SolvencyTool logo
    Home / Acts & Regulations / Reporting explanations / S.26.01 — Solvency Capital Requirement — Market risk (Solo)

    S.26.01 — Solvency Capital Requirement — Market risk Solo

    View the Group version of this template →

    EIOPA Taxonomy 2.8.0 Source PDF

    S.26.01 — Solvency Capital Requirement — Market risk PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.26.01_solo.pdf
    / —
    Loading document…

    Instruction text

    Converted from the official instructions so it can be searched and copied. The PDF above is the document of record.

    S.26.01 — Solvency Capital Requirement — Market risk

    General comments:

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

    The template SR.26.01.01 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a 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.

    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.

    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
    Z0030Fund/Portfolio number2 — Remaining part
    When item Z0020 = 1, identification
    number for a ring-fenced fund or
    matching adjustment portfolio. This
    number is attributed by the undertaking
    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
    R0014/C0010Simplifications market risk
    concentration – simplifications used    		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
    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 riskIdentify whether a captive undertaking
    used simplifications for the calculation
    of interest rate risk. The following
    options shall be used:
    1 — Simplifications used
    2 — Simplifications not used
    If 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
    used simplifications for the calculation
    of spread risk with regard to bonds and
    loans. The following options shall be
    used:
    1 — Simplifications used
    2 — Simplifications not used
    R0040/C0010Captives simplifications — market risk concentrationIdentify whether a captive undertaking
    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.
    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.
    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 — interest rate down/up
    shock    		This is the total value of the liabilities
    sensitive to interest rate down/up risk,
    before 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
    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
    but before the loss absorbing capacity of
    technical provisions.
    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
    R0250/C0020Initial absolute values
    before shock — Assets — equity risk –type 2 equities    		SPVs shall not be included in this cell.
    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    		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.
    equitiesThe 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 equities.
    Recoverables from reinsurance and
    SPVs shall not be included in this cell.
    R0291/C0030Initial absolute values
    before shock – Liabilities – Equity risk – qualifying
    infrastructure corporate    		This is the initial absolute value of
    liabilities sensitive to the equity risk for
    each kind of qualifying infrastructure
    corporate equities.
    equitiesThe 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    		This is the absolute value of the assets
    sensitive to equity risk for each kind of
    qualifying infrastructure corporate
    equities, after the shock.
    equitiesRecoverables 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
    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.
    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 equities) 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/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 equities, 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
    other than corporate
    equities    		This is the initial absolute value of the
    assets sensitive to the equity risk for
    each kind of qualifying infrastructure
    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
    equities,
    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 equities,
    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 equities,
    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 equities,
    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
    equities,
    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
    requirement – Equity risk
    – qualifying infrastructure
    equities other than
    corporate equities    		This is the gross capital charge for
    equity risk for each kind of qualifying
    infrastructure equities,
    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    		This is the net capital charge for
    property risk, after adjustment for the
    requirement — property
    risk    		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
    requirement — Property
    risk    		This is the gross capital charge for
    property risk, i.e. before the loss
    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    		This is the absolute value of the assets
    sensitive to the spread risk on bonds and
    loans.
    loansRecoverables from reinsurance and
    SPVs shall not be included in this cell.
    R0410/C0030Initial absolute values
    before shock — Liabilities
    — spread risk — bonds    		This is
    the absolute value of the
    liabilities sensitive to the spread risk on
    bonds and loans.
    and loansThe 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) —    		This is the absolute value of the
    liabilities underlying the spread risk
    charge for bonds and loans, after the
    spread risk — bonds and
    loans    		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, 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    		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
    qualifying infrastructure
    investment)    		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, 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
    R0413/C0030Initial absolute values
    before shock – Liabilities – Spread risk – bonds and
    loans (qualifying
    infrastructure investment)    		SPVs shall not be included in this cell.
    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    		This is the absolute value of the assets
    sensitive
    to the spread risk on bonds and
    loans that are qualifying infrastructure
    (qualifying infrastructure
    investment)    		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 capacity
    of technical provisions) – Spread risk – bonds and
    loans (qualifying
    infrastructure investment)    		This is the absolute value of the
    liabilities underlying the spread risk
    charge for bonds and loans that are
    qualifying 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, 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
    (qualifying infrastructure
    investment)    		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 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, 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
    R0414/C0040Absolute values after
    shock – Assets – Spread
    risk – bonds and loans
    (qualifying infrastructure
    corporate investment)    		reinsurance and SPV recoverables.
    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    		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
    infrastructure corporate
    investment)    		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, 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, 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
    requirement — spread risk
    — securitisation positions    		This is the net capital charge for spread
    risk on securitisation positions, after
    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 could
    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/C0040Absolute values after
    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, 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 – 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 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.
    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 of the SCR for spread risk.
    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 of the SCR for spread risk.
    Where the split is not possible, only
    R0450 shall be filled in.
    R0462/C0070Absolute values after
    shock – Liabilities (before    		This is the absolute value of the
    liabilities sensitive to the spread risk on
    the loss-absorbing capacity
    of technical provisions) – spread risk – securitisation
    positions – non-senior STS
    securitisation    		non-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 of the SCR for spread risk.
    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 of the SCR for spread risk.
    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    		This is the absolute value of the
    liabilities sensitive to the spread risk on
    the loss absorbing capacity
    of technical provisions) — spread risk — securitisation positions — resecuritisation    		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 of the SCR for spread risk.
    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    		This is the absolute value of the assets
    sensitive to the spread risk on other
    securitisation positions, after the shock.
    positions – other
    securitisation    		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 of the SCR for spread risk.
    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 of the SCR for spread risk.
    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 only be reported where
    the split between R0461 to R0483 can
    be derived from the method used for the
    calculation of the SCR for spread risk.
    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 –    		This is the gross capital charge for
    spread risk on other securitisation
    positions, i.e. before the application of
    securitisation positions – other securitisationthe 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 of the SCR for spread risk.
    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 of the SCR for spread risk.
    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 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 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 of the SCR for spread risk.
    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 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 of the SCR for spread risk.
    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 of the SCR for spread risk.
    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 of the SCR for spread risk.
    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 of the SCR for spread risk.
    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    		This is the absolute value of the
    liabilities sensitive to the spread risk on
    guaranteed STS securitisation positions,
    after the shock and after the application
    of the adjustment for the loss-absorbing
    capacity of technical provisions.
    STS securitisationThis value shall only be reported where
    the split between R0461 to R0483 can
    be derived from the method used for the
    calculation of the SCR for spread risk.
    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    		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.
    securitisationThis value shall only be reported where
    the split between R0461 to R0483 can
    be derived from the method
    used for the
    calculation of the SCR for spread risk.
    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 of the SCR for spread risk.
    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 of the SCR for spread risk.
    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, 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, if cell
    R0040/C0010=1, this item represents
    net capital charge for market risk
    concentration, calculated using
    simplified calculation.
    R0500/C0080Absolute value after shock
    — Gross solvency capital
    requirement — market risk
    concentrations    		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/    		This is the total value of the assets
    sensitive to currency increase/decrease
    risk, before shock.
    decrease in the value of the
    foreign currency    		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 —    		This is the absolute value of assets
    sensitive to currency increase/decrease
    risk after the shock.
    Currency risk — increase/
    decrease in the value of the
    foreign currency    		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/    		This is the absolute value of liabilities
    (after 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/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/
    decrease in the value of the
    foreign currency    		This is the absolute value of liabilities
    (before 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/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
    solvency capital
    requirement    		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
    solvency capital
    requirement    		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/C0080Total market risk — Gross
    solvency capital
    requirement    		This is the total gross capital charge for
    all market risks, excluding loss
    absorbing capacity of technical
    provisions, calculated using the standard
    formula