LegalizeCommission Implementing Regulation (EU) 2023/894 of 4 April 2023 laying down implementing technical standards for the application of Directive 2009/138/EC of the European Parliament and the Council with regard to the templates for the submission by insurance and reinsurance undertakings to their supervisory authorities of information necessary for their supervision and repealing Implementing Regulation (EU) 2015/2450 (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| ITEM | INSTRUCTIONS | |
| Z0010 | Article 112 | Identifies 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 |
| Z0020 | Ring–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 |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0012/C0010 | Simplifications spread risk – bonds and loans | The options in the following closed list shall be used: 1 – Simplification for the purposes of Article 104 2 – Simplifications for the purposes of Article 105a 9 – Simplifications not used Options 1 and 2 may be used simultaneously. If R0012/C0010 = 1, only C0060 and C0080 shall be filled in for R0410 |
| R0014/C0010 | Simplifications market risk concentration– simplifications used | One of the options in the following closed list shall be used: 1 – Simplifications for the purposes of Article 105a 9 – Simplifications not used |
| R0020/C0010 | Captives simplifications – interest rate risk | Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of interest rate risk. The following options shall be used: 1 – Simplifications used 2 – Simplifications not used Where R0020/C0010 = 1, only C0060 and C0080 shall be filled in for R0100–R0120 |
| R0030/C0010 | Captives simplifications – spread risk on bonds and loans | Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of spread risk with regard to bonds and loans. The following options shall be used: 1 – Simplifications used 2 – Simplifications not used |
| R0040/C0010 | Captives simplifications – market risk concentration | Identify whether a captive undertaking within the scope of group supervision used simplifications for the calculation of market risk concentration. The following options shall be used: 1 – Simplifications used 2 – Simplifications not used |
| Interest rate risk | ||
| R0100/C0060 | Absolute value after shock – Net solvency capital requirement – interest rate risk | This is the net capital charge for interest rate risk, i.e. after adjustment for the loss absorbing capacity of technical provisions. If R0020/C0010 = 1, this item represents the net capital charge for interest rate risk calculated using simplified calculations for captive undertakings within the scope of group supervision. |
| R0100/C0080 | Absolute value after shock – Gross solvency capital requirement – interest rate risk | This is the gross capital charge for interest rate risk, i.e. before the loss absorbing capacity of technical provisions. If R0020/C0010 = 1, this item represents the gross capital charge for interest rate risk calculated using simplified calculations for captive undertakings within the scope of group supervision. |
| R0110–R0120/C0020 | Initial 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/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute 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/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute 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/C0060 | Absolute 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/C0080 | Absolute 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/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 charge related to type 1 equities Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0210/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute 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/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – type 1 equities | This is the gross capital charge for equity risk for type 1 equities, i.e. before the loss absorbing capacity of technical provisions. |
| R0221, R0230, R0231, R0240/C0020 | Initial absolute values before shock – Assets – equity risk – type 1 equities | This is the initial absolute value of the assets sensitive to the equity risk (for each kind of type 1 equity). Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0221, R0230, R0231, R0240/C0040 | Absolute values after shock – Assets – equity risk – type 1 equities | This is the absolute value of the assets sensitive the equity risk charge, (for each kind of type 1 equity), after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0250/C0020 | Initial absolute values before shock – Assets – equity risk – type 2 equities | This is the initial absolute value of the assets sensitive to the equity risk for type 2 equities. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0250/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Equity risk – type 2 equities | This is the absolute value of liabilities sensitive to equity risk (for type 2 equities), after the shock and after the loss absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0250/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute 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/C0040 | Absolute values after shock – Assets – equity risk – type 2 equities | This is the absolute value of the assets sensitive to equity risk (for each kind of type 2 equities), after the equity shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0020, R0293-R0295/C0020 | Initial absolute values before shock – Assets – Equity risk –qualifying infrastructure corporate equities | This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure corporate equity. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0030 | Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure corporate equities | This is the initial absolute value of liabilities sensitive to the equity risk for each kind of qualifying infrastructure corporate equity. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0040, R0293-R0295/C0040 | Absolute values after shock – Assets – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure corporate equity, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0291/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of liabilities sensitive to equity risk (for each kind of qualifying infrastructure corporate equity), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0060 | Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure corporate equities | This is the net capital charge for equity risk (for each kind of qualifying infrastructure corporate equity), after the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0291/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of the liabilities sensitive to equity risk (for each kind of qualifying infrastructure corporate equity), after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0291/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – qualifying infrastructure corporate equities | This is the gross capital charge for equity risk for each kind of qualifying infrastructure corporate equity, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0292/C0020, R0296-R0298/C0020 | Initial absolute values before shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities | This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure equity, other than corporate equities. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0292/C0030 | Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure equities other than corporate equities | This is the initial absolute value of liabilities sensitive to the equity risk for each kind of qualifying infrastructure equity, other than corporate equities. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0040, R0296-R0298/C0040 | Absolute values after shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure equity, other than corporate equities, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0292/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of liabilities sensitive to equity risk (for each kind of qualifying infrastructure equity, other than corporate equities), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0060 | Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure equities other than corporate equities | This is the net capital charge for equity risk (for each kind of qualifying infrastructure equity other than corporate equities), after the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| R0292/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities other than corporate equities | This is the absolute value of the liabilities sensitive to equity risk (for each kind of qualifying infrastructure equity other than corporate equities), after the shock, but before the application of the adjustment for the loss-absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0292/C0080 | Absolute 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 equity, other than corporate equities, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. |
| Property risk | ||
| R0300/C0020 | Initial 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/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute 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/C0060 | Absolute value after shock – Net solvency capital requirement – property risk | This is the net capital charge for property risk, after adjustment for the loss absorbing capacity of technical provisions. |
| R0300/C0070 | Absolute 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/C0080 | Absolute 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/C0060 | Absolute 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/C0080 | Absolute 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/C0020 | Initial absolute values before shock – Assets – spread risk – bonds and loans | This is the absolute value of the assets sensitive to the spread risk on bonds and loans. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0410/C0030 | Initial absolute values before shock – Liabilities – spread risk – bonds and loans | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0410/C0040 | Absolute 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/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – bonds and loans | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans, after the shock and after the loss absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0410/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute 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/C0020 | Initial 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/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute 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/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the net capital charge for spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0412/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the absolute value of the liabilities sensitive to the spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, after the shock but before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0412/C0080 | Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (other than qualifying infrastructure investment) | This is the gross capital charge for spread risk on bonds and loans other than qualifying infrastructure investment and infrastructure corporate, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0413/C0020 | Initial absolute values before shock – Assets – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the initial absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0413/C0030 | Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. If splitting is not possible, only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0413/C0040 | Absolute values after shock – Assets – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0413/C0050 | Absolute 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/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure investment) | This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure investment other than infrastructure corporate, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0413/C0070 | Absolute 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/C0080 | Absolute 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 and/or 2, this item shall not be reported. |
| R0414/C0020 | Initial 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/C0030 | Initial absolute values before shock – Liabilities – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the initial absolute value of the liabilities sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0414/C0040 | Absolute values after shock – Assets – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the absolute value of the assets sensitive to the spread risk on bonds and loans that are qualifying infrastructure corporate investment, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0414/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the absolute value of the liabilities underlying the spread risk charge for bonds and loans that are qualifying infrastructure corporate investment, after the shock and after the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0414/C0060 | Absolute value after shock – Net solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the net capital charge for spread risk on bonds and loans that are qualifying infrastructure corporate investment, after adjustment for the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0414/C0070 | Absolute 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/C0080 | Absolute value after shock – Gross solvency capital requirement – Spread risk – bonds and loans (qualifying infrastructure corporate investment) | This is the gross capital charge for spread risk on bonds and loans that are qualifying infrastructure corporate investment, i.e. before the loss absorbing capacity of technical provisions. This value shall be reported only where the split between R0412, R0413 and R0414 could be derived from the method used for the calculation. When the split is not possible only R0410 shall be filled in. If R0012/C0010 = 1 and/or 2, this item shall not be reported. |
| R0420/C0060 | Absolute 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/C0080 | Absolute 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/C0020 | Initial 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/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute 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/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute 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/C0020 | Initial 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/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute 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/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute 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/C0020 | Initial 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/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – senior STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on senior STS securitisation positions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0461/C0040 | Absolute 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/C0050 | Absolute 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/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute 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/C0020 | Initial 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/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – non-senior STS securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on non-senior STS securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0462/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – non-senior STS securitisation | This is the net capital charge for spread risk on non-senior STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0462/C0070 | Absolute values after shock – Liabilities (before 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 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. |
| R0462/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – non-senior STS securitisation | This is the gross capital charge for spread risk on non-senior STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0480/C0020 | Initial 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/C0030 | Initial 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/C0040 | Absolute 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/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – spread risk – securitisation positions – resecuritisation) | This is the absolute value of the liabilities sensitive to the spread risk on resecuritisation positions, after the shock and after the loss absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0480/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute 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/C0020 | Initial 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/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – other securitisation | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0040 | Absolute values after shock – Assets – spread risk – securitisation positions – other securitisation | This is the absolute value of the assets sensitive to the spread risk on other securitisation positions, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0481/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – other securitisation) | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions, after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – other securitisation | This is the net capital charge for spread risk on other securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0481/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – other securitisation | This is the absolute value of the liabilities sensitive to the spread risk on other securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall be reported only where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0481/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – other securitisation | This is the gross capital charge for spread risk on other securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall be reported only where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0482/C0020 | Initial 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/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0482/C0040 | Absolute 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/C0050 | Absolute 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. 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/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – transitional type 1 securitisation | This is the net capital charge for spread risk on transitional type 1 securitisation positions, after application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0482/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – transitional type 1 securitisation | This is the absolute value of the liabilities sensitive to the spread risk on transitional type 1 securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0482/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – transitional type 1 securitisation | This is the gross capital charge for spread risk on transitional type 1 securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0483/C0020 | Initial 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/C0030 | Initial absolute values before shock – Liabilities – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0040 | Absolute 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/C0050 | Absolute values after shock – Liabilities (after the loss-absorbing capacity of technical provisions) – spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions, after the shock and after application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0060 | Absolute value after shock – Net solvency capital requirement – spread risk – securitisation positions – guaranteed STS securitisation | This is the net capital charge for spread risk on guaranteed STS securitisation positions, after the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| R0483/C0070 | Absolute values after shock – Liabilities (before the loss-absorbing capacity of technical provisions)– spread risk – securitisation positions – guaranteed STS securitisation | This is the absolute value of the liabilities sensitive to the spread risk on guaranteed STS securitisation positions, after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0483/C0080 | Absolute value after shock – Gross solvency capital requirement – spread risk – securitisation positions – guaranteed STS securitisation | This is the gross capital charge for spread risk on guaranteed STS securitisation positions, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation. Where the split is not possible, only R0450 shall be filled in. |
| Concentration risk | ||
| R0500/C0020 | Initial absolute values before shock – Assets – market risk concentrations | This is the absolute value of the asset sensitive to the market risk concentrations For captive undertakings within the scope of group supervision, if R0040/C0010 = 1, this item represents the absolute value of the assets sensitive to the market risk concentration, after taking into account simplifications allowed for captives. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0500/C0060 | Absolute value after shock – Net solvency capital requirement – market risk concentrations | This is the net capital charge for market risk concentrations, after adjustment for the loss absorbing capacity of technical provisions, aggregated for each single name exposure. For captive undertakings within the scope of group supervision, if cell R0040/C0010 = 1, this item represents net capital charge for market risk concentration, calculated using simplified calculation. |
| R0500/C0080 | Absolute 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/C0060 | Absolute 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/C0080 | Absolute 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/C0020 | Initial absolute values before shock – Assets – Currency risk – increase/decrease in the value of the foreign currency | This is the total value of the assets sensitive to currency increase/decrease risk, before shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0610–R0620/C0030 | Initial 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/C0040 | Absolute values after shock – Assets – Currency risk – increase/decrease in the value of the foreign currency | This is the absolute value of assets sensitive to currency increase/decrease risk after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
| R0610–R0620/C0050 | Absolute values after shock – Liabilities (after the loss absorbing capacity of technical provisions) – Currency risk – increase/decrease in the value of the foreign currency | This is the absolute value of liabilities (after the loss absorbing capacity of technical provisions) sensitive to currency increase/decrease risk after the shock. The amount of TP shall be net of reinsurance and SPV recoverables. |
| R0610–R0620/C0060 | Absolute 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/C0070 | Absolute 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/C0080 | Absolute 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 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/C0060 | Diversification within market risk module –net | This is the diversification effect within the market risk module as a result of the aggregation of the net capital requirements (after loss absorbing capacity of technical provisions) of the single risk sub–modules. Diversification shall be reported as a negative value when it reduces the capital requirement. |
| R0700/C0080 | Diversification within market risk module – gross | This is the diversification effect within the market risk module as a result of the aggregation of the gross capital requirements (before loss absorbing capacity of technical provisions) of the single risk sub–modules. Diversification shall be reported as a negative value when it reduces the capital requirement. |
| Total solvency capital requirement for market risk | ||
| R0800/C0060 | Total 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/C0080 | Gross solvency capital for market risk | This is the total gross capital charge for all market risks, excluding loss absorbing capacity of technical provisions, calculated using the standard formula. |
| Currency used as a reference to calculate the currency risk | ||
| R0810/C0090 | Currency used as a reference to calculate the currency risk | Identify the ISO 4217 alphabetic code of the currency that is used as a reference to calculate the currency risk |
S.26.02 – Solvency Capital Requirement – Counterparty default 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.26.02 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Template SR.26.02 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).
For group reporting the following specific requirements shall be met:
- a) This information is applicable when method 1 as defined in Article 230 of Solvency II Directive 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.
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