Commission Implementing Regulation (EU) 2015/2450Show full title

S.26.01 — Solvency Capital Requirement — Market risk U.K.

General comments:

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

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

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

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

For group reporting the following specific requirements shall be met:

a)

This information is applicable when method 1 as defined in Article 230 of Directive 2009/138/EC is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;

b)

When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;

c)

This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.

	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. [F1 When item Z0020 = 2, then report ‘0]’
[ F2 ]
[F3 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. Where R0012/C0010 = 1, only C0060 and C0080 shall be filled in for R0410]
[F3 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 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 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 — 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.
[F4 R0221-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.
[F4 R0221-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
[F4 R0261–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.
[F4 R0261–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.
[ F5
F5
F5
F5
F5
F5
F5 ]
[ F2
F2
F2
F2
F2
F2
F2 ]
[F3 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, R0293-R0295/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, R0293-R0295/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, R0293-R0295/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, R0293-R0295/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, R0293-R0295/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.]
[ F2
F2
F2
F2
F2
F2
F2 ]
[F3 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, R0296-R0298/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, R0296-R0298/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, R0296-R0298/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, R0296-R0298/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, R0296-R0298/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 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.
[ F5
F5
F5
F5
F5
F5
F5 ]
[F6 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 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.]
[F7 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. 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/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.]
[F7 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 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.
[ F2
F2
F2
F2
F2
F2
F2
F2
F2
F2
F2
F2
F2
F2 ]
[F3 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.
[F3 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 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 net solvency capital requirements for market risk	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.
[F3 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]

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) 2019/2103 of 27 November 2019 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) 2019/2103 of 27 November 2019 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) 2019/2103 of 27 November 2019 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).

F5 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).

F6 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).

F7 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).