the assets sensitive to
    the equity risk (for each kind of type 2
    equities)
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0261, R0270,
    R0271,R0280/C004
    0    		Absolute values after
    shock — Assets — equity
    risk –type 2 equities    		This is the absolute value of the assets
    sensitive to equity risk (for each kind of
    type 2 equities), after the equity shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0291/C0020,
    R0293-
    R0295/C0020    		Initial absolute values
    before shock – Assets – Equity risk –qualifying
    infrastructure corporate
    equities    		This is the initial absolute value of the
    assets sensitive to the equity risk for each
    kind of qualifying infrastructure corporate
    equity.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0291/C0030Initial absolute values
    before shock – Liabilities
    – Equity risk – qualifying
    infrastructure corporate
    equities    		This is the initial absolute value of
    liabilities sensitive to the equity risk for
    each kind of qualifying infrastructure
    corporate equity.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0291/C0040,
    R0293-
    R0295/C0040    		Absolute values after
    shock – Assets – Equity
    risk – qualifying
    infrastructure corporate
    equities    		This is the absolute value of the assets
    sensitive to equity risk for each kind of
    qualifying infrastructure corporate equity,
    after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0291/C0050Absolute values after
    shock – Liabilities (after
    the loss-absorbing
    capacity of technical
    provisions) – Equity risk – qualifying infrastructure
    corporate equities    		This is the absolute value of liabilities
    sensitive to equity risk (for each kind of
    qualifying infrastructure corporate
    equity), after the shock and after the
    application of the adjustment for the loss
    absorbing capacity of technical
    provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0291/C0060Absolute value after shock
    – Net solvency capital
    requirement – Equity risk
    –qualifying infrastructure
    corporate equities    		This is the net capital charge for equity
    risk (for each kind of qualifying
    infrastructure corporate equity), after the
    application of the adjustment for the loss
    absorbing capacity of technical
    provisions.
    R0291/C0070Absolute values after
    shock – Liabilities (before
    the loss-absorbing
    capacity of technical
    provisions) – Equity risk – qualifying infrastructure
    corporate equities    		This is the absolute value of the liabilities
    sensitive to equity risk (for each kind of
    qualifying infrastructure corporate
    equity), after the shock but before the
    application of the adjustment for the loss
    absorbing capacity of technical
    provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0291/C0080Absolute value after shock
    – Gross solvency capital
    requirement – Equity risk
    – qualifying infrastructure
    corporate equities    		This is the gross capital charge for equity
    risk for each kind of qualifying
    infrastructure corporate equity, i.e. before
    the application of the adjustment for the
    loss-absorbing capacity of technical
    provisions.
    R0292/C0020,
    R0296-
    R0298/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 each
    kind of qualifying infrastructure equity,
    other than corporate equities.
    other than corporate
    equities    		Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0292/C0030Initial absolute values
    before shock – Liabilities
    – Equity risk – qualifying
    infrastructure equities
    other than corporate
    equities    		This is the initial absolute value of
    liabilities sensitive to the equity risk for
    each kind of qualifying infrastructure
    equity, other than corporate equities.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0292/C0040,
    R0296-
    R0298/C0040    		Absolute values after
    shock – Assets – Equity
    risk – qualifying
    infrastructure equities
    other than corporate
    equities    		This is the absolute value of the assets
    sensitive to equity risk for each kind of
    qualifying infrastructure equity, other
    than corporate equities, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0292/C0050Absolute values after
    shock – Liabilities (after
    the loss-absorbing
    capacity of technical
    provisions) – Equity risk – qualifying infrastructure
    equities other than
    corporate equities    		This is the absolute value of liabilities
    sensitive to equity risk (for each kind of
    qualifying infrastructure equity, other
    than corporate equities), after the shock
    and after the application of the adjustment
    for the loss-absorbing capacity of
    technical provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0292/C0060Absolute value after shock
    – Net solvency capital
    requirement – Equity risk
    –qualifying infrastructure
    equities other than
    corporate equities    		This is the net capital charge for equity
    risk (for each kind of qualifying
    infrastructure equity other than corporate
    equities), after the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    R0292/C0070Absolute values after
    shock – Liabilities (before
    the loss-absorbing
    capacity of technical
    provisions) – Equity risk – qualifying infrastructure
    equities other than
    corporate equities    		This is the absolute value of the liabilities
    sensitive to equity risk (for each kind of
    qualifying infrastructure equity other than
    corporate equities), after the shock, but
    before the application of the adjustment
    for the loss-absorbing capacity of
    technical provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0292/C0080Absolute value after shock
    – Gross solvency capital    		This is the gross capital charge for equity
    risk for each kind of qualifying
    requirement – Equity risk
    – qualifying infrastructure
    equities other than
    corporate equities    		infrastructure equity, other than corporate
    equities, i.e. before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    Property risk
    R0300/C0020Initial absolute values
    before shock — Assets — Property risk    		This is the absolute value of the assets
    sensitive to the property risk.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0300/C0030Initial absolute values
    before shock — Liabilities
    — Property risk    		This is the value of the liabilities sensitive
    to the property risk.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0300/C0040Absolute values after
    shock — Assets — Property risk    		This is the absolute value of the assets
    sensitive to property risk charge, after the
    property shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0300/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — Property
    risk    		This is the absolute value of the liabilities
    underlying property risk charge, after the
    property shock and after the loss
    absorbing capacity of technical
    provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0300/C0060Absolute value after shock
    — Net solvency capital
    requirement — property
    risk    		This is the net capital charge for property
    risk, after adjustment for the loss
    absorbing capacity of technical
    provisions.
    R0300/C0070Absolute values after
    shock — Liabilities
    (before the loss absorbing
    capacity of technical
    provisions) — property
    risk    		This is the absolute value of the liabilities
    underlying property risk charge, after the
    property shock but before the loss
    absorbing capacity of technical
    provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0300/C0080Absolute value after shock
    — Gross solvency capital    		This is the gross capital charge for
    property risk, i.e. before the loss
    requirement — Property
    risk    		absorbing capacity of technical
    provisions.
    Spread risk
    R0400/C0060Absolute value after shock
    — Net solvency capital
    requirement — spread risk    		This is the net capital charge for spread
    risk, after adjustment for the loss
    absorbing capacity of technical
    provisions.
    R0400/C0080Absolute value after shock
    — Gross solvency capital
    requirement — spread risk    		This is the gross capital charge for spread
    risk, before the loss absorbing capacity of
    technical provisions.
    R0410/C0020Initial absolute values
    before shock — Assets — spread risk — bonds and
    loans    		This is the absolute value of the assets
    sensitive to the spread risk on bonds and
    loans.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0410/C0030Initial absolute values
    before shock — Liabilities
    — spread risk — bonds
    and loans    		This is the absolute value of the liabilities
    sensitive to the spread risk on bonds and
    loans.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0410/C0040Absolute values after
    shock — Assets — spread
    risk — bonds and loans    		This is the absolute value of the assets
    sensitive to the spread risk on bonds and
    loans, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0410/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — spread risk
    — bonds and loans    		This is the absolute value of the liabilities
    underlying the spread risk charge for
    bonds and loans, after the shock and after
    the loss absorbing capacity of technical
    provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0410/C0060Absolute value after shock
    — Net solvency capital
    requirement — spread risk
    — bonds and loans    		This is the net capital charge for spread
    risk on bonds and loans, after adjustment
    for the loss absorbing capacity of
    technical provisions.
    If R0012/C0010 = 1 and/or 2, this item
    represents the net solvency capital
    requirement for spread risk — bonds and
    loans, calculated using simplifications
    R0410/C0070Absolute values after
    shock — Liabilities
    (before the loss absorbing
    capacity of technical
    provisions) – spread risk
    — bonds and loans    		This is the absolute value of the liabilities
    sensitive to the spread risk on bonds and
    loans, after the shock but before the loss
    absorbing capacity of technical
    provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0410/C0080Absolute value after shock
    — Gross solvency capital
    requirement — spread risk
    — bonds and loans    		This is the gross capital charge for spread
    risk on bonds and loans, i.e. before the
    loss absorbing capacity of technical
    provisions.
    If R0012/C0010 = 1 and/or 2, this item
    represents gross solvency capital
    requirement for spread risk — bonds and
    loans calculated using simplifications.
    R0412/C0020Initial absolute values
    before shock – Assets – Spread risk – bonds and
    loans (other than
    qualifying infrastructure
    investment)    		This is the initial absolute value of the
    assets sensitive to the spread risk on
    bonds and loans other than qualifying
    infrastructure investment and
    infrastructure corporate.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0412/C0030Initial absolute values
    before shock – Liabilities
    – Spread risk – bonds and
    loans (other than
    qualifying infrastructure
    investment)    		This is the initial absolute value of the
    liabilities sensitive to the spread risk on
    bonds and loans other than qualifying
    infrastructure investment and
    infrastructure corporate. This value shall
    be reported only where the split between
    R0412, R0413 and R0414 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/C0040Absolute values after
    shock – Assets – Spread
    risk – bonds and loans
    (other than qualifying
    infrastructure investment)    		This is the absolute value of the assets
    sensitive to the spread risk on bonds and
    loans other than qualifying infrastructure
    investment and infrastructure corporate,
    after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0412/C0050Absolute values after
    shock – Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) – Spread risk
    – bonds and loans (other
    than qualifying
    infrastructure investment)    		This is the absolute value of the liabilities
    underlying the spread risk charge for
    bonds and loans other than qualifying
    infrastructure investment and
    infrastructure corporate, after the shock
    and after the loss absorbing capacity of
    technical provisions.
    This value shall be
    reported only where the split between
    R0412, R0413 and R0414 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/C0060Absolute value after shock
    – Net solvency capital
    requirement – Spread risk
    – bonds and loans (other
    than qualifying
    infrastructure investment)    		This is the net capital charge for spread
    risk on bonds and loans other than
    qualifying infrastructure investment and
    infrastructure corporate, after adjustment
    for the loss absorbing capacity of
    technical provisions. This value shall be
    reported only where the split between
    R0412, R0413 and R0414 could be
    derived from the method used for the
    calculation. When the split is not possible
    only R0410 shall be filled in.
    If R0012/C0010 = 1 and/or 2, this item
    shall not be reported.
    R0412/C0070Absolute values after
    shock – Liabilities (before
    the loss absorbing
    capacity of technical
    provisions) – Spread risk
    – bonds and loans (other
    than qualifying
    infrastructure investment)    		This is the absolute value of the liabilities
    sensitive to the spread risk on bonds and
    loans other than qualifying infrastructure
    investment and infrastructure corporate,
    after the shock but before the loss
    absorbing capacity of technical
    provisions. This
    value shall be reported
    only where the split between R0412,
    R0413 and R0414 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/C0080Absolute value after shock
    – Gross solvency capital
    requirement – Spread risk
    – bonds and loans (other
    than qualifying
    infrastructure investment)    		This is the gross capital charge for spread
    risk on bonds and loans other than
    qualifying infrastructure investment and
    infrastructure corporate, i.e. before the
    loss absorbing capacity of technical
    provisions. This value shall be reported
    only where the split between R0412,
    R0413 and R0414 could be derived from
    the method used for the calculation.
    When the split is not possible only R0410
    shall be filled in.
    If R0012/C0010 = 1 and/or 2, this item
    shall not be reported.
    R0413/C0020Initial absolute values
    before shock – Assets – Spread risk – bonds and
    loans (qualifying
    infrastructure investment)    		This is the initial absolute value of the
    assets sensitive to the spread risk on
    bonds and loans that are qualifying
    infrastructure investment other than
    infrastructure corporate.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0413/C0030Initial absolute values
    before shock – Liabilities
    – Spread risk – bonds and
    loans (qualifying
    infrastructure investment)    		This is the initial absolute value of the
    liabilities sensitive to the spread risk on
    bonds and loans that are qualifying
    infrastructure investment other than
    infrastructure corporate. This value shall
    be reported only where the split between
    R0412, R0413 and R0414 could be
    derived from the method used for the
    calculation. If splitting is not possible,
    only R0410 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0413/C0040Absolute values after
    shock – Assets – Spread
    risk – bonds and loans
    (qualifying infrastructure
    investment)    		This is the absolute value of the assets
    sensitive to the spread risk on bonds and
    loans that are qualifying infrastructure
    investment other than infrastructure
    corporate, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0413/C0050Absolute values after
    shock – Liabilities (after
    the loss absorbing    		This is the absolute value of the liabilities
    underlying the spread risk charge for
    bonds and loans that are qualifying
    capacity of technical
    provisions) – Spread risk
    – bonds and loans
    (qualifying infrastructure
    investment)    		infrastructure investment other than
    infrastructure corporate, after the shock
    and after the loss absorbing capacity of
    technical provisions. This value shall be
    reported only where the split between
    R0412, R0413 and R0414 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.
    R0413/C0060Absolute value after shock
    – Net solvency capital
    requirement – Spread risk
    – bonds and loans
    (qualifying infrastructure
    investment)    		This is the net capital charge for spread
    risk on bonds and loans that are
    qualifying infrastructure investment other
    than infrastructure corporate, after
    adjustment for the loss absorbing capacity
    of technical provisions. This value shall
    be reported only
    where the split between
    R0412, R0413 and R0414 could be
    derived from the method used for the
    calculation. When the split is not possible
    only R0410 shall be filled in.
    If R0012/C0010 = 1 and/or 2, this item
    shall not be reported.
    R0413/C0070Absolute values after
    shock – Liabilities (before
    the loss absorbing
    capacity of technical
    provisions) – Spread risk
    – bonds and loans
    (qualifying infrastructure
    investment)    		This is the absolute value of the liabilities
    sensitive to the spread risk on bonds and
    loans that are qualifying infrastructure
    investment other than infrastructure
    corporate, after the shock but before the
    loss absorbing capacity of technical
    provisions.
    This value shall be reported
    only where the split between R0412,
    R0413 and R0414 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.
    R0413/C0080Absolute value after shock
    – Gross solvency capital
    requirement – Spread risk
    – bonds and loans    		This is the gross capital charge for spread
    risk on bonds and loans that are
    qualifying infrastructure investment other
    than infrastructure corporate, i.e. before
    the loss absorbing capacity of technical
    (qualifying infrastructure
    investment)    		provisions. This value shall be reported
    only where the split between R0412,
    R0413 and R0414 could be derived from
    the method used for the calculation.
    When the split is not possible only R0410
    shall be filled in.
    If R0012/C0010 = 1 and/or 2, this item
    shall not be reported.
    R0414/C0020Initial absolute values
    before shock – Assets – Spread risk – bonds and
    loans (qualifying
    infrastructure corporate
    investment)    		This is the initial absolute value of the
    assets sensitive to the spread risk on
    bonds and loans that are qualifying
    infrastructure corporate investment.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0414/C0030Initial absolute values
    before shock – Liabilities
    – Spread risk – bonds and
    loans (qualifying
    infrastructure corporate
    investment)    		This is the initial absolute value of the
    liabilities sensitive to the spread risk on
    bonds and loans that are qualifying
    infrastructure corporate investment. This
    value shall be reported only where the
    split between R0412, R0413 and R0414
    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.
    R0414/C0040Absolute values after
    shock – Assets – Spread
    risk – bonds and loans
    (qualifying infrastructure
    corporate investment)    		This is the absolute value of the assets
    sensitive to the spread risk on bonds and
    loans that are qualifying infrastructure
    corporate investment, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0414/C0050Absolute values after
    shock – Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) – Spread risk
    – bonds and loans
    (qualifying infrastructure
    corporate investment)    		This is the absolute value of the liabilities
    underlying the spread risk charge for
    bonds and loans that are qualifying
    infrastructure corporate investment, after
    the shock and after the loss absorbing
    capacity of technical provisions. This
    value shall be reported only where the
    split between R0412, R0413 and R0414
    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.
    R0414/C0060Absolute value after shock
    – Net solvency capital
    requirement – Spread risk
    – bonds and loans
    (qualifying infrastructure
    corporate investment)    		This is the net capital charge for spread
    risk on bonds and loans that are
    qualifying infrastructure corporate
    investment, after adjustment for the loss
    absorbing capacity of technical
    provisions. This value shall be reported
    only where the split between R0412,
    R0413 and R0414 could be derived from
    the method used for the calculation.
    When the split is not possible only R0410
    shall be filled in.
    If R0012/C0010 = 1 and/or 2, this item
    shall not be reported.
    R0414/C0070Absolute values after
    shock – Liabilities (before
    the loss absorbing
    capacity of technical
    provisions) – Spread risk
    – bonds and loans
    (qualifying infrastructure
    corporate investment)    		This is the absolute value of the liabilities
    sensitive to the spread risk on bonds and
    loans that are qualifying infrastructure
    corporate investment, after the shock but
    before the loss absorbing capacity of
    technical provisions. This value shall be
    reported only where the split between
    R0412, R0413 and R0414 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.
    R0414/C0080Absolute value after shock
    – Gross solvency capital
    requirement – Spread risk
    – bonds and loans
    (qualifying infrastructure
    corporate investment)    		This is the gross capital charge for spread
    risk on bonds and loans that are
    qualifying infrastructure corporate
    investment, i.e. before the loss absorbing
    capacity of technical provisions. This
    value shall be reported only where the
    split between R0412, R0413 and R0414
    could be derived from the method used
    for the calculation. When the split is not
    possible only R0410 shall be filled in.
    If R0012/C0010 = 1 and/or 2, this item
    shall not be reported.
    R0420/C0060Absolute value after shock
    — Net solvency capital
    requirement — spread risk
    — credit derivatives    		This is the net capital charge for spread
    risk on credit derivatives, after adjustment
    for the loss absorbing capacity of
    technical provisions.
    R0420/C0080Absolute value after shock
    — Gross solvency capital
    requirement — spread risk
    — credit derivatives    		This is the gross capital charge for spread
    risk on credit derivatives, i.e. before the
    loss absorbing capacity of technical
    provisions.
    R0430 – R0440/C0020Initial absolute values
    before shock — Assets — spread risk — credit
    derivatives — downward/upward shock
    on credit derivatives    		This is the absolute value of assets
    sensitive to the downward/upward shock
    in respect to the spread risk on credit
    derivatives.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0430 – R0440/C0030Initial absolute values
    before shock — Liabilities
    — spread risk — credit
    derivatives — downward/upward shock
    on credit derivatives    		This is the absolute value of the liabilities
    sensitive to the downward/upward shock
    in respect to spread risk on credit
    derivatives.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0430 – R0440/C0040Absolute values after
    shock — Assets — spread
    risk — credit derivatives
    — downward/upward
    shock on credit
    derivatives    		This is the absolute value of the assets
    sensitive the downward/upward shock for
    spread risk on credit derivatives, after the
    shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0430 – R0440/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — spread risk
    –credit derivatives — downward/upward shock
    on credit derivatives    		This is the absolute value of the liabilities
    sensitive to the downward/upward shock
    for spread risk on credit derivatives, after
    the shock and after the loss absorbing
    capacity of technical provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0430 – R0440/C0060Absolute value after shock
    — Net solvency capital
    requirement — spread risk
    — credit derivatives — downward/upward shock
    on credit derivatives    		This is the net capital charge for the
    downward/upward shock for spread risk
    on credit derivatives, after adjustment for
    the loss absorbing capacity of technical
    provisions.
    R0430 – R0440/C0070Absolute values after
    shock — Liabilities
    (before the loss absorbing
    capacity of technical
    provisions) – spread risk – credit derivatives — downward/upward shock
    on credit derivatives    		This is the absolute value of the liabilities
    sensitive to the downward/upward shock
    for spread risk on credit derivatives, after
    the shock but before the loss absorbing
    capacity of technical provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0430 – R0440/C0080Absolute value after shock
    — Gross solvency capital
    requirement — spread risk
    — credit derivatives — downward/upward shock
    on credit derivatives    		This is the gross capital charge for the
    downward/upward shock for spread risk
    on credit derivatives, i.e. before the loss
    absorbing capacity of technical
    provisions.
    R0450/C0020Initial absolute values
    before shock — Assets — spread risk — securitisation positions    		This is the absolute value of the assets
    sensitive to the spread risk on
    securitisation positions.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0450/C0030Initial absolute values
    before shock — Liabilities
    — spread risk — securitisation positions    		This is the absolute value of the liabilities
    sensitive to the spread risk on
    securitisation positions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0450/C0040Absolute values after
    shock — Assets — spread
    risk — securitisation
    positions    		This is the absolute value of the assets
    sensitive to the spread risk on
    securitisation positions, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0450/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — spread risk
    — securitisation positions    		This is the absolute value of the liabilities
    sensitive to the spread risk on
    securitisation positions, after the shock
    and after the loss absorbing capacity of
    technical provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0450/C0060Absolute value after shock
    — Net solvency capital    		This is the net capital charge for spread
    risk on securitisation positions, after
    requirement — spread risk
    — securitisation positions    		adjustment for the loss absorbing capacity
    of technical provisions.
    R0450/C0070Absolute values after
    shock — Liabilities
    (before the loss absorbing
    capacity of technical
    provisions) — spread risk
    — securitisation positions    		This is the absolute value of the liabilities
    sensitive to the spread risk on
    securitisation positions, after the shock
    but before the loss absorbing capacity of
    technical provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0450/C0080Absolute value after shock
    — Gross solvency capital
    requirement — spread risk
    — securitisation positions    		This is the gross capital charge for spread
    risk on securitisation positions, i.e. before
    the loss absorbing capacity of technical
    provisions.
    R0461/C0020Initial absolute values
    before shock – Assets – spread risk – securitisation
    positions – senior STS
    securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on senior STS
    securitisation positions.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0461/C0030Initial absolute values
    before shock – Liabilities
    – spread risk – securitisation positions – senior STS securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on senior STS
    securitisation positions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    R0461/C0040Absolute values after
    shock – Assets – spread
    risk – securitisation
    positions – senior STS
    securitisation    		reinsurance and SPV recoverables.
    This is the absolute value of the assets
    sensitive to the spread risk on senior STS
    securitisation positions, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0461/C0050Absolute values after
    shock – Liabilities (after
    the loss-absorbing
    capacity of technical
    provisions) – spread risk –    		This is the absolute value of the liabilities
    sensitive to the spread risk on senior STS
    securitisation positions, after the shock
    and after the application of the adjustment
    for the loss-absorbing capacity of
    technical provisions.
    securitisation positions – senior STS securitisation)This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0461/C0060Absolute value after shock
    – Net solvency capital
    requirement – spread risk
    – securitisation positions – senior STS securitisation    		This is the net capital charge for spread
    risk on senior STS securitisation
    positions, after the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0461/C0070Absolute values after
    shock – Liabilities (before
    the loss-absorbing
    capacity of technical
    provisions) – spread risk – securitisation positions – senior STS securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on senior STS
    securitisation positions, after the shock
    but before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0461/C0080Absolute value after shock
    – Gross solvency capital
    requirement – spread risk
    – securitisation positions – senior STS securitisation    		This is the gross capital charge for spread
    risk on senior STS securitisation
    positions, i.e. before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0462/C0020Initial absolute values
    before shock – Assets – spread risk – securitisation
    positions – non-senior
    STS securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on non-senior
    STS securitisation positions.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0462/C0030Initial absolute values
    before shock – Liabilities
    – spread risk – securitisation positions – non-senior STS
    securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on non-senior
    STS securitisation positions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0462/C0040Absolute values after
    shock – Assets – spread
    risk – securitisation
    positions – non-senior
    STS securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on non-senior
    STS securitisation positions, after the
    shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0462/C0050Absolute values after
    shock – Liabilities (after
    the loss-absorbing
    capacity of technical
    provisions) – spread risk – securitisation positions – non-senior STS
    securitisation)    		This is the absolute value of the liabilities
    sensitive to the spread risk on non-senior
    STS securitisation positions, after the
    shock and after the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0462/C0060Absolute value after shock
    – Net solvency capital
    requirement – spread risk
    – securitisation positions – non-senior STS
    securitisation    		This is the net capital charge for spread
    risk on non-senior STS securitisation
    positions, after the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0462/C0070Absolute values after
    shock – Liabilities (before
    the loss-absorbing
    capacity of technical
    provisions) – spread risk – securitisation positions –    		This is the absolute value of the liabilities
    sensitive to the spread risk on non-senior
    STS securitisation positions, after the
    shock but before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    non-senior STS
    securitisation    		This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0462/C0080Absolute value after shock
    – Gross solvency capital
    requirement – spread risk
    – securitisation positions – non-senior STS
    securitisation    		This is the gross capital charge for spread
    risk on non-senior STS securitisation
    positions, i.e. before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0480/C0020Initial absolute values
    before shock — Assets — spread risk — securitisation positions — resecuritisation    		This is the absolute value of the assets
    sensitive to the spread risk on
    resecuritisation positions.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0480/C0030Initial absolute values
    before shock — Liabilities
    — spread risk — securitisation positions — resecuritisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on
    resecuritisation positions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0480/C0040Absolute values after
    shock — Assets — spread
    risk — securitisation
    positions — resecuritisation    		This is the absolute value of the assets
    sensitive to the spread risk on
    resecuritisation positions, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0480/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — spread risk
    — securitisation positions
    — resecuritisation)    		This is the absolute value of the liabilities
    sensitive to the spread risk on
    resecuritisation positions, after the shock
    and after the loss absorbing capacity of
    technical provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0480/C0060Absolute value after shock
    — Net solvency capital
    requirement — spread risk
    — securitisation positions
    — resecuritisation    		This is the net capital charge for spread
    risk on resecuritisation positions, after
    adjustment for the loss absorbing capacity
    of technical provisions.
    R0480/C0070Absolute values after
    shock — Liabilities
    (before the loss absorbing
    capacity of technical
    provisions) — spread risk
    — securitisation positions
    — resecuritisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on
    resecuritisation positions, after the shock
    but before the loss absorbing capacity of
    technical provisions.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0480/C0080Absolute value after shock
    — Gross solvency capital
    requirement — spread risk
    — securitisation positions
    — resecuritisation    		This is the gross capital charge for spread
    risk on resecuritisation positions, i.e.
    before the loss absorbing capacity of
    technical provisions.
    R0481/C0020Initial absolute values
    before shock – Assets – spread risk – securitisation
    positions – other
    securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on other
    securitisation positions.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0481/C0030Initial absolute values
    before shock – Liabilities
    – spread risk – securitisation positions – other securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on other
    securitisation positions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0481/C0040Absolute values after
    shock – Assets – spread
    risk – securitisation
    positions – other
    securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on other
    securitisation positions, after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0481/C0050Absolute values after
    shock – Liabilities (after
    the loss-absorbing
    capacity of technical
    provisions) – spread risk – securitisation positions – other securitisation)    		This is the absolute value of the liabilities
    sensitive to the spread risk on other
    securitisation positions, after the shock
    and after the application of the adjustment
    for the loss-absorbing capacity of
    technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0481/C0060Absolute value after shock
    – Net solvency capital
    requirement – spread risk
    – securitisation positions – other securitisation    		This is the net capital charge for spread
    risk on other securitisation positions, after
    the application of the adjustment for the
    loss-absorbing capacity of technical
    provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0481/C0070Absolute values after
    shock – Liabilities (before
    the loss-absorbing
    capacity of technical
    provisions) – spread risk – securitisation positions – other securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on other
    securitisation positions, after the shock
    but before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall be reported only where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0481/C0080Absolute value after shock
    – Gross solvency capital
    requirement – spread risk
    – securitisation positions – other securitisation    		This is the gross capital charge for spread
    risk on other securitisation positions, i.e.
    before the application of the adjustment
    for the loss-absorbing capacity of
    technical provisions.
    This value shall be reported only where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0482/C0020Initial absolute values
    before shock – Assets – spread risk – securitisation
    positions – transitional
    type 1 securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on transitional
    type 1 securitisation positions.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0482/C0030Initial absolute values
    before shock – Liabilities
    – spread risk – securitisation positions – transitional type 1
    securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on transitional
    type 1 securitisation positions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0482/C0040Absolute values after
    shock – Assets – spread
    risk – securitisation
    positions – transitional
    type 1 securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on transitional
    type 1 securitisation positions, after the
    shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0482/C0050Absolute values after
    shock – Liabilities (after
    the loss-absorbing
    capacity of technical    		This is the absolute value of the liabilities
    sensitive to the spread risk on transitional
    type 1 securitisation positions, after the
    shock and after the application of the
    provisions) – spread risk – securitisation positions – transitional type 1
    securitisation)    		adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0482/C0060Absolute value after shock
    – Net solvency capital
    requirement – spread risk
    – securitisation positions – transitional type 1
    securitisation    		This is the net capital charge for spread
    risk on transitional type 1 securitisation
    positions, after application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0482/C0070Absolute values after
    shock – Liabilities (before
    the loss-absorbing
    capacity of technical
    provisions) – spread risk – securitisation positions – transitional type 1
    securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on transitional
    type 1 securitisation positions, after the
    shock but before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0482/C0080Absolute value after shock
    – Gross solvency capital
    requirement – spread risk
    – securitisation positions – transitional type 1
    securitisation    		This is the gross capital charge for spread
    risk on transitional type 1 securitisation
    positions, i.e. before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0483/C0020Initial absolute values
    before shock – Assets – spread risk – securitisation
    positions – guaranteed
    STS securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on guaranteed
    STS securitisation positions.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0483/C0030Initial absolute values
    before shock – Liabilities
    – spread risk – securitisation positions – guaranteed STS
    securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on guaranteed
    STS securitisation positions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0483/C0040Absolute values after
    shock – Assets – spread
    risk – securitisation
    positions – guaranteed
    STS securitisation    		This is the absolute value of the assets
    sensitive to the spread risk on guaranteed
    STS securitisation positions, after the
    shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0483/C0050Absolute values after
    shock – Liabilities (after
    the loss-absorbing
    capacity of technical
    provisions) – spread risk – securitisation positions – guaranteed STS
    securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on guaranteed
    STS securitisation positions, after the
    shock and after application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0483/C0060Absolute value after shock
    – Net solvency capital
    requirement – spread risk
    – securitisation positions – guaranteed STS
    securitisation    		This is the net capital charge for spread
    risk on guaranteed STS securitisation
    positions, after the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    R0483/C0070Absolute values after
    shock – Liabilities (before
    the loss-absorbing
    capacity of technical
    provisions) – spread risk – securitisation positions – guaranteed STS
    securitisation    		This is the absolute value of the liabilities
    sensitive to the spread risk on guaranteed
    STS securitisation positions, after the
    shock but before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0483/C0080Absolute value after shock
    – Gross solvency capital
    requirement – spread risk
    – securitisation positions – guaranteed STS
    securitisation    		This is the gross capital charge for spread
    risk on guaranteed STS securitisation
    positions, i.e. before the application of the
    adjustment for the loss-absorbing
    capacity of technical provisions.
    This value shall only be reported where
    the split between R0461 to R0483 can be
    derived from the method used for the
    calculation. Where the split is not
    possible, only R0450 shall be filled in.
    Concentration risk
    R0500/C0020Initial absolute values
    before shock — Assets — market risk concentrations    		This is the absolute value of the asset
    sensitive to the market risk concentrations
    For captive undertakings within the scope
    of group supervision, if R0040/C0010=1,
    this item represents the absolute value of
    the assets sensitive to the market risk
    concentration, after taking into account
    simplifications allowed for captives.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0500/C0060Absolute value after shock
    — Net solvency capital
    requirement — market
    risk concentrations    		This is the net capital charge for market
    risk concentrations, after adjustment for
    the loss absorbing capacity of technical
    provisions, aggregated for each single
    name exposure.
    For captive undertakings within the scope
    of group supervision, if cell
    R0040/C0010=1, this item represents net
    capital charge for market risk
    concentration, calculated using simplified
    R0500/C0080Absolute value after shock
    — Gross solvency capital
    requirement — market
    risk concentrations    		calculation.
    This is the gross capital charge for market
    risk concentrations, aggregated for each
    single name exposure, i.e. before the loss
    absorbing capacity of technical
    provisions.
    Currency risk
    R0600/C0060Absolute value after shock
    — Net solvency capital
    requirement (after the loss
    absorbing capacity of
    technical provisions) — currency risk    		This is the sum for the different
    currencies of:
    – the
    capital
    requirement
    (including
    after
    the
    loss
    absorbing capacity of technical
    provisions) for an increase in
    value of the foreign currency
    against the local currency;
    – the
    capital
    requirement
    (including
    after
    the
    loss
    absorbing capacity of technical
    provisions)
    for
    a
    decrease
    in
    value of the foreign currency
    against the local currency.
    R0600/C0080Absolute value after shock
    — Gross solvency capital
    requirement — currency
    risk    		This is the sum for the different
    currencies of:
    – the capital requirement (before
    the loss absorbing capacity of
    technical
    provisions)
    for
    an
    increase in value of the foreign
    currency
    against
    the
    local
    currency;
    – the capital requirement (before
    the loss absorbing capacity of
    technical
    provisions)
    for
    a
    decrease in value of the foreign
    currency
    against
    the
    local
    currency.
    R0610 – R0620/C0020Initial absolute values
    before shock — Assets — Currency risk — increase/
    decrease in the value of
    the foreign currency    		This is the total value of the assets
    sensitive to currency increase/decrease
    risk, before shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0610 – R0620/C0030Initial absolute values
    before shock — Liabilities
    — Currency risk — increase/ decrease in the
    value of the foreign
    currency    		This is the total value of the liabilities
    sensitive to currency increase/decrease
    risk, before shock.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0610 – R0620/C0040Absolute values after
    shock — Assets — Currency risk — increase/
    decrease in the value of
    the foreign currency    		This is the absolute value of assets
    sensitive to currency increase/decrease
    risk after the shock.
    Recoverables from reinsurance and SPVs
    shall not be included in this cell.
    R0610 – R0620/C0050Absolute values after
    shock — Liabilities (after
    the loss absorbing
    capacity of technical
    provisions) — Currency
    risk — increase/ decrease
    in the value of the foreign
    currency    		This is the absolute value of liabilities
    (after the loss absorbing capacity of
    technical provisions) sensitive to currency
    increase/decrease risk after the shock.
    The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0610 – R0620/C0060Absolute value after shock
    — Net solvency capital
    requirement (after the loss
    absorbing capacity of
    technical provisions) — Currency risk — increase/
    decrease in the value of
    the foreign currency    		This is the net capital charge for currency
    increase/decrease risk, after adjustment
    for the loss absorbing capacity of
    technical provisions. In R0610 only the
    currencies where the increase shock is the
    largest shall be reported and in R0620
    only the currencies where the decrease
    shock is the largest shall be reported.
    R0610 – R0620/C0070Absolute values after
    shock (before the loss – absorbing capacity of
    technical provisions) — Currency risk — increase/    		This is the absolute value of liabilities
    (before the loss absorbing capacity of
    technical provisions) sensitive to currency
    increase/decrease risk after the shock.
    decrease in the value of
    the foreign currency    		The amount of TP shall be net of
    reinsurance and SPV recoverables.
    R0610 – R0620/C0080Absolute value after shock
    — Gross solvency capital
    requirement (excluding
    the loss-absorbing
    capacity of technical
    provisions) — Currency
    risk — increase/ decrease
    in the value of the foreign
    currency    		This is the gross capital charge for the
    currency increase/decrease risk, i.e.
    excluding before the loss absorbing
    capacity of Technical provisions. In
    R0610 only the currencies where the
    increase shock is the largest shall be
    reported and in R0620 only the currencies
    where the decrease shock is the largest
    shall be reported.
    Diversification
    within market risk
    module
    R0700/C0060Diversification within
    market risk module –net    		This is the diversification effect within
    the market risk module as a result of the
    aggregation of the net capital
    requirements (after loss absorbing
    capacity of technical provisions) of the
    single risk sub-modules.
    Diversification shall be reported as a
    negative value when it reduces the capital
    requirement.
    R0700/C0080Diversification within
    market risk module — gross    		This is the diversification effect within
    the market risk module as a result of the
    aggregation of the gross capital
    requirements (before loss absorbing
    capacity of technical provisions) of the
    single risk sub-modules.
    Diversification shall be reported as a
    negative value when it reduces the capital
    requirement.
    Total solvency
    capital requirement
    for market risk
    R0800/C0060Total market risk — Net
    solvency capital
    requirement    		This is the total net capital charge for all
    market risks, after loss absorbing capacity
    of technical provisions, calculated using
    the standard formula.
    R0800/C0080Gross solvency capital for
    market risk    		This is the total gross capital charge for
    all market risks, excluding loss absorbing
    capacity of technical provisions,
    calculated using the standard formula.
    Currency used as a
    reference to
    calculate the
    currency risk
    R0810/C0090Currency used as a
    reference to calculate the
    currency risk    		Identify the ISO 4217 alphabetic code of
    the currency that is used as a reference to
    calculate the currency risk