(7)

in section S.26.01 — Solvency Capital Requirement — Market risk, the table is amended as follows: (a) row R0010/C0010 is deleted; (b) the following row is inserted between rows Z0030 and R0020/C0010: ‘R0012/C0010 Simplifications spread risk – bonds and loans The options in the following closed list shall be used: 1 – Simplification for Article 104 2 – Simplifications for Article 105a 9 – Simplifications not used Options 1 and 2 may be used simultaneously. If R0012/C0010 = 1, only C0060 and C0080 shall be filled in for R0410’ (c) the following row is inserted before row R0020/C0010: ‘R0014/C0010 Simplifications market risk concentration– simplifications used One of the options in the following closed list shall be used: 1 – Simplifications for Article 105a 9 – Simplifications not used’ (d) the code of row R0220–R0240/C0020 is replaced by ‘R0221–R0240/C0020’; (e) the code of row R0220-R0240/C0040 is replaced by ‘R0221-R0240/C0040’; (f) the code for row R0260–R0280/C0020 is replaced by ‘R0261–R0280/C0020’; (g) the code for row R0260–R0280/C0040 is replaced by ‘R0261–R0280/C0040’; (h) the rows between R0261-R0280/C0040 and R0292/C0020 are deleted; (i) the following rows are inserted between rows R0260-R0280/C0040 and R0292/C0020: ‘R0291/C0020, R0293-R0295/C0020 Initial absolute values before shock – Assets – Equity risk –qualifying infrastructure corporate equities This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure corporate equities. Recoverables from reinsurance and SPVs shall not be included in this cell. R0291/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 equities. 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 equities, 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 equities), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. R0291/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 equities) 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 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. 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 equities, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.’ (j) the rows between rows R0291/C0080, R0293-R0295/C0080 and row R0300/C0020 are deleted; (k) the following rows are inserted between rows R0291/C0080, R0293-R0295/C0080 and row R0300/C0020; ‘R0292/C0020, R0296-R0298/C0020 Initial absolute values before shock – Assets – Equity risk –qualifying infrastructure equities other than corporate equities This is the initial absolute value of the assets sensitive to the equity risk for each kind of qualifying infrastructure equities other than corporate equities. Recoverables from reinsurance and SPVs shall not be included in this cell. R0292/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 equities other than corporate equities. The amount of TP shall be net of reinsurance and SPV recoverables. R0292/C0040, R0296-R0298/C0040 Absolute values after shock – Assets – Equity risk – qualifying infrastructure equities other than corporate equities This is the absolute value of the assets sensitive to equity risk for each kind of qualifying infrastructure equities other than corporate equities, after the shock. Recoverables from reinsurance and SPVs shall not be included in this cell. R0292/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 equities other than corporate equities), after the shock and after the application of the adjustment for the loss-absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. R0292/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 equities 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 equities other than corporate equities), after the shock but before the application of the adjustment for the loss-absorbing capacity of technical provisions. The amount of TP shall be net of reinsurance and SPV recoverables. R0292/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 equities other than corporate equities, i.e. before the application of the adjustment for the loss-absorbing capacity of technical provisions.’ (l) the rows between row R0450/C0080 and row R0480/C0020 are deleted; (m) the following rows are inserted between row R0450/C0080 and row R0480/C0020: ‘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 could be derived from the method used for the calculation. Where the split is not possible only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0461/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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0462/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 of the SCR for spread risk. 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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0462/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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.’ (n) the following rows are inserted after row R0480/C0080: ‘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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0481/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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0481/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 of the SCR for spread risk. 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 only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0481/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 only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. R0482/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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0482/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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0482/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 the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. R0482/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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0482/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 of the SCR for spread risk. 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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0483/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 the application of the adjustment for the loss-absorbing capacity of technical provisions. This value shall only be reported where the split between R0461 to R0483 can be derived from the method used for the calculation of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0483/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 of the SCR for spread risk. 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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in. The amount of TP shall be net of reinsurance and SPV recoverables. R0483/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 of the SCR for spread risk. Where the split is not possible, only R0450 shall be filled in.’