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    S.26.04 — Solvency Capital Requirement — Health underwriting risk Group

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    S.26.04 — Solvency Capital Requirement — Health underwriting risk PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.26.04_group.pdf
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    S.26.04 — Solvency Capital Requirement — Health underwriting risk

    General Comments:

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

    Template SR.26.04 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.

    Template SR.26.04 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).

    All values shall be reported net of reinsurance and other risk mitigating techniques.

    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.
    R0010/C0010Simplifications used — health mortality riskIdentify whether an undertakings within the
    scope of group supervision used simplifications
    for the calculation of health mortality risk. The
    following options shall be used:
    1 — Simplifications used
    2 — Simplifications not used
    If R0010/C0010 = 1, only C0060 and C0080
    shall be filled in for R0100.
    R0020/C0010Simplifications used — health longevity riskIdentify whether an undertaking within the
    scope of group supervision used simplifications
    for the calculation of health longevity 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 R0200.
    R0030/C0010Simplifications used:
    health disability – morbidity risk — Medical expense    		Identify whether an undertaking within the
    scope of group supervision used simplifications
    for the calculation of health disability morbidity
    risk — Medical expense. The following options
    shall be used:
    1 — Simplifications used
    2 — Simplifications not used
    If R0030/C0010 = 1, only C0060/R0310 and
    C0080/R0310 shall not be filled in.
    R0040/C0010Simplifications used:
    health disability – morbidity risk — Income protection    		Identify whether an undertaking within the
    scope of group supervision used simplifications
    for the calculation of health disability morbidity
    risk — Income protection. The following
    options shall be used:
    1 — Simplifications used
    2 — Simplifications not used
    If R0040/C0010 = 1, only C0060 and C0080
    shall be filled in for R0340.
    R0050/C0010Simplifications used:
    SLT lapse risk    		Identify whether an undertaking within the
    scope of group supervision used simplifications
    for the calculation of lapse risk. The following
    options shall be used:
    1 – Simplification for the purposes of
    Article 102
    2 – Simplification for the purposes of
    Article 102a
    9 – Simplifications not used
    Options 1 and 2 may be used simultaneously.
    Where R0050/C0010 = 1, only C0060 and
    C0080 shall be filled in for R0400 to R0420.
    R0051/C0010Simplifications – NSLT
    lapse risk    		Identify whether an undertaking within the
    scope of group for the SCR calculation used
    simplifications for the calculation of lapse risk.
    The following options shall be used:
    1 – Simplification for the purposes of
    Article 96a
    9 – Simplifications not used
    R0060/C0010Simplifications used:
    health expense risk    		Identify whether an undertaking within the
    scope of group supervision used simplifications
    for the calculation of health expense risk. The
    following options shall be used:
    1 — Simplifications used
    2 — Simplifications not used
    If R0060/C0010 = 1, only C0060 and C0080
    shall be filled in for R0500.
    SLT health
    underwriting
    risk
    R0100/C0020Initial absolute values
    before shock — Assets
    — Health mortality risk    		This is the absolute value of the assets sensitive
    to health mortality risk, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0100/C0030Initial absolute values
    before shock — Liabilities — Health
    mortality risk    		This is the absolute value of liabilities sensitive
    to health mortality risk, before the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0100/C0040Absolute values after
    shock — Assets — Health mortality risk    		This is the absolute value of the assets sensitive
    to health mortality risk charge, after the shock
    (i.e. permanent increase in mortality rates).
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0100/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing
    capacity of technical
    provisions) — Health
    mortality risk    		This is the absolute value of the liabilities (after
    the loss absorbing capacity of technical
    provisions) sensitive to health mortality risk
    charge, after the shock (i.e. permanent increase
    in mortality rates).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0100/C0060Absolute value after
    shock — Net solvency
    capital requirement — Health mortality risk    		This is the net capital charge for health mortality
    risk, after adjustment for the loss absorbing
    capacity of technical provisions.
    If R0010/C0010=1, this item represents net
    capital charge for health mortality risk
    calculated using simplifications.
    R0100/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — Health mortality risk    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) sensitive to health mortality risk
    charge, after the shock (permanent increase in
    mortality rates).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0100/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    mortality risk    		This is the gross capital charge (before the loss
    absorbing capacity of technical provisions) for
    health mortality risk.
    If R0010/C0010=1, this item represents gross
    capital charge for health mortality risk
    calculated using simplifications.
    R0200/C0020Initial absolute values
    before shock — Assets
    — Health longevity risk    		This is the absolute value of the assets sensitive
    to health longevity risk, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0200/C0030Initial absolute values
    before shock — Liabilities — Health
    longevity risk    		This is the absolute value of liabilities sensitive
    to health longevity risk, before the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0200/C0040Absolute values after
    shock — Assets — Health longevity risk    		This is the absolute value of the assets sensitive
    to health longevity risk after the shock (i.e.
    permanent decrease in mortality rates).
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0200/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing
    capacity of technical
    provisions) — Health
    longevity risk    		This is the absolute value of the liabilities (after
    the loss absorbing capacity of technical
    provisions) sensitive to health longevity risk,
    after the shock (i.e. permanent decrease in
    mortality rates.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0200/C0060Absolute value after
    shock — Net solvency
    capital requirement — Health longevity risk    		This is the net capital charge for health longevity
    risk, after adjustment for the loss absorbing
    capacity of technical provisions.
    If R0020/C0010=1, this item represents net
    capital charge for health longevity risk
    calculated using simplifications.
    R0200/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — Health longevity risk    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) sensitive to health longevity risk,
    after the shock (permanent decrease in mortality
    rates).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0200/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    longevity risk    		This is the gross capital charge (before the loss
    absorbing capacity of technical provisions) for
    health longevity risk.
    If R0020/C0010=1, this item represents gross
    capital charge for health longevity risk
    calculated using simplifications.
    R0300/C0060Absolute value after
    shock — Net solvency
    capital requirement – Health disability — morbidity risk    		This is the net capital charge for health disability
    — morbidity risk, after adjustment for the loss
    absorbing capacity of technical provisions.
    R0300/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    disability — morbidity
    risk    		This is the gross capital charge (before the loss
    absorbing capacity of technical provisions) for
    health disability — morbidity risk.
    R0310/C0060Absolute value after
    shock — Net solvency
    capital requirement – Health disability — morbidity risk — Medical expense    		This is the net capital charge for health disability
    — morbidity risk — Medical expense, after
    adjustment for the loss absorbing capacity of
    technical provisions.
    If R0030/C0010=1, this item represents net
    capital charge for health disability — morbidity
    risk — Medical expense calculated using
    simplifications.
    R0310/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    disability — morbidity
    risk — Medical expense    		This is the gross capital charge (before the loss
    absorbing capacity of technical provisions) for
    health disability — morbidity risk — Medical
    expense.
    If R0030/C0010=1, this item represents gross
    capital charge for health disability — morbidity
    risk — Medical expense calculated using
    simplifications.
    R0320/C0020Initial absolute values
    before shock — Assets
    — Health disability — morbidity risk — Medical expense — increase of medical
    payments    		This is the absolute value of the assets sensitive
    to health disability — morbidity risk — Medical
    expense charge due to an increase of medical
    payments, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0320/C0030Initial absolute values
    before shock —    		This is the absolute value of liabilities sensitive
    to health disability — morbidity risk — Medical
    Liabilities — Health
    disability — morbidity
    risk — Medical expense
    — increase of medical
    payments    		expense charge due to an increase of medical
    payments, before the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0320/C0040Absolute values after
    shock — Assets — Health disability — morbidity risk — Medical expense — increase of medical
    payments    		This is the absolute value of the assets sensitive
    to health disability — morbidity risk — Medical
    expense charge due to an increase of medical
    payments, after the shock (i.e. as prescribed by
    standard formula).
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0320/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing
    capacity of technical
    provisions) — Health
    disability — morbidity
    risk — Medical expense
    — increase of medical
    payments    		This is the absolute value of liabilities (after the
    loss absorbing capacity of technical provisions)
    sensitive to health disability — morbidity risk
    — Medical expense charge due to an increase of
    medical payments, after the shock (i.e. as
    prescribed by standard formula).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0320/C0060Absolute value after
    shock — Net solvency
    capital requirement – Health disability — morbidity risk — Medical expense — increase of medical
    payments    		This is the net capital charge for health disability
    — morbidity risk — Medical expense — increase of medical payments, after adjustment
    for the loss absorbing capacity of technical
    provisions. If R0030/C0010=1, this row shall
    not be filled in.
    R0320/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — Health disability — morbidity risk — Medical expense —    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) underlying health disability — morbidity risk — Medical expense charge
    expenses — increase of medical payments, after
    the shock (i.e. as prescribed by standard
    formula) as used to compute the risk.
    increase of medical
    payments    		The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0320/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    disability — morbidity
    risk — Medical expense
    — increase of medical
    payments    		This is the gross capital charge (before the loss
    absorbing capacity of technical provisions) for
    health disability — morbidity risk — Medical
    expense — increase of medical payments.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0330/C0020Initial absolute values
    before shock — Assets
    — Health disability — morbidity risk — Medical expense — decrease of medical
    payments    		This is the absolute value of the assets sensitive
    to health disability — morbidity risk — Medical
    expense charge due to an decrease of medical
    payments, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0330/C0030Initial absolute values
    before shock — Liabilities — Health
    disability — morbidity
    risk — Medical expense
    — decrease of medical
    payments    		This is the absolute value of liabilities sensitive
    to health disability — morbidity risk — Medical
    expense charge due to an decrease of medical
    payments, before the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0330/C0040Absolute values after
    shock — Assets — Health disability — morbidity risk — Medical expense — decrease of medical
    payments    		This is the absolute value of the assets sensitive
    to health disability — morbidity risk — Medical
    expense charge due to an decrease of medical
    payments, after the shock (i.e. as prescribed by
    standard formula).
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0330/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing    		This is the absolute value of liabilities (after the
    loss absorbing capacity of technical provisions)
    sensitive to health disability — morbidity risk
    capacity of technical
    provisions) — Health
    disability — morbidity
    risk — Medical expense
    — decrease of medical
    payments    		— Medical expense charge due to an decrease of
    medical payments, after the shock (i.e. as
    prescribed by standard formula).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0330/C0060Absolute value after
    shock — Net solvency
    capital requirement – Health disability — morbidity risk — Medical expense — decrease of medical
    payments    		This is the net capital charge for health disability
    — morbidity risk — Medical expense — decrease of medical payments, after adjustment
    for the loss absorbing capacity of technical
    provisions.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0330/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — Health disability — morbidity risk — Medical expense — decrease of medical
    payments    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) underlying health disability — morbidity risk — Medical expense charge — decrease of medical payments, after the shock
    (i.e. as prescribed by standard formula) as used
    to compute the risk.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0330/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    disability — morbidity
    risk — Medical expense
    — increase of medical
    payments    		This is the gross capital charge (before the loss
    absorbing capacity of technical provisions) for
    health disability — morbidity risk — Medical
    expense — decrease of medical payments.
    If R0030/C0010=1, this row shall not be filled
    in.
    R0340/C0020Initial absolute values
    before shock — Assets
    — Health disability — morbidity risk — Income protection    		This is the absolute value of the assets sensitive
    to health disability — morbidity risk — Income
    protection, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0340/C0030Initial absolute values
    before shock — Liabilities — Health
    disability — morbidity
    risk — Income
    protection    		This is the absolute value of liabilities sensitive
    to health disability — morbidity risk — Income
    protection charge, before the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0340/C0040Absolute values after
    shock — Assets — Health disability — morbidity risk — Income protection    		This is the absolute value of the assets sensitive
    to health disability — morbidity risk — Income
    protection charge, after the shock (i.e. as
    prescribed by standard formula).
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0340/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing
    capacity of technical
    provisions) — Health
    disability — morbidity
    risk — Income
    protection    		This is the absolute value of liabilities (after the
    loss absorbing capacity of technical provisions)
    sensitive to health disability — morbidity risk
    — Income protection, after the shock (i.e. as
    prescribed by standard formula).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0340/C0060Absolute value after
    shock — Net solvency
    capital requirement – Health disability — morbidity risk — Income protection    		This is the net capital charge for health disability
    — morbidity risk — Income protection, after
    adjustment for the loss absorbing capacity of
    technical provisions.
    If R0040/C0010=1, this item represents net
    capital charge for health disability — morbidity
    risk — Income protection calculated using
    simplifications.
    R0340/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — Health disability — morbidity risk — Income protection    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) underlying health disability — morbidity risk — Income protection charge,
    after the shock (i.e. as prescribed by standard
    formula) as used to compute
    the risk.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0340/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    disability — morbidity    		This is the gross capital charge (before the loss
    absorbing capacity of technical provisions) for
    health disability — morbidity risk — Income
    protection.
    risk — Income
    protection    		If R0040/C0010=1, this item represents gross
    capital charge for health disability — morbidity
    risk — Income protection calculated using
    simplifications.
    R0400/C0060Absolute value after
    shock — Net solvency
    capital requirement — SLT Health lapse risk    		This is the overall net capital charge for SLT
    health lapse risk referred to in Title I Chapter V
    Section 4 of Delegated Regulation (EU)
    2015/35, after adjustment for the loss absorbing
    capacity of technical provisions.
    R0400/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — SLT
    Health lapse risk    		This is the overall gross capital charge (before
    the loss absorbing capacity for technical
    provisions) for SLT health lapse risk referred to
    in Title I Chapter V Section 4 of Delegated
    Regulation (EU) 2015/35.
    R0410/C0020Initial absolute values
    before shock — Assets
    — SLT health lapse
    risk – risk of increase in
    lapse    		This is the absolute value of the assets sensitive
    to the risk of an increase in lapse rates, before
    the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0410/C0030Initial absolute values
    before shock — Liabilities — SLT
    health lapse risk — risk
    of increase in lapse    		This is the absolute value of liabilities sensitive
    to the risk of an increase in lapse rates, before
    the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0410/C0040Absolute values after
    shock — Assets — SLT
    health lapse risk –risk of
    increase in lapse    		This is the absolute value of the assets sensitive
    to the risk of an increase in lapse rates after the
    shock (i.e. permanent increase in the rates of
    lapse).
    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) — SLT
    health lapse risk –risk of
    increase in lapse    		This is the absolute value of the liabilities (after
    the loss absorbing capacity of technical
    provisions) sensitive to the risk of an increase in
    lapse rates, after the shock (i.e. permanent
    increase of the rates of lapse).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0410/C0060Absolute value after
    shock — Net solvency    		This is the net capital charge for the risk of a
    permanent increase in lapse rates, after
    capital requirement — SLT health lapse risk – risk of increase in lapseadjustment for the loss absorbing capacity of
    technical provisions.
    If R0050/C0010=1, this item represents net
    capital charge for a permanent increase in SLT
    health lapse rates referred to in Title I Chapter V
    Section 4 of Delegated Regulation (EU)
    2015/35, calculated using simplified calculation
    for SLT health lapse rate
    R0410/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — SLT health lapse risk — risk of increase in lapse    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) underlying the risk of a permanent
    increase in lapse rates, after the shock
    (permanent increase in lapse rates) as used to
    compute the risk.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0410/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — SLT
    health lapse risk –risk of
    increase in lapse    		This is the gross capital charge (excluding the
    loss absorbing capacity for technical provisions)
    for the risk of a permanent increase in lapse
    rates.
    If R0050/C0010=1, this item represents gross
    capital charge for a permanent increase in lapse
    rates, calculated using simplified calculation for
    SLT health lapse rate referred to in Title I
    Chapter V Section 4 of Delegated Regulation
    (EU) 2015/35.
    R0420/C0020Initial absolute values
    before shock — Assets
    — SLT health lapse
    risk – risk of decrease in
    lapse    		This is the absolute value of the assets sensitive
    to the risk of a permanent decrease in lapse
    rates, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0420/C0030Initial absolute values
    before shock — Liabilities — SLT
    health lapse risk — risk
    of decrease in lapse    		This is the absolute value of liabilities sensitive
    to the risk of a permanent decrease in lapse
    rates, before the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0420/C0040Absolute values after
    shock — Assets — SLT
    health lapse risk –risk of
    decrease in lapse    		This is the absolute value of the assets sensitive
    to the risk of a permanent decrease in lapse
    rates, after the shock (i.e. permanent decrease in
    the rates of lapse).
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0420/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing
    capacity of technical
    provisions) — SLT
    health lapse risk –risk of
    decrease in lapse    		This is the absolute value of the liabilities (after
    the loss absorbing capacity of technical
    provisions) sensitive to the risk of a permanent
    decrease in lapse rates, after the shock (i.e.
    permanent decrease of the rates of lapse).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0420/C0060Absolute value after
    shock — Net solvency
    capital requirement — SLT health lapse risk – risk of decrease in lapse    		This is the net capital charge for the risk of a
    permanent decrease in lapse rates, after
    adjustment for the loss absorbing capacity of
    technical provisions.
    If R0050/C0010=1, this item represents net
    capital charge for a permanent decrease in SLT
    health rates referred to in Title I Chapter V
    Section 4 of Delegated Regulation (EU)
    2015/35, calculated using simplified calculation
    for SLT health lapse rate
    R0420/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — SLT health lapse risk – risk of decrease in lapse    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) sensitive to the risk of a permanent
    decrease in lapse rates, after the shock
    (permanent decrease in lapse rates).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0420/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — SLT
    health lapse risk –risk of
    decrease in lapse    		This is the gross capital charge (before the loss
    absorbing capacity for technical provisions) for
    the risk of a permanent decrease in lapse rates
    If R0050/C0010=1, this item represents gross
    capital charge for a permanent decrease in SLT
    health rates referred to in Title I Chapter V
    Section 4 of Delegated Regulation (EU)
    2015/35, calculated using simplified calculation
    for SLT health lapse rate.
    R0430/C0020Initial absolute values
    before shock — Assets
    — SLT health lapse
    risk – mass lapse risk    		This is the absolute value of the assets sensitive
    to mass lapse risk, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0430/C0030Initial absolute values
    before shock — Liabilities — SLT
    health lapse risk –mass
    lapse risk    		This is the absolute value of liabilities sensitive
    to mass lapse risk, before the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0430/C0040Absolute values after
    shock — Assets — SLT
    health lapse risk — mass lapse risk    		This is the absolute value of the assets sensitive
    to mass lapse risk, after the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0430/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing
    capacity of technical
    provisions) — SLT
    health lapse risk — mass lapse risk    		This is the absolute value of liabilities (after the
    loss absorbing capacity of technical provisions)
    sensitive to mass lapse risk, after the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0430/C0060Absolute value after
    shock — Net solvency
    capital requirement — SLT health lapse risk — mass lapse risk    		This is the net capital charge for SLT health
    lapse risk — mass lapse risk, referred to in Title
    I Chapter V Section 4 of Delegated Regulation
    (EU) 2015/35, after adjustment for the loss
    absorbing capacity of technical provisions.
    R0430/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — Health lapse risk — mass lapse risk    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) sensitive to mass lapse risk, after the
    shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0430/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — SLT
    health lapse risk — mass lapse risk    		This is the gross capital charge (excluding the
    loss absorbing capacity for technical provisions)
    for SLT health lapse risk — mass lapse risk
    referred to in Title I Chapter V Section 4 of
    Delegated Regulation (EU) 2015/35.
    R0500/C0020Initial absolute values
    before shock — Assets
    — Health expense risk    		This is the absolute value of the assets sensitive
    to expense risk, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0500/C0030Initial absolute values
    before shock — Liabilities — Health
    expense risk    		This is the absolute value of liabilities sensitive
    to expense risk, before the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0500/C0040Absolute values after
    shock — Assets — Health expense risk    		This is the absolute value of the assets sensitive
    to health expense risk, after the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0500/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing
    capacity of technical
    provisions) — Health
    expense risk    		This is the absolute value of liabilities (after the
    loss absorbing capacity of technical provisions)
    sensitive to health expense risk, after the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0500/C0060Absolute value after
    shock — Net solvency
    capital requirement — Health expense risk    		This is the net capital charge for health expense
    risk, after adjustment for the loss absorbing
    capacity of technical provisions.
    If R0060/C0010=1, this item represents net
    capital charge for health expense risk calculated
    using simplified calculations.
    R0500/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — Health expense risk    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) sensitive to expense risk charge,
    after the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0500/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    expense risk    		This is the gross capital charge (excluding the
    loss absorbing capacity of technical provisions)
    for health expense risk.
    If R0060/C0010=1, this item represents gross
    capital charge for health expense risk calculated
    using simplified calculations.
    R0600/C0020Initial absolute values
    before shock — Assets
    — Health revision risk    		This is the absolute value of the assets sensitive
    to health revision risk, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0600/C0030Initial absolute values
    before shock —    		This is the absolute value of liabilities sensitive
    to health revision risk charge, before the shock.
    Liabilities –Health
    revision risk    		The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0600/C0040Absolute values after
    shock — Assets — Health revision risk    		This is the absolute value of the assets sensitive
    to health revision risk, after the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R0600/C0050Absolute values after
    shock — Liabilities
    (after the loss absorbing
    capacity of technical
    provisions) — Health
    revision risk    		This is the absolute value of liabilities (after the
    loss absorbing capacity of technical provisions)
    sensitive to health revision risk, after the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0600/C0060Absolute value after
    shock — Net solvency
    capital requirement — Health revision risk    		This is the net capital charge for health revision
    risk, after adjustment for the loss absorbing
    capacity of technical provisions.
    R0600/C0070Absolute value after
    shock — Liabilities
    (before the loss
    absorbing capacity of
    technical provisions) — Health revision risk    		This is the absolute value of the liabilities
    (before the loss absorbing capacity of technical
    provisions) sensitive to health revision risk
    charge, after the shock (i.e. as prescribed by
    standard formula, a % increase in the annual
    amount payable for annuities exposed to
    revision risk).
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R0600/C0080Absolute value after
    shock — Gross
    solvency capital
    requirement — Health
    revision risk    		This is the gross capital charge (before the loss
    absorbing capacity of technical provisions) for
    health revision risk.
    R0700/C0060Diversification within
    SLT health underwriting
    risk module — Net    		This is the diversification effect within the SLT
    health underwriting risk module referred to in
    Title I Chapter V Section 4 of Delegated
    Regulation (EU) 2015/35, as a result of the
    aggregation of the net capital requirements (after
    adjustment for the loss
    absorbing capacity of
    technical provisions) of the single risk sub – modules.
    Diversification shall be reported as a negative
    value if they reduce the capital requirement.
    R0700/C0080Diversification within
    SLT health underwriting
    risk module — Gross    		This is the diversification effect within the SLT
    health underwriting risk module referred to in
    Title I Chapter V Section 4 of Delegated
    Regulation (EU) 2015/35, as a result of the
    aggregation of the gross capital requirements
    (before the loss absorbing capacity of technical
    provisions) of the single risk sub-modules.
    Diversification shall be reported as a negative
    value if they reduce the capital requirement.
    R0800/C0060Net solvency capital
    requirements — SLT
    health underwriting risk    		This is the total net capital charge for SLT
    health underwriting risk referred to in Title I
    Chapter V Section 4 of Delegated Regulation
    (EU) 2015/35, after adjustment of the loss
    absorbing capacity of technical provisions.
    R0800/C0080Gross solvency capital
    — SLT health
    underwriting risk    		This is the total gross capital charge for SLT
    health underwriting risk, before adjustment of
    the loss absorbing capacity of technical
    provisions.
    Further details
    on revision risk
    R0900/C0090Revision shock USPRevision shock — group specific parameter as
    calculated by the group and approved by the
    supervisory authority.
    This item is not reported where no group
    specific parameter is used.
    NSLT health
    premium and
    reserve risk
    R1000 – R1030/C0100Standard deviation for
    premium risk — USP    		This is the group specific standard deviation for
    premium risk for each lines of business and its
    proportional reinsurance as calculated by the
    group and approved or prescribed by the
    supervisory authority.
    This item is not reported where no group
    specific parameter is used.
    R1000 – R1030/C0110USP Standard Deviation
    gross/net    		Identify if the USP standard Deviation was
    applied gross or net. One of the options in the
    following closed list shall be used:
    1 — USP gross
    2 — USP net
    R1000 – R1030/C0120Standard deviation for
    premium risk — USP
    — Adjustment factor for
    non — proportional
    reinsurance    		This is the group specific adjustment factor for
    non-proportional reinsurance of each line of
    business, as defined in Annex I to Delegated
    Regulation (EU) 2015/35, which allows groups
    to take into account the risk-mitigating effect of
    particular per risk excess of loss reinsurance — as calculated by the group and approved or
    prescribed by the supervisory authority
    Where no group specific parameter is used, this
    cell shall be left blank.
    R1000 – R1030/C0130Standard deviation for
    reserve risk — USP    		This is the group specific standard deviation for
    reserve risk for each line of business, as defined
    in Annex I to Delegated Regulation (EU)
    2015/35, and its proportional reinsurance as
    calculated by the group and approved or
    prescribed by the supervisory authority.
    This item is not reported where no group
    specific parameter is used.
    R1000 – R1030/C0140Volume measure for
    premium and reserve
    risk — volume measure
    for premium risk:
    Vprem    		The volume measure for premium risk for each
    line of business, as defined in Annex I to
    Delegated Regulation (EU) 2015/35, and its
    proportional reinsurance
    R1000 – R1030/C0150Volume measure for
    premium and reserve
    risk –Volume measure
    reserve risk: Vres    		The volume measure for reserve risk for each
    line of business, as defined in Annex I to
    Delegated Regulation (EU) 2015/35, and its
    proportional reinsurance
    R1000 – R1030/C0160Volume measure for
    premium and reserve
    risk — Geographical
    Diversification    		This represents the geographical diversification
    to be used for the volume measure for premium
    and reserve risk for each line of business, as
    defined in Annex I to Delegated Regulation
    (EU) 2015/35, and its proportional reinsurance.
    If the factor for geographical diversification is
    not calculated, then this item is set to the default
    value of 1.
    R1000 – R1030/C0170Volume measure for
    premium and reserve
    risk — V    		The volume measure for NSLT health premium
    and reserve risk referred to in Title I Chapter V
    Sections 4 and 12 of Delegated Regulation (EU)
    2015/35, for each line of business, as defined in
    Annex I to Delegated Regulation (EU) 2015/35,
    and its proportional reinsurance.
    R1040/C0170Total Volume measure
    for premium and reserve
    risk -
    V    		The total volume measure for premium and
    reserve risk, equal to the sum of the volume
    measures for premium and reserve risk for all
    lines of business.
    R1050/C0100Combined standard
    deviation    		This is the combined standard deviation for
    premium and reserve risk for all segments.
    R1100/C0180Solvency capital
    requirement — NSLT
    health premium and
    reserve risk    		This is the total capital charge for the NSLT
    health premium and reserve risk sub module
    referred to in Title I Chapter V Sections 4 and
    12 of Delegated Regulation (EU) 2015/35.
    R1200/C0190Initial absolute values
    before shock — Assets
    — Lapse risk    		This is the absolute value of the assets sensitive
    to the NSLT health lapse risk referred to in Title
    I Chapter V Section 4 of Delegated Regulation
    (EU) 2015/35, before the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R1200/C0200Initial absolute values
    before shock — Liabilities — Lapse risk    		This is the absolute value of liabilities sensitive
    to the NSLT health lapse risk referred to in Title
    I Chapter V Section 4 of Delegated Regulation
    (EU) 2015/35, before the shock.
    The amount of TP shall be net of reinsurance
    and SPV recoverables.
    R1200/C0210Absolute values after
    shock — Assets — Lapse risk    		This is the absolute value of the assets sensitive
    to the NSLT health lapse risk referred to in Title
    I Chapter V Section 4 of Delegated Regulation
    (EU) 2015/35, after the shock.
    Recoverables from reinsurance and SPVs shall
    not be included in this cell.
    R1200/C0220Absolute values after
    shock Liabilities — Lapse risk    		This is the absolute value of the liabilities
    sensitive to lapse risk, after the shock.
    The amount of Technical Provisions shall be net
    of reinsurance and SPV recoverables.
    R1200/C0230Absolute value after
    shock – Solvency capital
    requirement — Lapse
    risk    		This is the capital charge for NSLT health lapse
    risk referred to in Title I Chapter V Section 4 of
    Delegated Regulation (EU) 2015/35.
    R1300/C0240Diversification within
    NSLT health
    underwriting risk — gross    		This is the diversification effect within the
    NSLT health underwriting risk sub-module
    referred to in Title I Chapter V Section 4 of
    Delegated Regulation (EU) 2015/35, as a result
    of the aggregation of the capital requirements
    for NSLT health premium and reserve risk and
    NSLT health lapse risk.
    Diversification shall be reported as a negative
    value if they reduce the capital requirement.
    R1400/C0240Total solvency capital
    requirement for NSLT
    health underwriting    		This is the total capital charge for the NSLT
    health underwriting risk sub module referred to
    in Title I Chapter V Section 4 of Delegated
    Regulation (EU) 2015/35.
    Health
    catastrophe
    risk
    R1500/C0250Net solvency capital
    requirement for health
    catastrophe risks — Mass accident risk sub
    module    		The net solvency capital requirement for the
    mass risk sub-module calculated after loss
    absorbing capacity of technical provisions
    R1500/C0260Gross solvency capital
    requirement for health
    catastrophe risks — Mass accident risk sub
    module    		The gross solvency capital requirement for the
    mass risk sub-module, calculated before loss
    absorbing capacity of technical provisions.
    R1510/C0250Net solvency capital
    requirement for health
    catastrophe risks — Accident concentration
    risk    		The net solvency capital requirement for the
    accident concentration risk sub-module,
    calculated after loss absorbing capacity of
    technical provisions
    R1510/C0260Gross solvency capital
    requirement for health
    catastrophe risks – Accident concentration
    risk    		The gross solvency capital requirement for the
    accident concentration risk sub-module
    calculated before loss absorbing capacity of
    technical provisions.
    R1520/C0250Net solvency capital
    requirement for health
    catastrophe risks — Pandemic risk    		The net solvency capital requirement for the
    pandemic risk sub-module, calculated after loss
    absorbing capacity of technical provisions.
    R1520/C0260Gross solvency capital
    requirement for health
    catastrophe risks — Pandemic risk    		The gross solvency capital requirement for the
    pandemic risk sub-module is calculated before
    loss absorbing capacity of technical provisions.
    R1530/C0250Diversification within
    health catastrophe risk
    — Net    		This is the diversification effect within the
    health catastrophe risk sub-module as a result of
    the aggregation of the capital requirements for
    the risks of a mass accident, accident
    concentration and pandemic risk, calculated
    after loss absorbing capacity
    of technical
    provisions
    R1530/C0260Diversification within
    health catastrophe risk
    — Gross    		This is the diversification effect within the
    health catastrophe risk sub-module as a result of
    the aggregation of the capital requirements for
    the risks of a mass accident, accident
    concentration and pandemic risk, calculated
    after loss absorbing capacity
    of technical
    provisions.
    R1540/C0250Total net solvency
    capital requirement for
    health catastrophe risk    		This is the total net capital charge (after loss
    absorbing capacity of technical provisions) for
    the health catastrophe risk sub-module
    R1540/C0260Total gross solvency
    capital requirement for
    health catastrophe risk    		This is the total gross capital charge for the
    health catastrophe risk sub — module (before
    loss absorbing capacity of technical provisions)
    Total health
    underwriting
    risk
    R1600/C0270Diversification within
    health underwriting risk
    module — Net    		This is the diversification effect within the
    health underwriting risk sub-module as a result
    of the aggregation of the capital requirements
    SLT health underwriting risk sub-module,
    NSLT health underwriting risk sub-module and
    health catastrophe risk sub-module, referred to
    in Title I Chapter V Section 4 of Delegated
    Regulation (EU) 2015/35, calculated after loss
    absorbing capacity of technical provision.
    R1600/C0280Diversification within
    health underwriting risk
    module — Gross    		This is the diversification effect within the
    health underwriting risk sub-module as a result
    of the aggregation of the capital requirements
    SLT health underwriting risk sub-module,
    NSLT health underwriting risk sub-module and
    health catastrophe risk sub-module, referred to
    in Title I Chapter V Section 4 of Delegated
    Regulation (EU) 2015/35, calculated before loss
    absorbing capacity of technical provisions.
    R1700/C0270Total net solvency
    capital requirement for
    health underwriting risk    		This is the total net solvency capital requirement
    for the health underwriting risk module.
    R1700/C0280Total gross solvency
    capital requirement for
    health underwriting risk    		This is the total gross solvency capital
    requirement for the health underwriting risk
    module.