- Latest available (Revised)
- Point in Time (16/12/2018)
- Original (As adopted by EU)
Commission Implementing Regulation (EU) 2015/2450 of 2 December 2015 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance)
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Version Superseded: 30/12/2019
Point in time view as at 16/12/2018.
Commission Implementing Regulation (EU) 2015/2450, S.26.01 — Solvency Capital Requirement — Market risk is up to date with all changes known to be in force on or before 20 October 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2015 No. 2450 may be subject to amendment by EU Exit Instruments made by the Prudential Regulation Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 2. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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General comments:
This section relates to annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
The template SR.26.01.01 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub–funds of a material RFF/MAP as identified in the second table of S.01.03.
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
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:
|
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:
|
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 and must be consistent over time and with the fund/portfolio number reported in other templates. [F1When item Z0020 = 2, then report ‘0’.] |
R0010/C0010 | Simplifications spread risk — bonds and loans | Identify whether an undertaking used simplifications for the calculation of spread risk with regard to bonds and loans. One of the options in the following closed list shall be used:
If R0010/C0010 = 1, only C0060 and C0080 shall be filled in for R0410. |
R0020/C0010 | Captives simplifications — interest rate risk | Identify whether a captive undertaking used simplifications for the calculation of interest rate risk. The following options shall be used:
If 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 used simplifications for the calculation of spread risk with regard to bonds and loans. The following options shall be used:
|
R0040/C0010 | Captives simplifications — market risk concentration | Identify whether a captive undertaking used simplifications for the calculation of market risk concentration. The following options shall be 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. |
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. |
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 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. |
R0220–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. |
R0220–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. |
R0260–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. |
R0260–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. |
[ F2 | ||
F2 | ||
F2 | ||
F2 | ||
F2 | ||
F2 | ||
F2 ] | ||
[F3R0291/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 qualifying infrastructure corporate equities. 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 qualifying infrastructure corporate equities. The amount of TP shall be net of reinsurance and SPV recoverables. |
R0291/C0040 | Absolute values after shock – Assets – Equity risk – qualifying infrastructure corporate equities | This is the absolute value of the assets sensitive to equity risk charge for qualifying infrastructure corporate equities, 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 qualifying infrastructure corporate 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. |
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 qualifying infrastructure corporate equities) after 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 qualifying infrastructure corporate 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. |
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 qualifying infrastructure corporate equities, i.e. before the loss absorbing capacity of technical provisions.] |
[F3R0292/C0020 | Initial absolute values before shock – Assets – Equity risk –qualifying infrastructure equities | This is the initial absolute value of the assets sensitive to the equity risk for qualifying infrastructure equities. Recoverables from reinsurance and SPVs shall not be included in this cell. |
R0292/C0030 | Initial absolute values before shock – Liabilities – Equity risk – qualifying infrastructure equities | This is the initial absolute value of liabilities sensitive to the equity risk for qualifying infrastructure equities. The amount of TP shall be net of reinsurance and SPV recoverables. |
R0292/C0040 | Absolute values after shock – Assets – Equity risk – qualifying infrastructure equities | This is the absolute value of the assets sensitive to equity risk charge for qualifying infrastructure 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 | This is the absolute value of liabilities sensitive to equity risk (for qualifying infrastructure equities), after the shock and after the loss absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
R0292/C0060 | Absolute value after shock – Net solvency capital requirement – Equity risk –qualifying infrastructure equities | This is the net capital charge for equity risk (for qualifying infrastructure equities) after adjustment for the loss absorbing capacity of technical provisions. |
R0292/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Equity risk – qualifying infrastructure equities | This is the absolute value of the liabilities sensitive to equity risk (for qualifying infrastructure equities), after the shock but before the loss absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. |
R0292/C0080 | Absolute value after shock – Gross solvency capital requirement – Equity risk – qualifying infrastructure equities | This is the gross capital charge for equity risk for qualifying infrastructure equities, i.e. before the loss absorbing capacity of technical provisions.] |
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 R0010/C0010 = 1, 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 R0010/C0010 = 1, this item represents gross solvency capital requirement for spread risk — bonds and loans calculated using simplifications. |
[ F2 | ||
F2 | ||
F2 | ||
F2 | ||
F2 | ||
F2 | ||
F2 ] | ||
[F4R0412/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 R0010/C0010 = 1, this item shall not be reported. |
R0412/C0070 | Absolute values after shock – Liabilities (before the loss absorbing capacity of technical provisions) – Spread risk – bonds and loans (other than qualifying infrastructure 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 R0010/C0010 = 1, this item shall not be reported.] |
[F3R0413/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. Where the split 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 R0010/C0010 = 1, 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 R0010/C0010 = 1, this item shall not be reported.] |
[F3R0414/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 R0010/C0010 = 1, 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 R0010/C0010 = 1, 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. |
R0460/C0020 | Initial absolute values before shock — Assets — spread risk — securitisation positions — type 1 | This is the absolute value of the assets sensitive to the spread risk on type 1 securitisation positions. Recoverables from reinsurance and SPVs shall not be included in this cell. |
R0460/C0030 | Initial absolute values before shock — Liabilities — spread risk — securitisation positions — type 1 | This is the absolute value of the liabilities sensitive to the spread risk on type 1 securitisation positions. The amount of TP shall be net of reinsurance and SPV recoverables. |
R0460/C0040 | Absolute values after shock — Assets — spread risk — securitisation positions — type 1 | This is the absolute value of the assets sensitive to the spread risk on type 1 securitisation positions, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
R0460/C0050 | Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — spread risk — securitisation positions — type 1) | This is the absolute value of the liabilities sensitive to the spread risk on type 1 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. |
R0460/C0060 | Absolute value after shock — Net solvency capital requirement — spread risk — securitisation positions — type 1 | This is the net capital charge for spread risk on type 1 securitisation positions, after adjustment for the loss absorbing capacity of technical provisions. |
R0460/C0070 | Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions)– spread risk — securitisation positions — type 1 | This is the absolute value of the liabilities sensitive to the spread risk on type 1 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. |
R0460/C0080 | Absolute value after shock — Gross solvency capital requirement — spread risk — securitisation positions — type 1 | This is the gross capital charge for spread risk on type 1 securitisation positions, i.e. before the loss absorbing capacity of technical provisions. |
R0470/C0020 | Initial absolute values before shock — Assets — spread risk — securitisation positions — type 2 | This is the absolute value of the assets sensitive to the spread risk on type 2 securitisation positions. Recoverables from reinsurance and SPVs shall not be included in this cell. |
R0470/C0030 | Initial absolute values before shock — Liabilities — spread risk — securitisation positions — type 2 | This is the absolute value of the liabilities sensitive to the spread risk on type 2 securitisation positions. The amount of TP shall be net of reinsurance and SPV recoverables. |
R0470/C0040 | Absolute values after shock — Assets — spread risk — securitisation positions — type 2 | This is the absolute value of the assets sensitive to the spread risk on type 2 securitisation positions, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. |
R0470/C0050 | Absolute values after shock — Liabilities (after the loss absorbing capacity of technical provisions) — spread risk — securitisation positions — type 2) | This is the absolute value of the liabilities sensitive to the spread risk on type 2 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. |
R0470/C0060 | Absolute value after shock — Net solvency capital requirement — spread risk — securitisation positions — type 2 | This is the net capital charge for spread risk on type 2 securitisation positions, after adjustment for the loss absorbing capacity of technical provisions. |
R0470/C0070 | Absolute values after shock — Liabilities (before the loss absorbing capacity of technical provisions)– spread risk — securitisation positions — type 2 | This is the absolute value of the liabilities sensitive to the spread risk on type 2 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. |
R0470/C0080 | Absolute value after shock — Gross solvency capital requirement — spread risk — securitisation positions — type 2 | This is the gross capital charge for spread risk on type 2 securitisation positions, i.e. before the loss absorbing capacity of technical provisions. |
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. |
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, 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, 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:
|
R0600/C0080 | Absolute value after shock — Gross solvency capital requirement — currency risk | This is the sum for the different currencies of:
|
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 before the loss absorbing capacity of Technical provisions. In R0610 only the currencies where the increase shock is the largest shall be reported and in R0620 only the currencies where the decrease shock is the largest shall be reported. |
Diversification within market risk module | ||
R0700/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 | Total market risk — Gross solvency capital requirement | This is the total gross capital charge for all market risks, excluding loss absorbing capacity of technical provisions, calculated using the standard formula |
Textual Amendments
F1 Deleted by Commission Implementing Regulation (EU) 2017/2189 of 24 November 2017 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
F2 Deleted by Commission Implementing Regulation (EU) 2018/1844 of 23 November 2018 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
F3 Inserted by Commission Implementing Regulation (EU) 2018/1844 of 23 November 2018 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
F4 Substituted by Commission Implementing Regulation (EU) 2018/1844 of 23 November 2018 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
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