‘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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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 lossabsorbing 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.’
