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Reading the glossary
Each term is a component of the calculation: a data item entered by the undertaking, a parameter table of the text, or a calculation whose formula is written with its symbols. The “Mechanisms” column names the modules and variants where it plays.
Search and badges combine: only the terms containing all the words entered and carrying all the badges chosen remain.
Frequently asked questions
What does BSCR mean?
Basic Solvency Capital Requirement: the aggregation, with a correlation matrix, of the market, counterparty default, life, health and non-life underwriting risk modules, to which intangible asset risk is added.
What is the symmetric adjustment of the equity capital charge?
A correction of the equity shock, between −10 % and +10 % (−13 % and +13 % from 30/01/2027), published every month by EIOPA according to the difference between the current level of an equity index and its three-year average (Directive, Article 106; Delegated Regulation, Article 172).
What does LGD mean?
Loss-given-default of a counterparty: for reinsurance, it takes into account the amounts recoverable, the risk-mitigating effect and the collateral (Delegated Regulation, Article 192).
What is the adjustment for the loss-absorbing capacity?
The part of the losses offset by the decrease in future discretionary benefits and in deferred taxes; it reduces the SCR (Delegated Regulation, Articles 205 to 207).
Terms
| Term | Definition | Mechanisms |
|---|---|---|
Absolute decrease of the rate by maturityb_down | Parameter table: Interest rate shocks by maturity (Articles 166 and 167)DR | Market |
Absolute decrease of the rate of the positionrate × stress(down) | rate × stress(down) = if(nil_decrease_if_negative × (rate < 0) ; 0 ; rate − max(rate ⊗ (1 − interp(s_down ; dur)) − interp(b_down ; dur) ; if(PI2 = "yes" ; interp(floor ; dur) ; min(interp(floor ; dur) ; rate))))167, 103(3)(e) | Market |
Absolute floor of the Minimum Capital RequirementAMCR | AMCR = if(type of undertaking = "life" ; AMCRl ; if(type of undertaking = "non-life" ; AMCRnl ; if(type of undertaking = "reinsurance" ; AMCR reinsurance ; if(type of undertaking = "captive reinsurance" ; AMCR captive reinsurance ; if(premiums ≤ 10 % × premiums ; AMCRl ; if(premiums ≤ 10 % × premiums ; if(PI5 = "amount(d)(ii)" ; AMCRl ; AMCRnl) ; AMCRnl + AMCRl))))))248(1), 253 | MCR |
Absolute increase of the rate by maturityb_up | Parameter table: Interest rate shocks by maturity (Articles 166 and 167)DR | Market |
Absolute increase of the rate of the positionrate × stress(up) | rate × stress(up) = max(rate ⊗ interp(s_up ; dur) + interp(b_up ; dur) ; minimum_increase)166, 103(2)(e) | Market |
Accident concentration riskSCRac | SCRac = sqrt(sum(SCR(ac,c) ⊗ SCR(ac,c)))162(1) | Counterparty default · Health |
Accident concentration risk by countrySCR(ac,c) | SCR(ac,c) = max(0 ; Cc ⊗ (xe [ evenement_accident = "deces" ] × CE(deces,c) + xe [ evenement_accident = "handicap_permanent" ] × CE(handicap_permanent,c) + xe [ evenement_accident = "handicap_12_mois" ] × CE(handicap_12_mois,c) + xe [ evenement_accident = "traitement" ] × CE(traitement,c)) − recoverables)162(2) | Counterparty default · Health |
Accident yeari | Numbered from 0 for the first accident year. | V1 undertaking-specific parameters |
Adjustment by the risk-sharing factor of the type A co-reinsurance exposurerisk-share_factor | risk-share_factor = if(type = "A_total" ; if(read(SR ; pool) > 0 ; exp(− 0,15 × (min(read(SR ; pool) ; 196 %) − 1)) ; 1) − 1 ; 0)193(1) | Counterparty default |
Adjustment factor for non-proportional reinsuranceNPs | Parameter table: Non-life premium and reserve standard deviationsDR | Counterparty default · Non-life · V1 undertaking-specific parameters |
Adjustment factor for non-proportional reinsurance in NSLT healthNP | Parameter table: Standard deviations of NSLT health premium and reserve risk (Annex XIV)DR | V1 undertaking-specific parameters |
Adjustment for the loss-absorbing capacity of deferred taxesAdjDT | AdjDT = − ΔID207(1) | Loss absorption |
Adjustment for the loss-absorbing capacity of technical provisionsAdjTP | AdjTP = − max(min(BSCR − nBSCR ; FDB) ; 0)206(1) | Loss absorption |
Adjustment for the loss-absorbing capacity of technical provisions and deferred taxesAdj | Adj = AdjTP + AdjDT205 | Loss absorption |
Adjustment of the amount of the type B or C co-reinsurance exposurePU ÷ (1 − PC), PC, PU | PU ÷ (1 − PC), PC, PU = if(type = "B_total" ; if(simplifications ∋ "109" ; PC ; PU) ÷ (1 + 0 × PU − PC) − 1 ; if(type = "B_part" ; PC − 1 ; if(type = "C" ; if(simplifications ∋ "109" ; 0 ; PU − 1) ; 0)))194, 195, 109 a and b | Counterparty default |
Aggregate losses of the accident year after the first development yearyt | In euros: payments and best estimate of claims outstanding, including expenses, catastrophe claims removed (B(1) and (2)). | V1 undertaking-specific parameters |
Aggregation type of the equity categoryequity type | Parameter table: Equity shocks (Articles 168 and 169)DR | Market |
Amount of the positionMVAL / BE | In euros. | Market |
Amount per vehicle of motor vehicle liability riskamount per vehicle | Parameter table: Motor vehicle liability (Article 129)DR | Counterparty default · Non-life |
Amounts recoverable from proportional reinsurance by underwriting riskRecoverablesall | Recoverablesall = group(exposure ; j)108 c | Counterparty default |
Annuity benefits received by the beneficiary during the financial yearA(i,t) | In euros, gross of reinsurance, including expenses. | V1 undertaking-specific parameters |
Article 107a applicable at the valuation datein_force_107a | Parameter table: Parameters of the simplified counterparty default calculations (Articles 107a, 112)DR | Counterparty default |
Article 89a applicable at the valuation datein_force_89a | Parameter table: Parameters of the simplified calculations of Articles 89a and 90cDR | Counterparty default · Life · Health · Non-life · Intangible assets |
Average benefit per person of the largest concentration: deathCE(deces,c) | In euros per person: sum of the benefits of the insured persons of this concentration divided by their number. Empty if none. | Counterparty default · Health |
Average benefit per person of the largest concentration: disablement lasting 12 monthsCE(handicap_12_mois,c) | In euros per person: sum of the benefits of the insured persons of this concentration divided by their number. Empty if none. | Counterparty default · Health |
Average benefit per person of the largest concentration: medical treatmentCE(traitement,c) | In euros per person: sum of the benefits of the insured persons of this concentration divided by their number. Empty if none. | Counterparty default · Health |
Average benefit per person of the largest concentration: permanent disablementCE(handicap_permanent,c) | In euros per person: sum of the benefits of the insured persons of this concentration divided by their number. Empty if none. | Counterparty default · Health |
Average change in annuity benefits estimated by the undertakingX̄ | In euros. Read if PI7 = estimate provided by the undertaking. | V1 undertaking-specific parameters |
Average lapse rate of policies with a negative surrender strain (Article 102(2))ldown | As a decimal. | Health |
Average lapse rate of policies with a negative surrender strain (Article 95(2))ldown | As a decimal. | Life |
Average lapse rate of policies with a positive surrender strain (Article 102(1))lup | As a decimal. | Health |
Average lapse rate of policies with a positive surrender strain (Article 95(1))lup | As a decimal. | Life |
Average modified duration of securitisation positionsdur | In years. Average modified duration of the positions of the category, weighted by their value; a duration lower than 1 year counts as 1 year. | Market |
Average modified duration of the specific exposuresdur | In years. Average modified duration of the securities of the category, weighted by their value; a duration lower than 1 year counts as 1 year. | Market |
Average mortality rate over the next 12 months, weighted by the sum insured (Article 92)q | As a decimal (0.01 for 1 %). | Life |
Average mortality rate over the next 12 months, weighted by the sum insured (Article 98)q | As a decimal. | Health |
Average number of annuity increases per financial year estimated by the undertakingN̄ | Read if PI7 = estimate provided by the undertaking. | V1 undertaking-specific parameters |
Average period over which policies with a negative surrender strain run off (Article 102(2))ndown | In years. | Health |
Average period over which policies with a negative surrender strain run off (Article 95(2))ndown | In years. | Life |
Average period over which policies with a positive surrender strain run off (Article 102(1))nup | In years. | Health |
Average period over which policies with a positive surrender strain run off (Article 95(1))nup | In years. | Life |
Average sum insured of residential property (Article 90c(6))SIav | In euros. | Counterparty default · Non-life |
Aviation riskSCRaviation | SCRaviation = SIa131 | Counterparty default · Non-life |
Base equity shockbase shock | Parameter table: Equity shocks (Articles 168 and 169)DR | Market |
Basic capital requirement for operational riskOp | Op = max(Oppremiums ; Opprovisions)204(2) | Operational risk |
Basic own funds after the decrease in the term structure of interest rates (Article 167)BOF after decrease | In euros. Basic own funds recalculated by the undertaking after applying the downward shocked term structure of interest rates to assets and liabilities (Article 167). | SCR and ratio · Market · V2 transitional interest rates · V3 transitional provisions · V4 extrapolation |
Basic own funds after the increase in the term structure of interest rates (Article 166)BOF after increase | In euros. Basic own funds recalculated by the undertaking after applying the upward shocked term structure of interest rates to assets and liabilities (Article 166). | SCR and ratio · Market · V2 transitional interest rates · V3 transitional provisions · V4 extrapolation |
Basic own funds before the shockBOF | In euros. Basic own funds (excess of assets over liabilities less deducted items) at the valuation date, before any shock. | Market · V2 transitional interest rates · V3 transitional provisions · V4 extrapolation |
Basic Solvency Capital RequirementBSCR | BSCR = assumption(nBSCR ; "gross")Dir. 103(a) | SCR and ratio |
Beneficiaryi | Data entered by the undertaking. | V1 undertaking-specific parameters |
Benefits in a mass accident: death, by country of residenceE(deces,s) | In euros. Sum of the benefits of the insured persons resident in the country (income protection and workers' compensation contracts, and medical expenses for treatment), annuities at their best estimate (Article 161(3)). Empty if none. | Counterparty default · Health |
Benefits in a mass accident: disablement lasting 12 months, by country of residenceE(handicap_12_mois,s) | In euros. Sum of the benefits of the insured persons resident in the country (income protection and workers' compensation contracts, and medical expenses for treatment), annuities at their best estimate (Article 161(3)). Empty if none. | Counterparty default · Health |
Benefits in a mass accident: medical treatment, by country of residenceE(traitement,s) | In euros. Sum of the benefits of the insured persons resident in the country (income protection and workers' compensation contracts, and medical expenses for treatment), annuities at their best estimate (Article 161(3)). Empty if none. | Counterparty default · Health |
Benefits in a mass accident: permanent disablement, by country of residenceE(handicap_permanent,s) | In euros. Sum of the benefits of the insured persons resident in the country (income protection and workers' compensation contracts, and medical expenses for treatment), annuities at their best estimate (Article 161(3)). Empty if none. | Counterparty default · Health |
Best estimate at the end of the financial year of the claims outstanding at its beginning, plus the payments of the year on these claimsyt | In euros, net of reinsurance, including expenses. | V1 undertaking-specific parameters |
Best estimate for provisions for claims outstanding of the health segmentV(res,s) | In euros, net of reinsurance. Empty if none. | Health |
Best estimate for provisions for claims outstanding, net of reinsuranceBE claims | In euros, net of reinsurance. Best estimate for provisions for claims outstanding of the segment (Solvency II balance sheet, template S.17.01). | Non-life |
Best estimate of claims outstanding at the beginning of the financial yearxt | In euros, net of reinsurance, including expenses. | V1 undertaking-specific parameters |
Best estimate of health obligations subject to longevity riskBElong | In euros. | Health · V2 transitional interest rates · V4 extrapolation |
Best estimate of income protection obligations subject to disability-morbidity riskBEdis | In euros. | Health · V2 transitional interest rates · V4 extrapolation |
Best estimate of obligations subject to disability-morbidity riskBEdis | In euros. | Life · V2 transitional interest rates · V4 extrapolation |
Best estimate of obligations subject to longevity riskBElong | In euros. Contracts of Article 138(2). | Life · V2 transitional interest rates · V4 extrapolation |
Best estimate of the obligations, net of amounts recoverable, of the underwriting riskBE | In euros (Article 108(a)). | Counterparty default · V2 transitional interest rates · V4 extrapolation |
Calculation base of the market risk concentrations sub-moduleAssets | Assets = value of assets − excluded assets184(2) | Market |
Cap of the combined MCR as a share of the SCR45 % | Parameter table: Corridor of the combined MCR (Article 248(2)) and Tier 2 share (Article 82(2))DR | MCR |
Cap on operational risk as a share of the BSCRcap as a share of the BSCR | Parameter table: Operational risk (Article 204)DR | Operational risk |
Capital at risk after twelve months (Article 100)CAR2 | In euros. Same definition as CAR1, in twelve months. | Health · V2 transitional interest rates · V4 extrapolation |
Capital at risk after twelve months (Article 93)CAR2 | In euros. Same definition as CAR1, in twelve months. | Life · V2 transitional interest rates · V4 extrapolation |
Capital at risk of year k (Article 91)CARk | In euros. For each year k up to the duration n: sum, over the contracts with a positive capital at risk, of the amount paid during year k on death and the present value of the amounts paid after year k on immediate death, less the best estimate of year k, net of reinsurance; at least 0 per contract. | Life · V2 transitional interest rates · V4 extrapolation |
Capital at risk of year k (Article 97)CARk | In euros. Sum, over the contracts with a positive capital at risk, of the amount paid during year k on death and the present value of the future amounts on immediate death, less the best estimate of year k, net of reinsurance; at least 0 per contract. For each year k up to the duration n. | Health · V2 transitional interest rates · V4 extrapolation |
Capital at risk on death or disability (Article 100)CAR1 | In euros. Sum, over the contracts with a positive capital at risk, of the amount currently paid on death or disability and the present value of the future amounts on immediate death or disability, less the best estimate, net of reinsurance; at least 0 per contract. | Health · V2 transitional interest rates · V4 extrapolation |
Capital at risk on death or disability (Article 93)CAR1 | In euros. Sum, over the contracts with a positive capital at risk, of the amount currently paid on death or disability and the present value of the future amounts on immediate death or disability, less the best estimate, net of reinsurance. | Life · V2 transitional interest rates · V4 extrapolation |
Capital at risk relating to non-life activitiesCAR non-life activities | In euros. Part of the capital at risk entered relating to non-life activities. 0 if none. | V2 transitional interest rates · V4 extrapolation |
Capital requirement by health scenarioSCRchoc | SCRchoc = max(0 ; BOF − BOF after shock)150, 152 to 159 | Health |
Capital requirement by life scenarioSCRchoc | SCRchoc = max(0 ; BOF − BOF after shock)137 to 143 | Life |
Capital requirement by natural perilSCRperil | SCRperil = sqrt(SCR(peril,regions) ⊗ SCR(peril,regions) + SCR(peril,other) ⊗ SCR(peril,other))121(1), 122(1), 123(1), 124(1), 125(1) | Counterparty default · Non-life |
Capital requirement for earthquake by regionSCR(earthquake,r) | SCR(earthquake,r) = max(max(0 ; (share A1 [ peril_nat = "seisme" ] + share A2 [ peril_nat = "seisme" ]) × L(earthquake,r) − recoverables) ; max(0 ; (share B1 [ peril_nat = "seisme" ] + share B2 [ peril_nat = "seisme" ]) × L(earthquake,r) − recoverables))122(2) to (4) | Counterparty default · Non-life |
Capital requirement for earthquake in the regions of Annex XIIISCR(earthquake,regions) | SCR(earthquake,regions) = aggregate(Corr(r,s) [ peril_nat = "seisme" ] ; SCR(earthquake,r))122(1) | Counterparty default · Non-life |
Capital requirement for flood by regionSCR(flood,r) | SCR(flood,r) = max(max(0 ; (share A1 [ peril_nat = "inondation" ] + share A2 [ peril_nat = "inondation" ]) × L(flood,r) − recoverables) ; max(0 ; (share B1 [ peril_nat = "inondation" ] + share B2 [ peril_nat = "inondation" ]) × L(flood,r) − recoverables))123(2) to (4) | Counterparty default · Non-life |
Capital requirement for flood in the regions of Annex XIIISCR(flood,regions) | SCR(flood,regions) = aggregate(Corr(r,s) [ peril_nat = "inondation" ] ; SCR(flood,r))123(1) | Counterparty default · Non-life |
Capital requirement for hail by regionSCR(hail,r) | SCR(hail,r) = max(max(0 ; (share A1 [ peril_nat = "grele" ] + share A2 [ peril_nat = "grele" ]) × L(hail,r) − recoverables) ; max(0 ; (share B1 [ peril_nat = "grele" ] + share B2 [ peril_nat = "grele" ]) × L(hail,r) − recoverables))124(2) to (4) | Counterparty default · Non-life |
Capital requirement for hail in the regions of Annex XIIISCR(hail,regions) | SCR(hail,regions) = aggregate(Corr(r,s) [ peril_nat = "grele" ] ; SCR(hail,r))124(1) | Counterparty default · Non-life |
Capital requirement for qualifying infrastructure corporate equity investmentsSCRquinfc | SCRquinfc = max(0 ; sum(value ⊗ (base shock + SA share × SA) ⊗ (equity type = 4)) − sum(TP decrease ⊗ keyed(equity type ; 4 : 1)))169 | Market |
Capital requirement for qualifying infrastructure equity investmentsSCRquinf | SCRquinf = max(0 ; sum(value ⊗ (base shock + SA share × SA) ⊗ (equity type = 3)) − sum(TP decrease ⊗ keyed(equity type ; 3 : 1)))169 | Market |
Capital requirement for subsidence by regionSCR(subsidence,r) | SCR(subsidence,r) = max(max(0 ; (share A1 [ peril_nat = "affaissement" ] + share A2 [ peril_nat = "affaissement" ]) × L(subsidence,r) − recoverables) ; max(0 ; (share B1 [ peril_nat = "affaissement" ] + share B2 [ peril_nat = "affaissement" ]) × L(subsidence,r) − recoverables))125(2) to (4) | Counterparty default · Non-life |
Capital requirement for subsidence in the regions of Annex XIIISCR(subsidence,regions) | SCR(subsidence,regions) = aggregate(Corr(r,s) [ peril_nat = "affaissement" ] ; SCR(subsidence,r))125(1) | Counterparty default · Non-life |
Capital requirement for type 1 equitiesSCRequ1 | SCRequ1 = max(0 ; sum(value ⊗ (base shock + SA share × SA) ⊗ (equity type = 1)) − sum(TP decrease ⊗ keyed(equity type ; 1 : 1)))169 | Market |
Capital requirement for type 1 exposuresSCRdef,1 | SCRdef,1 = max(0 ; (if(simplifications ∋ "112b" and σ ≤ threshold 2 × sum LGD ; high multiplier × σ ; if(σ ≤ threshold 1 × sum LGD ; multiplier × σ ; if(σ ≤ threshold 2 × sum LGD ; high multiplier × σ ; sum LGD)))) − ΔFDB [ ΔFDB = "def1" ])200, 112b, 206(2) | Counterparty default |
Capital requirement for type 2 equitiesSCRequ2 | SCRequ2 = max(0 ; sum(value ⊗ (base shock + SA share × SA) ⊗ (equity type = 2)) − sum(TP decrease ⊗ keyed(equity type ; 2 : 1)))169 | Market |
Capital requirement for type 2 exposuresSCRdef,2 | SCRdef,2 = max(0 ; 90 % × LGDreceivables>3months + default factor × LGDdefaulted/forborne + 15 % × (LGD other + LGD mortgages) − TP decrease)202 | Counterparty default |
Capital requirement for windstorm by regionSCR(windstorm,r) | SCR(windstorm,r) = max(max(0 ; (share A1 [ peril_nat = "tempete" ] + share A2 [ peril_nat = "tempete" ]) × L(windstorm,r) − recoverables) ; max(0 ; (share B1 [ peril_nat = "tempete" ] + share B2 [ peril_nat = "tempete" ]) × L(windstorm,r) − recoverables))121(2) to (4) | Counterparty default · Non-life |
Capital requirement for windstorm in the regions of Annex XIIISCR(windstorm,regions) | SCR(windstorm,regions) = aggregate(Corr(r,s) [ peril_nat = "tempete" ] ; SCR(windstorm,r))121(1) | Counterparty default · Non-life |
Capital requirement of the module at the date of the full calculation (Article 89a(1))SCRk0 | In euros. Result of the full calculation of the module or sub-module at the reference date at which it was established that it meets the conditions of Article 109(2) and (3) of the Directive; this calculation is no more than three years old. Fill in only the modules concerned. | Counterparty default · Life · Health · Non-life · Intangible assets |
Capital requirement of the underwriting riskSCRj | SCRj = keyed(module_souscription ; non_vie : SCRnon-life ; vie : SCRlife ; sante : SCRhealth)108 d | Counterparty default |
Captive reinsurance absolute floorAMCR captive reinsurance | Parameter table: Absolute floors (Directive, Article 129(1)(d); Article 253)DR | MCR |
Captive undertaking meeting the conditions of Article 89, demonstratedcaptive | captive = Art. 89 = "yes"89 | Market · Non-life |
Catastrophe risk of non-proportional property reinsuranceSCRnpproperty | SCRnpproperty = max(0 ; 2,5 × (diversified share × DIVnpproperty + fixed share) × Pnpproperty − recoverables [ scenario_cat = "np_dommages" ])127 | Counterparty default · Non-life |
Change in deferred taxes after an instantaneous loss (positive amount)ΔID | In euros, positive amount. Decrease in net deferred taxes after an instantaneous loss equal to BSCR + adjustment for technical provisions + operational risk (Article 207). 0 if none. | Loss absorption |
Class without a credit assessment in the simplified calculationunrated | unrated = read_group(if(Art. 105 ; unrated_105 ; if(105a ; unrated ; unrated_fallback)) ; MV)104(1)(d) | Market |
Co-reinsurance arrangement of the exposurepool | Name of the arrangement, identical to that of the members entered. Empty outside co-reinsurance. | Counterparty default |
Co-reinsurance arrangement of the memberpool | Name of the arrangement, identical to that of the exposures. | Counterparty default |
Coefficient of the cross term (Article 111a)1,5 | Parameter table: Coefficients of the simplified calculation of the risk-mitigating effect (Article 111a)111a | Counterparty default |
Coefficient of the inter variance1,25 | Parameter table: Type 1 exposures (Articles 200, 201)DR | Counterparty default |
Coefficient of the intra variance1,5 | Parameter table: Type 1 exposures (Articles 200, 201)DR | Counterparty default |
Collateral case (Article 112)case 112 | Article 112 used: the “collateral” cell receives the value of the assets held as collateral; the calculation uses 85 % or 75 % of it depending on the case. Empty: the collateral is not used. | Counterparty default |
Combined Minimum Capital RequirementMCRcombined | MCRcombined = min(max(MCRlinear ; 25 % × SCR) ; 45 % × SCR)248(2) | MCR |
Concentration capital requirement on the central governmentConc | Conc = max(0 ; XS ⊗ interp(g sovereign ; average credit quality step) − TP decrease)183(2), 187(4) | Market |
Concentration capital requirement on the covered bondsConc | Conc = max(0 ; XS ⊗ interp(g ; average credit quality step) − TP decrease)183(2), 186 | Market |
Concentration capital requirement on the immovable propertyConc | Conc = max(0 ; XS × g property − TP decrease)183(2), 187(2) | Market |
Concentration capital requirement on the single nameConc | Conc = max(0 ; XS ⊗ interp(g ; average credit quality step) − TP decrease)183(2), 186 | Market |
Concentration risk factor by credit quality stepg | Parameter table: Concentration: relative excess exposure threshold and risk factor by credit quality step (Articles 185, 186, 187(4))DR | Market |
Concentration risk factor of the central governments of Article 187(4)g sovereign | Parameter table: Concentration: relative excess exposure threshold and risk factor by credit quality step (Articles 185, 186, 187(4))DR | Market |
Correlation between health sub-modulesCorrH(i,j) | Parameter table: Correlations between health sub-modules (Article 144(3))DR | Health |
Correlation between life sub-modulesCorr(i,j) | Parameter table: Correlations between life sub-modules (Article 136(3))DR | Life |
Correlation between NSLT health segmentsCorrHS(s,t) | Parameter table: Correlations between NSLT health segments (Annex XV)DR | Health |
Correlation between SLT health sub-modulesCorrSLTH(i,j) | Parameter table: Correlations between SLT health sub-modules (Article 151(3))DR | Health |
Correlation between type 1 and type 2 equitiescorrelation type 1 / type 2 | Parameter table: Equity aggregationDR | Market |
Correlation of liability risk groupsCorr(liability,i,j) | Parameter table: Liability: correlations between groups (Annex XI)DR | Counterparty default · Non-life |
Correlation of type 1 and type 2 exposures1,5 | Parameter table: Aggregation of exposure types (Article 189(1))DR | Counterparty default |
Correlations between BSCR modulesCorr(i,j) | Parameter table: Correlations between BSCR modules (Directive, Annex IV)DIR | SCR and ratio |
Correlations between non-life segmentsCorrS(s,t) | Parameter table: Correlations between non-life segments (Annex IV)DR | Non-life |
Correlations between non-life sub-modulesCorrNL(i,j) | Parameter table: Correlations between non-life sub-modules (Article 114)DR | Non-life |
Counterparty default risk moduleSCRdefault | SCRdefault = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_default" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_default" ] ; SCRk0 [ module_89bis = "SCR_default" ] ÷ Volumek0 [ module_89bis = "SCR_default" ] × Volumekt [ module_89bis = "SCR_default" ]) ; sqrt(SCRdef,1 ^ 2 + 1,5 × SCRdef,1 × SCRdef,2 + SCRdef,2 ^ 2))189(1), 89a | Counterparty default |
Credibility factorc | Parameter table: Credibility factor (Annex XVII G)Annex XVII | V1 undertaking-specific parameters |
Credibility factor table of the non-life segmenttable | Parameter table: Credibility factor table of non-life segments (Annex XVII G)Annex XVII | V1 undertaking-specific parameters |
Credibility factor table of the NSLT health segmenttable | Parameter table: Credibility factor table of NSLT health segments (Annex XVII G(2))Annex XVII | V1 undertaking-specific parameters |
Credibility factor, non-proportional reinsurance (non-life)c | c = interp2(c ; table ; length)Annex XVII G | V1 undertaking-specific parameters |
Credibility factor, non-proportional reinsurance (NSLT health)c | c = interp2(c ; table ; length)Annex XVII G | V1 undertaking-specific parameters |
Credibility factor, premium risk method (non-life)c | c = interp2(c ; table ; T)Annex XVII G | V1 undertaking-specific parameters |
Credibility factor, premium risk method (NSLT health)c | c = interp2(c ; table ; T)Annex XVII G | V1 undertaking-specific parameters |
Credibility factor, reserve risk method 1 (non-life)c | c = interp2(c ; table ; T)Annex XVII G | V1 undertaking-specific parameters |
Credibility factor, reserve risk method 1 (NSLT health)c | c = interp2(c ; table ; T)Annex XVII G | V1 undertaking-specific parameters |
Credibility factor, reserve risk method 2 (non-life)c | c = interp2(c ; table ; I + 1)Annex XVII G | V1 undertaking-specific parameters |
Credibility factor, reserve risk method 2 (NSLT health)c | c = interp2(c ; table ; I + 1)Annex XVII G | V1 undertaking-specific parameters |
Credit and suretyship riskSCRcredit | SCRcredit = sqrt(SCRdefault ^ 2 + SCRrecession ^ 2)134(1) | Counterparty default · Non-life |
Credit quality of the counterpartyquality | Credit quality step, or situation of the unrated counterparty (Article 199); a fully guaranteed exposure (Articles 209 to 215) takes the quality of the guarantor. | Counterparty default |
Credit quality of the memberquality | Data entered by the undertaking. | Counterparty default |
Credit quality step 3 assigned to eligible unrated bonds (Article 105a)105a | 105a = simplifications ∋ "105a" and rated share ≥ 80 %105a | Market |
Credit quality step of the central governmentcredit quality step | Weighted average of the credit quality steps; from 30/01/2027, moved back one step for exposures in the national currency whose step is 2 or more (Article 182(5)). | Market |
Credit quality step of the covered bondscredit quality step | Weighted average of the credit quality steps of the issuer's covered bonds; threshold of 15 % at steps 0 and 1, ordinary threshold and factor beyond. | Market |
Credit quality step treated as without a credit assessmentunrated | Parameter table: Simplified calculation of spread risk on bonds and loans (Article 104(2)) and credit quality steps of Article 105aDR | Market |
Credit quality step treated as without a credit assessment without Article 105aunrated_fallback | Parameter table: Simplified calculation of spread risk on bonds and loans (Article 104(2)) and credit quality steps of Article 105aDR | Market |
Credit quality step with a credit assessmentrated | Parameter table: Simplified calculation of spread risk on bonds and loans (Article 104(2)) and credit quality steps of Article 105aDR | Market |
Cumulative payments of the accident year up to the development yearC(i,j) | In euros, net of reinsurance, including expenses. | V1 undertaking-specific parameters |
Currency risk sub-moduleSCRcurrency | SCRcurrency = sum(max(loss up ; loss down))188 | Market |
Currency shock by currency paircurrency shock | Parameter table: Currency shock, local currency × foreign currency (Article 188, Implementing Regulation (EU) 2015/2017)DR | Market |
Currency shock of each foreign currency against the local currencyshock | shock = currency shock [ monnaie = local currency ]188 | Market |
Date of the last published value of the symmetric adjustmentlast SA publication | Parameter table: Symmetric adjustment of the equity capital charge (daily value published by EIOPA)EIOPA_SA | Market |
Decrease in technical provisions and other offsetting effects under the concentration shock of the central governmentTP decrease | In euros. Decrease in technical provisions caused by the loss on this name (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the concentration shock of the covered bondsTP decrease | In euros. Decrease in technical provisions caused by the loss on this name (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the concentration shock of the immovable propertyTP decrease | In euros. Decrease in technical provisions caused by the loss on this name (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the concentration shock of the single nameTP decrease | In euros. Decrease in technical provisions caused by the loss on this name (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the equity shockTP decrease | In euros. Decrease in technical provisions caused by the equity shock (profit participation). Empty if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the fall of the currencyTP decrease down | In euros. Decrease in technical provisions caused by the fall of the currency against the local currency. Empty if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the property shockTP decrease property | In euros. Decrease in technical provisions caused by the property shock (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the rise of the currencyTP decrease up | In euros. Decrease in technical provisions caused by the rise of the currency against the local currency (profit participation). Empty if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the shock on type 2 exposuresTP decrease | In euros. 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Counterparty default · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the spread shockTP decrease spread | In euros. Decrease in technical provisions caused by the spread shock on bonds and loans, including the exposures of Article 180 (profit participation). 0 if not applicable. Not read if the simplified calculation of Article 104 is used. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in technical provisions and other offsetting effects under the spread shock on securitisationsTP decrease securitisation | In euros. Decrease in technical provisions caused by the shock on securitisation positions (profit participation). 0 if not applicable. Includes the other effects of the shock that offset the loss: decrease in other liabilities, gain on hedging instruments (Articles 196, 208 to 210). The part due to the decrease in future discretionary benefits is also entered separately (Article 206). | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Decrease in the value of bonds and loans in the simplified calculationMVbonds × (somme(%MVi × stressi) + %MVnorating × min(durnorating × 3 % ; 1)) | MVbonds × (somme(%MVi × stressi) + %MVnorating × min(durnorating × 3 % ; 1)) = max(0 ; (sum(MV ⊗ max(dur ; minimum duration) ⊗ bi) + MVbonds × %MVnorating × min(durnorating × 3 % ; 1)) − ΔFDB [ ΔFDB = "104" ])104(1) and (2), 206(2) | Market |
Deferred taxes relating to the transitional deductionDT deduction | In euros, positive for a deferred tax liability arising from the deduction. 0 if none. | V3 transitional provisions |
Denominator of the intra variance2,5 | Parameter table: Type 1 exposures (Articles 200, 201)DR | Counterparty default |
Development yearj | 0 for the accident year. | V1 undertaking-specific parameters |
Difference between the technical provisions under the current regime and under the previous regimespread | spread = TP 01/01/2016 − TP previous regimeDir. 308d(2) | V3 transitional provisions |
Difference in the catastrophe capital requirement due to the contractSCRCAThyp − SCRCATwithout | SCRCAThyp − SCRCATwithout = SCRCAThyp − (s ≠ "") ⊗ SCRnl CAT − (s ≠ "") ⊗ SCRhealthCAT111a a, b | Counterparty default |
Difference in the weighted premium volume due to the contractσs × (Pshyp − Pswithout + Recoverables) | σs × (Pshyp − Pswithout + Recoverables) = (read(σ(prem,s) ; s) + read(σ(prem,s) ; s)) ⊗ (Pshyp − read(V(prem,s) ; s) − read(V(prem,s) ; s) + exposure)111a c to f | Counterparty default |
Disability-morbidity rate over the following 12 months (Article 100)d2 | As a decimal. Weighted by the sum insured. | Health |
Disability-morbidity rate over the following 12 months (Article 93)d2 | As a decimal. Weighted by the sum insured. | Life |
Disability-morbidity rate over the next 12 months (Article 100)d1 | As a decimal. Weighted by the sum insured. | Health |
Disability-morbidity rate over the next 12 months (Article 93)d1 | As a decimal. Weighted by the sum insured. | Life |
Diversification factor by peril calculated according to Annex IIIDIV[peril] | DIV[peril] = herfindahl(P used ; region ; peril)Annex III | Counterparty default · Non-life |
Diversification factor of non-proportional property reinsuranceDIVnpproperty | DIVnpproperty = if(DIV = "yes" ; if(DIV[peril] [ groupe = "np_dommages" ] > 0 ; DIV[peril] [ groupe = "np_dommages" ] ; 1) ; 1)127(2)(a), Annex III | Counterparty default · Non-life |
Diversified share of catastrophe losses on premiumsdiversified share | Parameter table: Catastrophe: losses proportional to premiums (Articles 121(8), 127, 134)DR | Counterparty default · Non-life |
Diversified share of the volume measurediversified share | Parameter table: Non-life premium and reserveDR | Non-life |
Diversified share of the volume measure in NSLT health0,25 | Parameter table: NSLT health premium and reserve (Articles 146, 147)DR | Health |
Duration band bound at credit quality step 3 (Article 105)bound_105 | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Duration band bound of securitisation positionsbound | Parameter table: Spread factors of securitisation positions (Article 178(3) to (9))DR | Market |
Duration band bound of the specific exposuresbound | Parameter table: Spread factors of specific exposures (Article 180(1), (3), (5), (11) and (14))DR | Market |
Duration band bound without Article 105abound_fallback | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Duration of the positiondur | dur = if(type = "actif" ; read(duri ; interval) ; durlob)103(2)(c),(h) | Market |
Earned premium during the last 12 monthsP(last,s) | In euros, net of reinsurance. Premiums earned during the 12 months before the valuation date. | Counterparty default · Non-life |
Earned premiums during the last 12 months of the health segmentP(last,s) | In euros, net of reinsurance. Empty if none. | Counterparty default · Health |
Earned premiums of the accident yearxt | In euros; net or gross of reinsurance depending on the parameter replaced (Annex XVII B(2)(c) and (d)). | V1 undertaking-specific parameters |
Eligible own funds of the member within the scope of the DirectiveEOFi | In euros. Members i. | Counterparty default |
Eligible own funds to meet the SCREOF(SCR) | EOF(SCR) = T1 + min(T2 + min(T3 ; maximum share of Tier 3 × SCR) ; maximum share of Tiers 2 and 3 × SCR ; if(PI3 and T1 < minimum share of Tier 1 × SCR ; T1 ; maximum share of Tiers 2 and 3 × SCR))82(1),(3) | Own funds |
Equity risk sub-moduleSCRequity | SCRequity = sqrt(SCRequ1 ^ 2 + 2 × correlation type 1 / type 2 × SCRequ1 × (SCRequ2 + SCRquinf + SCRquinfc) + (SCRequ2 + SCRquinf + SCRquinfc) ^ 2)168(4) | Market |
Estimated adjustment factor by homogeneous risk group (non-life)NP′(h) | NP′(h) = np_estimate(h ; Yi ; b1 ; b2 ; read(NP ; s) ; PI10 ; PI11)Annex XVII F1(5) and (6), F2(3) and (4) | V1 undertaking-specific parameters |
Estimated adjustment factor by homogeneous risk group (NSLT health)NP′(h) | NP′(h) = np_estimate(h ; Yi ; b1 ; b2 ; read(NP ; s) ; PI10 ; PI11)Annex XVII F1(5) and (6), F2(3) and (4) | V1 undertaking-specific parameters |
Estimated adjustment factor of the segment (non-life)NP′ | NP′ = reread(group(V(prem,h) ⊗ NP′(h) ; s) ÷ group(V(prem,h) ⊗ (NP′(h) > 0) ; s) ; σ(prem,s) gross)Annex XVII F1(7), F2(5) | V1 undertaking-specific parameters |
Estimated adjustment factor of the segment (NSLT health)NP′ | NP′ = reread(group(V(prem,h) ⊗ NP′(h) ; s) ÷ group(V(prem,h) ⊗ (NP′(h) > 0) ; s) ; σ(prem,s))Annex XVII F1(7), F2(5) | V1 undertaking-specific parameters |
Estimated standard deviation, premium risk method (non-life)σ̂ × racine((T + 1) ÷ (T − 1)) | σ̂ × racine((T + 1) ÷ (T − 1)) = reread(usp_lognormal(s ; xt ; yt) ; σ(prem,s) gross) ⊗ sqrt(max(T + 1 ; 0) ÷ max(T − 1 ; 1))Annex XVII B(4) to (6) | V1 undertaking-specific parameters |
Estimated standard deviation, premium risk method (NSLT health)σ̂ × racine((T + 1) ÷ (T − 1)) | σ̂ × racine((T + 1) ÷ (T − 1)) = reread(usp_lognormal(s ; xt ; yt) ; σ(prem,s)) ⊗ sqrt(max(T + 1 ; 0) ÷ max(T − 1 ; 1))Annex XVII B(4) to (6) | V1 undertaking-specific parameters |
Estimated standard deviation, reserve risk method 1 (non-life)σ̂ × racine((T + 1) ÷ (T − 1)) | σ̂ × racine((T + 1) ÷ (T − 1)) = reread(usp_lognormal(s ; xt ; yt) ; σ(prem,s) gross) ⊗ sqrt(max(T + 1 ; 0) ÷ max(T − 1 ; 1))Annex XVII C(4) to (6) | V1 undertaking-specific parameters |
Estimated standard deviation, reserve risk method 1 (NSLT health)σ̂ × racine((T + 1) ÷ (T − 1)) | σ̂ × racine((T + 1) ÷ (T − 1)) = reread(usp_lognormal(s ; xt ; yt) ; σ(prem,s)) ⊗ sqrt(max(T + 1 ; 0) ÷ max(T − 1 ; 1))Annex XVII C(4) to (6) | V1 undertaking-specific parameters |
Estimated standard deviation, reserve risk method 2 (non-life)racine(MSEP) ÷ PCO | racine(MSEP) ÷ PCO = reread(usp_triangle(s ; i ; j ; C(i,j)) ; σ(prem,s) gross)Annex XVII D(4) and (5) | V1 undertaking-specific parameters |
Estimated standard deviation, reserve risk method 2 (NSLT health)racine(MSEP) ÷ PCO | racine(MSEP) ÷ PCO = reread(usp_triangle(s ; i ; j ; C(i,j)) ; σ(prem,s))Annex XVII D(4) and (5) | V1 undertaking-specific parameters |
Excess exposure to the central governmentXS | XS = max(0 ; E − interp(CT ; average credit quality step) × Assets)184(1), 185 | Market |
Excess exposure to the covered bondsXS | XS = max(0 ; E − if(average credit quality step ≤ maximum credit quality step ; CT covered bonds ; interp(CT ; average credit quality step)) × Assets)184(1), 187(1) | Market |
Excess exposure to the immovable propertyXS | XS = max(0 ; E − CT property × Assets)184(1), 187(2) | Market |
Excess exposure to the single nameXS | XS = max(0 ; E − if(Art. 106 × (average credit quality step = 2) × (read(eligible ; Art. 106) > 0) ; concentration_threshold_106 ; interp(CT ; average credit quality step)) × Assets)182, 106 | Market |
Expected average amount per insured person in a pandemic, by countryMc | Mc = Hh [ soins_pandemie = "hospitalisation" ] × CH(hospitalisation,c) + Hh [ soins_pandemie = "consultation" ] × CH(consultation,c) + Hh [ soins_pandemie = "aucun" ] × CH(aucun,c)163(3) | Counterparty default · Health |
Expected average mortality rate, weighted by the sum insured (Article 91)q | As a decimal (0.005 for 0.5 %). Average for all insured persons and all future years, weighted by the sum insured. | Life |
Expected average mortality rate, weighted by the sum insured (Article 97)q | As a decimal (0.005 for 0.5 %). Average for all insured persons and all future years, weighted by the sum insured. | Health |
Expected cost per insured person in a pandemic: hospitalisationCH(hospitalisation,c) | In euros: expected number of treatments per insured person × average cost of a treatment, including medical inflation (1 treatment by default for hospitalisation, 2 for consultation). Empty if none. | Counterparty default · Health |
Expected cost per insured person in a pandemic: medical practitioner consultationCH(consultation,c) | In euros: expected number of treatments per insured person × average cost of a treatment, including medical inflation (1 treatment by default for hospitalisation, 2 for consultation). Empty if none. | Counterparty default · Health |
Expected cost per insured person in a pandemic: no formal medical careCH(aucun,c) | In euros: expected number of treatments per insured person × average cost of a treatment, including medical inflation (1 treatment by default for hospitalisation, 2 for consultation). Empty if none. | Counterparty default · Health |
Expected earned premium for the following 12 monthsPs | In euros, net of reinsurance. Premiums the undertaking expects to earn during the 12 months after the valuation date (Article 116). | Counterparty default · Non-life |
Expected termination rates over the next 12 months (Article 100)t | As a decimal. | Health |
Expected termination rates over the next 12 months (Article 93)t | As a decimal. | Life |
Expenses incurred in respect of unit-linked business during the last 12 monthsExpul | In euros. Expenses of the last 12 months relating to unit-linked contracts. | Operational risk |
Expenses incurred in servicing health obligations during the last year (Article 101)EI | In euros. | Health · V2 transitional interest rates · V4 extrapolation |
Expenses incurred in servicing life obligations other than health during the last year (Article 94)EI | In euros. | Life · V2 transitional interest rates · V4 extrapolation |
Exposure at default to the central government or central bankE | In euros. Non-Union central governments and central banks (or outside their national currency for Union ones, which then go to the single name table), denominated and funded in their national currency (Article 187(4)). | Market |
Exposure at default to the issuer's covered bondsE | In euros. Covered bonds (Directive (EU) 2019/2162) of the same issuer: a name separate from the other exposures to this issuer. | Market |
Exposure at default to the single nameE | In euros. Exposure at default: sum of the exposures to all counterparties of the single name (undertakings of the same group = one name), within the calculation base, excluding exposures with a nil risk factor (Article 184(3): ECB, Union central governments and central banks in their currency, multilateral development banks, international organisations, guarantees from them, guaranteed deposits of Article 187(5)). Covered bonds, immovable property and the central governments of Article 187(4) are entered in their own tables. | Market |
Exposure eligible for the 15 % threshold (Article 106)Art. 106 | Captive, Article 106 used: credit institution outside the group or group entity managing the cash, with credit quality step 2. Empty otherwise. | Market |
Exposure eligible for the threshold of Article 106eligible | Parameter table: Exposures eligible for the threshold of Article 106(2)DR | Market |
Exposure whose risk-mitigating effect is allocated (Articles 107, 107a)scope 107 | scope 107 = if((simplifications ∋ "107a") × in_force_107a ; read(scope_107a ; type) ; if(simplifications ∋ "107" ; read(scope_107 ; type) ⊗ (exposure ≥ 0) ; 0 × exposure))107(1), 107a(1) | Counterparty default |
Factor ai at credit quality step 3 (Article 105)ai_105 | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Factor ai of securitisation positionsai | Parameter table: Spread factors of securitisation positions (Article 178(3) to (9))DR | Market |
Factor ai of the specific exposuresai | Parameter table: Spread factors of specific exposures (Article 180(1), (3), (5), (11) and (14))DR | Market |
Factor ai without Article 105aai_fallback | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Factor bi at credit quality step 3 (Article 105)bi_105 | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Factor bi by credit quality step without Article 105ab_fallback | Parameter table: Simplified calculation of spread risk on bonds and loans (Article 104(2)) and credit quality steps of Article 105aDR | Market |
Factor bi of credit quality step 3 for all classes (Article 105)b_105 | Parameter table: Simplified calculation of spread risk on bonds and loans (Article 104(2)) and credit quality steps of Article 105aDR | Market |
Factor bi of each class in the simplified calculationbi | bi = read_group(if(Art. 105 ; b_105 ; if(105a ; b ; b_fallback)) ; MV)104(2) | Market |
Factor bi of securitisation positionsbi | Parameter table: Spread factors of securitisation positions (Article 178(3) to (9))DR | Market |
Factor bi of the simplified calculation by credit quality stepb | Parameter table: Simplified calculation of spread risk on bonds and loans (Article 104(2)) and credit quality steps of Article 105aDR | Market |
Factor bi of the specific exposuresbi | Parameter table: Spread factors of specific exposures (Article 180(1), (3), (5), (11) and (14))DR | Market |
Factor bi without Article 105abi_fallback | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Factor F when the insolvency estate disregards collateralF = 100 % | Parameter table: Factors F when the insolvency estate disregards collateral (Article 197(7))DR | Counterparty default |
Factor for the economic effect of the collateralF | Parameter table: Loss-given-default by type of exposure (Articles 192, 197(7))DR | Counterparty default |
Factor of bonds without a credit assessment by durationstressi (4) | Parameter table: Spread factor of bonds and loans without a credit assessment by duration (Article 176(4))DR | Market |
Factor of bonds without a credit assessment in the simplified calculation3 % | Parameter table: Spread risk: minimum duration (Article 176(2))DR | Market |
Factor of defaulted and renegotiated loansdefault factor | Parameter table: Type 2 exposures (Article 192(4) and (4a), Article 202)DR | Counterparty default |
Factor of healthcare costs in a pandemic0,4 | Parameter table: Pandemic risk (Article 163(1))DR | Counterparty default · Health |
Factor of non-proportional property reinsurance2,5 | Parameter table: Catastrophe: losses proportional to premiums (Articles 121(8), 127, 134)DR | Counterparty default · Non-life |
Factor of other catastrophe risksc | Parameter table: Other catastrophe risks: factors by group (Annex XII)DR | Counterparty default · Non-life |
Factor of other type 2 exposures15 % | Parameter table: Type 2 exposures (Article 192(4) and (4a), Article 202)DR | Counterparty default |
Factor of receivables from intermediaries due for more than three months90 % | Parameter table: Type 2 exposures (Article 192(4) and (4a), Article 202)DR | Counterparty default |
Factor of the first vehicles below the deemed policy limit threshold0,95 | Parameter table: Motor vehicle liability (Article 129)DR | Counterparty default · Non-life |
Factor of the income protection exposure0,000075 | Parameter table: Pandemic risk (Article 163(1))DR | Counterparty default · Health |
Factor of the secured bond without the collateralstressi (4) | stressi (4) = interp(stressi(4) ; max(dur ; minimum duration))176(4) | Market |
Factor of vehicles below the deemed policy limit threshold0,05 | Parameter table: Motor vehicle liability (Article 129)DR | Counterparty default · Non-life |
Financial yeart | Numbered from 1. | V1 undertaking-specific parameters |
Fire riskSCRfire | SCRfire = if(simplifications ∋ "90c" ; max(SCRfire[type] [ type_incendie = "industriel" ] ; SCRfire[type] [ type_incendie = "commercial" ] ; SCRfire[type] [ type_incendie = "residentiel" ] ; θ) ; sum insured)132, 90c | Counterparty default · Non-life |
First threshold of the standard deviation relative to lossesthreshold 1 | Parameter table: Type 1 exposures (Articles 200, 201)DR | Counterparty default |
Fixed share of catastrophe losses on premiumsfixed share | Parameter table: Catastrophe: losses proportional to premiums (Articles 121(8), 127, 134)DR | Counterparty default · Non-life |
Fixed share of the volume measurefixed share | Parameter table: Non-life premium and reserveDR | Non-life |
Fixed share of the volume measure in NSLT health0,75 | Parameter table: NSLT health premium and reserve (Articles 146, 147)DR | Health |
Floor of the combined MCR as a share of the SCR25 % | Parameter table: Corridor of the combined MCR (Article 248(2)) and Tier 2 share (Article 82(2))DR | MCR |
Floor of the reduced rate by maturityfloor | Parameter table: Interest rate shocks by maturity (Articles 166 and 167)DR | Market |
Future premiums of contracts to be written (beyond 12 months)FP(future,s) | In euros, net of reinsurance. Present value of the premiums, to be earned after the following 12 months, of contracts to be written in the following 12 months. Usually empty. | Counterparty default · Non-life |
Future premiums of contracts to be written beyond 12 months, health segmentFP(future,s) | In euros: expected present value after the first 12 months (contracts of one year or less) or 30 % of it (contracts of more than one year). Empty if none. | Counterparty default · Health |
Future premiums of existing contracts (beyond 12 months)FP(existing,s) | In euros, net of reinsurance. Present value of the premiums of existing contracts to be earned after the following 12 months. Empty if no multi-year contract. | Counterparty default · Non-life |
Future premiums of existing contracts beyond 12 months, health segmentFP(existing,s) | In euros, expected present value. Empty if none. | Counterparty default · Health |
Geographical diversification factor in NSLT healthDIVs | DIVs = if(DIV = "yes" ; if(DIVs = 1 ; 1 ; if(reread(herfindahl(V(prem,r,s) + V(res,r,s) ; region ; segment) ; DIVs = 1) > 0 ; reread(herfindahl(V(prem,r,s) + V(res,r,s) ; region ; segment) ; DIVs = 1) ; 1)) ; 1)147, Annex III | Health · V1 undertaking-specific parameters |
Geographical diversification factor of catastrophe losses on premiumsDIV | DIV = if(DIV = "yes" ; if(reread(DIV[peril] ; factor) > 0 ; reread(DIV[peril] ; factor) ; 1) ; 1)121 to 124(9)(a), Annex III | Counterparty default · Non-life |
Geographical diversification factor of the segmentDIVs | DIVs = if(DIV = "yes" ; if(DIVs = 1 ; 1 ; if(reread(herfindahl(V(prem,r,s) + V(res,r,s) ; region ; segment) ; DIVs = 1) > 0 ; reread(herfindahl(V(prem,r,s) + V(res,r,s) ; region ; segment) ; DIVs = 1) ; 1)) ; 1)116(7), Annex III | Non-life · V1 undertaking-specific parameters |
Gross written premiums in lifepremiums | In euros, last financial year. 0 if none. | MCR |
Gross written premiums of non-life classes 1 (accident) and 2 (sickness)premiums | In euros, last financial year. 0 if none. | MCR |
Gross written premiums of the undertakingpremiums | In euros, last financial year. 0 if none. | MCR |
Guarantee recognised on the loanGuarantee | In euros. Amount the guarantor would pay (Article 192(4)). Empty if none. | Counterparty default |
Health catastrophe riskSCRhealthCAT | SCRhealthCAT = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_h_cat" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_h_cat" ] ; SCRk0 [ module_89bis = "SCR_h_cat" ] ÷ Volumek0 [ module_89bis = "SCR_h_cat" ] × Volumekt [ module_89bis = "SCR_h_cat" ]) ; sqrt(SCRma ^ 2 + SCRac ^ 2 + SCRp ^ 2))160(1), 89a | Counterparty default · Health |
Health disability-morbidity riskSCRhealth-disability | SCRhealth-disability = SCRmedical expense + SCRincome-protection-disability-morbidity154 | Health |
Health expense riskSCRhealth-expense | SCRhealth-expense = if(simplifications ∋ "101" ; SCRhealth-expense ; SCRchoc [ choc_sante = "depenses" ])101, 157 | Health |
Health expense risk, simplified calculationSCRhealth-expense | SCRhealth-expense = max(0 ; (expense × EI × n + EI × (((1 + i + inflation_shock) ^ n − 1) ÷ (i + inflation_shock) − if(i = 0 ; n ; ((1 + i) ^ n − 1) ÷ i))) − ΔFDB [ ΔFDB = "101" ])101, 206(2) | Health |
Health longevity riskSCRhealth-longevity | SCRhealth-longevity = if(simplifications ∋ "98" ; SCRhealth-longevity ; SCRchoc [ choc_sante = "longevite" ])98, 153 | Health |
Health longevity risk, simplified calculationSCRhealth-longevity | SCRhealth-longevity = longevity × q × n × progression ^ ((n − 1) ÷ 2) × BElong98 | Health |
Health mortality riskSCRhealth-mortality | SCRhealth-mortality = if(simplifications ∋ "97" ; SCRhealth-mortality ; SCRchoc [ choc_sante = "mortalite" ])97, 152 | Health |
Health mortality risk, simplified calculationSCRhealth-mortality | SCRhealth-mortality = mortality × q × sum(if(value(CARk) ≤ if(PI16 = "next whole year up" ; round_up(n) ; − round_up(− n)) ; CARk ⊗ (1 − q) ^ (value(CARk) − 1) ÷ (1 + ik) ^ (value(CARk) − discounting_lag) ; 0))97 | Health |
Health segment whose diversification factor equals 1DIVs = 1 | Parameter table: Geographical diversification factor in NSLT health (Annex III)DR | Health |
Health underwriting risk moduleSCRhealth | SCRhealth = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_health" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_health" ] ; SCRk0 [ module_89bis = "SCR_health" ] ÷ Volumek0 [ module_89bis = "SCR_health" ] × Volumekt [ module_89bis = "SCR_health" ]) ; aggregate(CorrH(i,j) ; keyed(sous_module_sante ; non_slt : SCRNSLTh ; slt : SCRSLTh ; catastrophe : SCRhealthCAT)))144, 89a | Health |
High standard deviation multiplierhigh multiplier | Parameter table: Type 1 exposures (Articles 200, 201)DR | Counterparty default |
Homogeneous risk grouph | Name of a row of the table of excess of loss contracts. | V1 undertaking-specific parameters |
Income protection disability-morbidity riskSCRincome-protection-disability-morbidity | SCRincome-protection-disability-morbidity = if(simplifications ∋ "100" ; SCRincome-protection-disability-morbidity ; SCRchoc [ choc_sante = "revenu" ])100, 156 | Health |
Income protection disability-morbidity risk, simplified calculationSCRincome-protection-disability-morbidity | SCRincome-protection-disability-morbidity = disability_1 × CAR1 × d1 + disability_2 × progression ^ ((n − 3) ÷ 2) × (n − 1) × CAR2 × d2 + disability_3 × progression ^ ((n − 1) ÷ 2) × t × n × BEdis100 | Health |
Income protection exposure in a pandemicE | In euros. Sum, over the income protection insured persons (excluding workers' compensation), of the benefits payable in case of permanent disability caused by an infectious disease (Article 163(2)). 0 if none. | Counterparty default · Health |
Increase in technical provisions of unit-linked contracts with options and guarantees (Article 104)ΔLiabul | In euros. Increase in technical provisions, excluding the risk margin, of contracts where policyholders bear the investment risk with embedded options and guarantees, under the decrease in value of the simplified calculation for bonds and loans. 0 if not applicable. | Market |
Insolvency estate disregarding collateralArt. 197(7) | Choose if, in case of insolvency of the counterparty, the share of the undertaking in the estate does not take into account the collateral it receives (factors F at 100 %). Empty: factors of 50 %, 18 %, 16 % or 90 %. | Counterparty default |
Intangible asset factorintangible factor | Parameter table: Intangible asset risk (Article 203)DR | Intangible assets |
Intangible asset riskSCRintangible | SCRintangible = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_intangible" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_intangible" ] ; SCRk0 [ module_89bis = "SCR_intangible" ] ÷ Volumek0 [ module_89bis = "SCR_intangible" ] × Volumekt [ module_89bis = "SCR_intangible" ]) ; intangible factor × Vintangible)203, 89a | Intangible assets |
Inter variance of the losses of type 1 exposuresVinter | Vinter = cross(PD ; LGD ; j × (1 − j) × k × (1 − k) ÷ (1,25 × (j + k) − j × k))201(2) | Counterparty default |
Interest rate decrease capital requirement, simplified calculation for captivesIRdown | IRdown = (− sum(sign ⊗ MVAL / BE ⊗ dur ⊗ rate × stress(down))) − ΔFDB [ ΔFDB = "103_b" ]103(1)(b),(3), 206(2) | Market |
Interest rate increase capital requirement, simplified calculation for captivesIRup | IRup = (sum(sign ⊗ MVAL / BE ⊗ dur ⊗ rate × stress(up))) − ΔFDB [ ΔFDB = "103_a" ]103(1)(a),(2), 206(2) | Market |
Interest rate risk sub-moduleSCRinterest | SCRinterest = max(SCRup ; SCRdown)165 | Market |
Intra variance of the losses of type 1 exposuresVintra | Vintra = sum(1,5 × PD ⊗ (1 − PD) ÷ (2,5 − PD) ⊗ LGD ⊗ LGD)201(3) | Counterparty default |
Lapse riskSCRlapse | SCRlapse = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_lapse" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_lapse" ] ; SCRk0 [ module_89bis = "SCR_lapse" ] ÷ Volumek0 [ module_89bis = "SCR_lapse" ] × Volumekt [ module_89bis = "SCR_lapse" ]) ; max(if(simplifications ∋ "95" ; Lapseup ; SCRchoc [ choc_vie = "cessation_hausse" ]) ; if(simplifications ∋ "95" ; Lapsedown ; SCRchoc [ choc_vie = "cessation_baisse" ]) ; SCRchoc [ choc_vie = "cessation_masse" ]))142(1), 95, 89a | Life |
Largest market share by country in residential fire (Article 90c(6))max marketSharec | As a decimal (0.03 for 3 %). Highest of the market shares of the undertaking, country by country, on the obligations of lines 7 and 19 covering residential property. | Counterparty default · Non-life |
Largest net sum insured on a shipSI(hull,v) + SI(liab,v) + SI(pollution,v) | In euros. For ships with an insured value of at least EUR 250 000 (EUR 337 500 from 30/01/2027), lines 6, 18 and 27: hull + liability + oil pollution, net of only the treaties that would pay on this ship; the highest. 0 if none. | Counterparty default · Non-life |
Largest net sum insured on an aircraftSIa | In euros. Hull and liability of the aircraft, lines 6, 18 and 27, net of only the treaties that would pay on this aircraft; the highest. 0 if none. | Counterparty default · Non-life |
Largest net sum insured on an oil or gas offshore platformSIp | In euros. Property damage, removal of wreckage, loss of production income, capping of the well and liability, net of only the treaties that would pay on this platform; the highest. 0 if none. | Counterparty default · Non-life |
Largest of the five total exposures of the type (Article 90c(2) to (5))SCRfire[type] | In euros. For each of the five largest net sums insured of the type, sum insured of all buildings located at least partly within a radius of 200 metres (lines 7 and 19, fire or explosion, including terrorist attack); enter the highest of the five. | Counterparty default · Non-life |
Last available solvency ratio of the unrated memberSR | In %. | Counterparty default |
Liability riskSCRliability | SCRliability = aggregate(Corr(liability,i,j) ; SCR(liability,i))133(1) | Counterparty default · Non-life |
Liability risk by groupSCR(liability,i) | SCR(liability,i) = max(0 ; f(liability,i) ⊗ P(liability,i) − recoverables)133(2) | Counterparty default · Non-life |
Liability risk factorf(liability,i) | Parameter table: Liability: factors by group (Annex XI)DR | Counterparty default · Non-life |
Life absolute floorAMCRl | Parameter table: Absolute floors (Directive, Article 129(1)(d); Article 253)DR | MCR |
Life catastrophe riskSCRlife-catastrophe | SCRlife-catastrophe = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_life_cat" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_life_cat" ] ; SCRk0 [ module_89bis = "SCR_life_cat" ] ÷ Volumek0 [ module_89bis = "SCR_life_cat" ] × Volumekt [ module_89bis = "SCR_life_cat" ]) ; if(simplifications ∋ "96" ; SCRlife-catastrophe ; SCRchoc [ choc_vie = "catastrophe" ]))96, 143, 89a | Life |
Life catastrophe risk, simplified calculationSCRlife-catastrophe | SCRlife-catastrophe = max(0 ; (catastrophe × sum CARi) − ΔFDB [ ΔFDB = "96" ])96, 206(2) | Life |
Life disability-morbidity riskSCRdisability-morbidity | SCRdisability-morbidity = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_disability" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_disability" ] ; SCRk0 [ module_89bis = "SCR_disability" ] ÷ Volumek0 [ module_89bis = "SCR_disability" ] × Volumekt [ module_89bis = "SCR_disability" ]) ; if(simplifications ∋ "93" ; SCRdisability-morbidity ; SCRchoc [ choc_vie = "invalidite" ]))93, 139, 89a | Life |
Life disability-morbidity risk, simplified calculationSCRdisability-morbidity | SCRdisability-morbidity = max(0 ; (disability_1 × CAR1 × d1 + disability_2 × progression ^ ((n − 3) ÷ 2) × (n − 1) × CAR2 × d2 + disability_3 × progression ^ ((n − 1) ÷ 2) × t × n × BEdis) − ΔFDB [ ΔFDB = "93" ])93, 206(2) | Life |
Life earned premiums during the 12 months prior to the last 12 monthspEarnlife | In euros, gross of reinsurance. Life earned premiums during the 12 months prior to the last 12 months. | Operational risk |
Life earned premiums during the last 12 monthsEarnlife | In euros, gross of reinsurance. Life earned premiums during the last 12 months. | Operational risk |
Life expense riskSCRexpenses | SCRexpenses = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_life_expense" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_life_expense" ] ; SCRk0 [ module_89bis = "SCR_life_expense" ] ÷ Volumek0 [ module_89bis = "SCR_life_expense" ] × Volumekt [ module_89bis = "SCR_life_expense" ]) ; if(simplifications ∋ "94" ; SCRexpenses ; SCRchoc [ choc_vie = "depenses" ]))94, 140, 89a | Life |
Life expense risk, simplified calculationSCRexpenses | SCRexpenses = max(0 ; (expense × EI × n + EI × (((1 + i + inflation_shock) ^ n − 1) ÷ (i + inflation_shock) − if(i = 0 ; n ; ((1 + i) ^ n − 1) ÷ i))) − ΔFDB [ ΔFDB = "94" ])94, 206(2) | Life |
Life longevity riskSCRlongevity | SCRlongevity = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_longevity" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_longevity" ] ; SCRk0 [ module_89bis = "SCR_longevity" ] ÷ Volumek0 [ module_89bis = "SCR_longevity" ] × Volumekt [ module_89bis = "SCR_longevity" ]) ; if(simplifications ∋ "92" ; SCRlongevity ; SCRchoc [ choc_vie = "longevite" ]))92, 138, 89a | Life |
Life longevity risk, simplified calculationSCRlongevity | SCRlongevity = max(0 ; (longevity × q × n × progression ^ ((n − 1) ÷ 2) × BElong) − ΔFDB [ ΔFDB = "92" ])92, 206(2) | Life |
Life mortality riskSCRmortality | SCRmortality = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_mortality" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_mortality" ] ; SCRk0 [ module_89bis = "SCR_mortality" ] ÷ Volumek0 [ module_89bis = "SCR_mortality" ] × Volumekt [ module_89bis = "SCR_mortality" ]) ; if(simplifications ∋ "91" ; SCRmortality ; SCRchoc [ choc_vie = "mortalite" ]))91, 137, 89a | Life |
Life mortality risk, simplified calculationSCRmortality | SCRmortality = max(0 ; (mortality × q × sum(if(value(CARk) ≤ if(PI16 = "next whole year up" ; round_up(n) ; − round_up(− n)) ; CARk ⊗ (1 − q) ^ (value(CARk) − 1) ÷ (1 + ik) ^ (value(CARk) − discounting_lag) ; 0))) − ΔFDB [ ΔFDB = "91" ])91, 206(2) | Life |
Life premium factorlife premium factor | Parameter table: Operational risk (Article 204)DR | Operational risk |
Life technical provisionsTPlife | In euros, without risk margin and without deduction of the amounts recoverable from reinsurance. Life technical provisions. | Operational risk · V2 transitional interest rates · V3 transitional provisions · V4 extrapolation |
Life technical provisions factorlife provisions factor | Parameter table: Operational risk (Article 204)DR | Operational risk |
Life technical provisions relating to non-life activitiesTP(life,i) non-life activities | In euros. Part of the life technical provisions (already entered in total) relating to non-life insurance activities (classes of Annex I of the Directive), for example non-life annuities. Empty if none. | V2 transitional interest rates · V4 extrapolation |
Life technical provisions without a risk margin, net of reinsurance, by categoryTP(life,i) | In euros, floor 0 per category; before the transitional deduction (variant V3). Empty if none. | MCR · V2 transitional interest rates · V3 transitional provisions · V4 extrapolation |
Life term of the linear formulaMCR(linear,l) | MCR(linear,l) = sum(factor ⊗ max(0 ; TP(life,i) × TP factor)) + 0,07 % × max(0 ; CAR)251(1) | MCR |
Life underwriting risk moduleSCRlife | SCRlife = read(scope [ module_bscr = "vie" ] ; type of undertaking) × (if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_life" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_life" ] ; SCRk0 [ module_89bis = "SCR_life" ] ÷ Volumek0 [ module_89bis = "SCR_life" ] × Volumekt [ module_89bis = "SCR_life" ]) ; aggregate(Corr(i,j) ; keyed(sous_module_vie ; mortalite : SCRmortality ; longevite : SCRlongevity ; invalidite : SCRdisability-morbidity ; depenses : SCRexpenses ; revision : SCRchoc [ choc_vie = "revision" ] ; cessation : SCRlapse ; catastrophe : SCRlife-catastrophe))))136, 89a, Dir. 105 | Life |
Limit of indemnity of the contractb2 | In euros. Empty: no limit. | V1 undertaking-specific parameters |
Limit of the deduction set by the supervisory authoritylimit | In euros (Directive, Article 308d(3)). Empty if none. | V3 transitional provisions |
Linear Minimum Capital RequirementMCRlinear | MCRlinear = MCR(linear,nl) + MCR(linear,l)249 | MCR |
Loss in basic own funds under the health revision scenario recalculated with the specific increaserevision loss | In euros. Specific increase shown in a warning after a first calculation. Empty: loss of the standard calculation. | V1 undertaking-specific parameters |
Loss in basic own funds under the health scenarioBOF − BOF after shock | In euros. Basic own funds before the shock less basic own funds recalculated after the shock, including technical provisions, the shock being applied only to the contracts whose technical provisions it increases (excluding the risk margin). Empty if not applicable. | SCR and ratio · Health · V1 undertaking-specific parameters · V2 transitional interest rates · V4 extrapolation |
Loss in basic own funds under the increase in the credit spread of the underlying instrumentsloss spread up | In euros. Increase in percentage points of the credit spread of the underlying instruments according to their credit quality step (parameter table chocs_ecart_cd) or of 5 points if they are unrated (Article 179(1)(a) and (2)). Excluding derivatives of the risk-mitigation policy (paragraph 3) and derivatives on the exposures of Article 180(2) (paragraph 9). 0 if a gain. | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Loss in basic own funds under the life revision scenario recalculated with the specific increaserevision loss | In euros. Specific increase shown in a warning after a first calculation. Empty: loss of the standard calculation. | V1 undertaking-specific parameters |
Loss in basic own funds under the life scenarioBOF − BOF after shock | In euros. Basic own funds before the shock less basic own funds recalculated after the shock, including technical provisions, the shock being applied only to the contracts whose technical provisions it increases (excluding the risk margin). Empty if not applicable; a gain is entered as a negative amount or left empty. | SCR and ratio · Life · V1 undertaking-specific parameters · V2 transitional interest rates · V4 extrapolation |
Loss in basic own funds under the non-life lapse scenarioBOF − BOF after shock | In euros. Discontinuance of 40 % of the policies whose discontinuance would increase technical provisions, and decrease of 40 % of the future contracts covered by reinsurance (Article 118). 0 if not applicable. | Non-life · V2 transitional interest rates · V4 extrapolation |
Loss in basic own funds under the relative decrease of 75 % in the credit spread of the underlying instrumentsloss spread down | In euros. Sudden relative decrease in the credit spread of the underlying instruments (Article 179(1)(b)), same scope as the increase. 0 if a gain. | SCR and ratio · Market · V2 transitional interest rates · V4 extrapolation |
Loss of motor vehicle liability riskLmotor | Lmotor = max(minimum loss ; amount per vehicle × sqrt(Na + 0,05 × Nb + 0,95 × min(Nb ; 20 000)))129(1) | Counterparty default · Non-life |
Loss of other catastrophe risksLother | Lother = sqrt((ci × Pi [ groupe_autres_cat = "g1" ] + ci × Pi [ groupe_autres_cat = "g2" ]) ^ 2 + ci × Pi [ groupe_autres_cat = "g3" ] ^ 2 + ci × Pi [ groupe_autres_cat = "g4" ] ^ 2 + ci × Pi [ groupe_autres_cat = "g5" ] ^ 2)135 | Counterparty default · Non-life |
Loss of other catastrophe risks by groupci × Pi | ci × Pi = c ⊗ P135 | Counterparty default · Non-life |
Loss under the fall of the foreign currencyloss down | loss down = max(0 ; shock ⊗ (assets − liabilities) − TP decrease down)188 | Market |
Loss under the rise of the foreign currencyloss up | loss up = max(0 ; shock ⊗ (liabilities − assets) − TP decrease up)188 | Market |
Loss-absorbing capacity of future discretionary benefits for the instantaneous loss of the amount of the capital requirementΔFDB | In euros, positive. Decrease in future discretionary benefits that would result from the instantaneous loss of the amount of the calculated capital requirement, the loss being due to the risk it reflects (management actions of Article 23, restrictions of Article 206(3)). Empty if none. | SCR and ratio · Market · Counterparty default · Life · Health · V2 transitional interest rates · V4 extrapolation |
Loss-absorbing capacity of future discretionary benefits under the health scenarioΔFDB | In euros, positive. Part of the loss entered absorbed by the decrease in future discretionary benefits (management actions of Article 23, restrictions of Article 206(3)): loss before absorption less loss entered. Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Loss-absorbing capacity of future discretionary benefits under the life scenarioΔFDB | In euros, positive. Part of the loss entered absorbed by the decrease in future discretionary benefits (management actions of Article 23, restrictions of Article 206(3)): loss before absorption less loss entered. Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Loss-absorbing capacity of future discretionary benefits under the scenarioΔFDB | In euros, positive. Part of the loss entered absorbed by the decrease in future discretionary benefits (management actions of Article 23, restrictions of Article 206(3)): loss before absorption less loss entered. Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Loss-given-default by single name exposureLGD | LGD = group(LGD ; single name)192(1) | Counterparty default |
Loss-given-default of the exposureLGD | LGD = LGD + LGD ⊗ risk-share_factor192, 193 to 195 | Counterparty default |
Loss-given-default on defaulted and renegotiated loansLGDdefaulted/forborne | LGDdefaulted/forborne = max(Loan default − Recoverables default ; minimum share × Loan default)192(4a) | Counterparty default |
Loss-given-default on mortgage loansLGD mortgages | LGD mortgages = sum(max(Loan − (80 % × Mortgage + Guarantee) ; minimum share × max(0 ; Loan − Guarantee)))192(4) | Counterparty default |
Loss-given-default on the exposure according to Article 192LGD | LGD = max(share of the exposure ⊗ (exposure + exposure ⊗ PU ÷ (1 − PC), PC, PU + read(share of the mitigating effect ; type) ⊗ RM) − read(share of the collateral ; type) ⊗ if(read(F = 100 % ; Art. 197(7)) > 0 ; read(F = 100 % ; Art. 197(7)) ; read(F ; type)) ⊗ Collateral ; 0)192, 112a, 197(7), 194, 195 | Counterparty default |
Lower amount of the weighted sum insured (earthquake)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 122(3)). Empty: weighted sum insured of the formula. | Counterparty default · Non-life |
Lower amount of the weighted sum insured (flood)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 123(6)). Empty: weighted sum insured of the formula. | Counterparty default · Non-life |
Lower amount of the weighted sum insured (hail)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 124(6)). Empty: weighted sum insured of the formula. | Counterparty default · Non-life |
Lower amount of the weighted sum insured (subsidence)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 125(2)). Empty: weighted sum insured of the formula. | Counterparty default · Non-life |
Lower amount of the weighted sum insured (windstorm)lower amount | In euros. Sum, gross of reinsurance, of the potential losses of the zone taking into account the terms of the contracts (contractual limits of payment); used when it is lower than the weighted sum insured (Article 121(6)). Empty: weighted sum insured of the formula. | Counterparty default · Non-life |
Lower bound of the duration bandlower bound | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Lower bound of the symmetric adjustmentSA min | Parameter table: Symmetric adjustment of the equity capital charge (daily value published by EIOPA)EIOPA_SA | Market |
Man-made catastrophe riskSCRmmCAT | SCRmmCAT = sqrt(SCRmotor ^ 2 + SCRmarine ^ 2 + SCRaviation ^ 2 + SCRfire ^ 2 + SCRliability ^ 2 + SCRcredit ^ 2)128(2) | Counterparty default · Non-life |
Marine riskSCRmarine | SCRmarine = sqrt(SI(hull,v) + SI(liab,v) + SI(pollution,v) ^ 2 + SIp ^ 2)130 | Counterparty default · Non-life |
Market correlations, interest rate decrease usedCorr(i,j) down | Parameter table: Correlations between market risk sub-modules (Article 164(3))DR | Market |
Market correlations, interest rate increase usedCorr(i,j) up | Parameter table: Correlations between market risk sub-modules (Article 164(3))DR | Market |
Market risk concentrations sub-moduleSCRconc | SCRconc = sqrt(sum(Conc ⊗ Conc) + sum(Conc ⊗ Conc) + sum(Conc ⊗ Conc) + sum(Conc ⊗ Conc))183(1) | Market |
Market risk moduleSCRmarket | SCRmarket = if(SCRup > SCRdown ; SCRmarket(up) ; if(SCRup < SCRdown ; SCRmarket(down) ; if(PI1 = "highest requirement" ; max(SCRmarket(up) ; SCRmarket(down)) ; min(SCRmarket(up) ; SCRmarket(down)))))164(2) | Market |
Market risk, interest rate decrease usedSCRmarket (down) | SCRmarket (down) = aggregate(Corr(i,j) down ; keyed(sous_module_marche ; taux : SCRinterest ; actions : SCRequity ; immobilier : SCRproperty ; spread : SCRspread ; concentration : SCRconc ; change : SCRcurrency))164(2) | Market |
Market risk, interest rate increase usedSCRmarket (up) | SCRmarket (up) = aggregate(Corr(i,j) up ; keyed(sous_module_marche ; taux : SCRinterest ; actions : SCRequity ; immobilier : SCRproperty ; spread : SCRspread ; concentration : SCRconc ; change : SCRcurrency))164(2) | Market |
Mass accident riskSCRma | SCRma = sqrt(sum(SCR(ma,s) ⊗ SCR(ma,s)))161(1) | Counterparty default · Health |
Mass accident risk by countrySCR(ma,s) | SCR(ma,s) = max(0 ; rs ⊗ (xe [ evenement_accident = "deces" ] × E(deces,s) + xe [ evenement_accident = "handicap_permanent" ] × E(handicap_permanent,s) + xe [ evenement_accident = "handicap_12_mois" ] × E(handicap_12_mois,s) + xe [ evenement_accident = "traitement" ] × E(traitement,s)) − recoverables)161(2) | Counterparty default · Health |
Maturity interval (assets)interval | For an asset row: its maturity interval, which sets the simple duration. | Market |
Maximum credit quality step of covered bonds at the specific thresholdmaximum credit quality step | Parameter table: Concentration: specific exposures (Article 187(1) and (2))DR | Market |
Maximum share of restricted items in Tier 120 % | Parameter table: Eligibility limits of own funds (Article 82)DR | Own funds |
Maximum share of Tier 2 and Tier 3 in the SCRmaximum share of Tiers 2 and 3 | Parameter table: Eligibility limits of own funds (Article 82)DR | Own funds |
Maximum share of Tier 3 in the SCRmaximum share of Tier 3 | Parameter table: Eligibility limits of own funds (Article 82)DR | Own funds |
MCR factor on life technical provisionsfactor | Parameter table: Life MCR factors (Article 251(1))DR | MCR |
MCR factor on the capital at risk0,07 % | Parameter table: Corridor of the combined MCR (Article 248(2)) and Tier 2 share (Article 82(2))DR | MCR |
MCR factor on the technical provisions of the segmentαs | Parameter table: Non-life and NSLT health MCR factors (Annex XIX)DR | MCR |
MCR factor on the written premiums of the segmentβs | Parameter table: Non-life and NSLT health MCR factors (Annex XIX)DR | MCR |
Medical expense disability-morbidity riskSCRmedical expense | SCRmedical expense = if(simplifications ∋ "99" ; SCRmedical expense ; max(SCRchoc [ choc_sante = "frais_hausse" ] ; SCRchoc [ choc_sante = "frais_baisse" ]))155, 99 | Health |
Medical expense disability-morbidity risk, simplified calculationSCRmedical expense | SCRmedical expense = medical_expense × MP × n + MP × (((1 + i + inflation_shock) ^ n − 1) ÷ (i + inflation_shock) − if(i = 0 ; n ; ((1 + i) ^ n − 1) ÷ i))99 | Health |
Medical payments during the last year (Article 99)MP | In euros. Payments in respect of medical expense insurance or reinsurance obligations. | Health |
Member within or outside the scope of Article 2 of the Directivei / j | Data entered by the undertaking. | Counterparty default |
Method for the non-proportional reinsurance factor (non-life)NP | Recognisable excess of loss contract on claims (method 1) or on losses (method 2) (Article 218(2)). Empty: standard parameter. | V1 undertaking-specific parameters |
Method for the non-proportional reinsurance factor (NSLT health)NP | Recognisable excess of loss contract on claims (method 1) or on losses (method 2) (Article 218(2)). Empty: standard parameter. | V1 undertaking-specific parameters |
Minimum Capital RequirementMCR | MCR = max(MCRcombined ; AMCR)248(1) | MCR |
Minimum duration (Article 176(2))minimum duration | Parameter table: Spread risk: minimum duration (Article 176(2))DR | Market |
Minimum increase of the rateminimum_increase | Parameter table: Parameters of the interest rate shocks (Articles 166 and 167)DR | Market |
Minimum length of the historyminimum length | Parameter table: Parameters of the standardised methods (Annex XVII)Annex XVII | V1 undertaking-specific parameters |
Minimum loss of motor vehicle liability riskminimum loss | Parameter table: Motor vehicle liability (Article 129)DR | Counterparty default · Non-life |
Minimum market shareminimum_market_share | Parameter table: Parameters of the simplified calculations of Articles 89a and 90cDR | Counterparty default · Non-life |
Minimum share of bonds with a credit assessment (Article 105a)80 % | Parameter table: Spread risk: minimum duration (Article 176(2))DR | Market |
Minimum share of the loss on a defaulted loanminimum share | Parameter table: Type 2 exposures (Article 192(4) and (4a), Article 202)DR | Counterparty default |
Minimum share of the loss on a mortgage loanminimum share | Parameter table: Type 2 exposures (Article 192(4) and (4a), Article 202)DR | Counterparty default |
Minimum share of Tier 1 in the SCRminimum share of Tier 1 | Parameter table: Eligibility limits of own funds (Article 82)DR | Own funds |
Modified duration (best estimate)durlob | In years. For a best estimate row. | Market |
Modified duration of bonds and loans on the insurance undertakingdur | In years. Value-weighted average modified duration; a duration lower than 1 year counts as 1 year. | Market |
Modified duration of bonds and loans without a credit assessmentdurnorating | durnorating = sum(MV ⊗ max(dur ; minimum duration) ⊗ unrated) ÷ MVbonds × %MVnorating104(1)(e),(3) | Market |
Modified duration of payments on death (Article 91)n | In years. Modified duration of the payments on death included in the best estimate. | Life |
Modified duration of payments on death (Article 97)n | In years. | Health |
Modified duration of payments on disability-morbidity (Article 100)n | In years. | Health |
Modified duration of payments on disability-morbidity (Article 93)n | In years. | Life |
Modified duration of payments to beneficiaries (Article 92)n | In years. | Life |
Modified duration of payments to beneficiaries (Article 98)n | In years. | Health |
Modified duration of the cash flows of the best estimate of medical expenses (Article 99)n | In years. | Health |
Modified duration of the cash flows of the best estimate of these obligations (Article 101)n | In years. | Health |
Modified duration of the cash flows of the best estimate of these obligations (Article 94)n | In years. | Life |
Modified duration of the secured bond or loandur | In years; a duration lower than 1 year counts as 1 year. | Market |
Module applied according to the type of undertaking (1 = applied)scope | Parameter table: BSCR modules applied according to the type of undertakingDIR | Life · Non-life |
Motor vehicle liability riskSCRmotor | SCRmotor = max(0 ; Lmotor − recoverables [ scenario_cat = "rc_auto" ])129 | Counterparty default · Non-life |
Multiplier of the average residential sum insuredfire_multiplier | Parameter table: Parameters of the simplified calculations of Articles 89a and 90cDR | Counterparty default · Non-life |
Natural catastrophe correlation between regionsCorr(r,s) | Parameter table: Natural catastrophe correlations between regions (Annexes V to VIIIa)DR | Counterparty default · Non-life |
Natural catastrophe correlation between zones of a regionCorr(peril,r,i,j) | Parameter table: Natural catastrophe correlations between zones of a region (Annexes XXII to XXVI)DR | Counterparty default · Non-life |
Natural catastrophe factor outside the regions of Annex XIIIfactor | Parameter table: Natural catastrophe outside the regions of Annex XIII (Articles 121(8), 122(5), 123(8), 124(8))DR | Counterparty default · Non-life |
Natural catastrophe riskSCRnatCAT | SCRnatCAT = sqrt(sum(SCRperil ⊗ SCRperil))120(2) | Counterparty default · Non-life |
Natural catastrophe risk factor of the regionQ(peril,r) | Parameter table: Natural catastrophe risk factors by region (Annexes V to VIIIa)DR | Counterparty default · Non-life |
Natural catastrophe risk in the regions of Annex XIIISCR(peril,regions) | SCR(peril,regions) = keyed(peril_nat ; tempete : SCR(windstorm,regions) ; seisme : SCR(earthquake,regions) ; inondation : SCR(flood,regions) ; grele : SCR(hail,regions) ; affaissement : SCR(subsidence,regions))121 to 125 | Counterparty default · Non-life |
Natural catastrophe risk outside the regions of Annex XIII, by perilSCR(peril,other) | SCR(peril,other) = max(0 ; factor ⊗ P × (diversified share × DIV + fixed share) − recoverables)121(8), 122(5), 123(8), 124(8) | Counterparty default · Non-life |
Natural catastrophe risk weight of the zoneW(peril,r,i) | Parameter table: Natural catastrophe risk weights by risk zone (Annex X)DR | Counterparty default · Non-life |
Nature of the positiontype | Assets minus liabilities other than technical provisions of a maturity interval, or best estimate of a line of business, for a currency. | Market |
Net Basic Solvency Capital Requirement (loss-absorbing capacity of future discretionary benefits)nBSCR | nBSCR = aggregate(Corr(i,j) ; keyed(module_bscr ; marche : SCRmarket ; defaut : SCRdefault ; vie : SCRlife ; sante : SCRhealth ; non_vie : SCRnon-life)) + SCRintangible206(2) | SCR and ratio |
Net recoverables for natural catastrophe outside the regions of Annex XIIIrecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles for this scenario, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables in the region: earthquakerecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables in the region: flood, scenario Arecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables in the region: flood, scenario Brecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables in the region: hail, scenario Arecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables in the region: hail, scenario Brecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables in the region: subsidencerecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables in the region: windstorm, scenario Arecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables in the region: windstorm, scenario Brecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles on the sequence of events of the scenario in the region, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables of the catastrophe scenariorecoverables | In euros. Amounts recoverable from reinsurance and special purpose vehicles for this scenario, net of reinstatement premiums. Empty if none. | Counterparty default · Non-life |
Net recoverables of the liability scenario of the grouprecoverables | In euros. Empty if none. | Counterparty default · Non-life |
Net recoverables on the accident concentration of the countryrecoverables | In euros. Empty if none. | Counterparty default · Health |
Net recoverables on the default of the credit and suretyship exposurerecoverables | In euros. Empty if none. | Counterparty default · Non-life |
Net recoverables on the mass accident of the countryrecoverables | In euros. Empty if none. | Counterparty default · Health |
Net recoverables on the pandemicrecoverables | In euros. 0 if none. | Counterparty default · Health |
Net sum insured of the largest fire risk concentrationsum insured | In euros. Set of buildings located at least partly within a radius of 200 metres, covered for fire or explosion (including terrorist attack) under lines 7 and 19, net of only the treaties that would pay on this set; the highest. 0 if none. | Counterparty default · Non-life |
Nil decrease for a negative ratenil_decrease_if_negative | Parameter table: Parameters of the interest rate shocks (Articles 166 and 167)DR | Market |
No class without a credit assessment (Article 105)unrated_105 | Parameter table: Simplified calculation of spread risk on bonds and loans (Article 104(2)) and credit quality steps of Article 105aDR | Market |
Non-life absolute floorAMCRnl | Parameter table: Absolute floors (Directive, Article 129(1)(d); Article 253)DR | MCR |
Non-life absolute floor usedAMCRnl | AMCRnl = if(classes 10 to 15 ; AMCRnl(classes 10 to 15) ; AMCRnl)Dir. 129(1)(d)(i) | MCR |
Non-life absolute floor when classes 10 to 15 are coveredAMCRnl (classes 10 to 15) | Parameter table: Absolute floors (Directive, Article 129(1)(d); Article 253)DR | MCR |
Non-life and NSLT health earned premiums during the last 12 monthsEarnnon-life | In euros, gross of reinsurance. Non-life earned premiums during the last 12 months. | Operational risk |
Non-life catastrophe riskSCRnl CAT | SCRnl CAT = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_nl_cat" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_nl_cat" ] ; SCRk0 [ module_89bis = "SCR_nl_cat" ] ÷ Volumek0 [ module_89bis = "SCR_nl_cat" ] × Volumekt [ module_89bis = "SCR_nl_cat" ]) ; sqrt((SCRnatCAT + SCRnpproperty) ^ 2 + SCRmmCAT ^ 2 + SCRCATother ^ 2))119(2), 89a | Counterparty default · Non-life |
Non-life earned premiums during the 12 months prior to the last 12 monthspEarnnon-life | In euros, gross of reinsurance. Non-life earned premiums during the 12 months prior to the last 12 months. | Operational risk |
Non-life lapse riskSCRnl lapse | SCRnl lapse = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_nl_lapse" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_nl_lapse" ] ; SCRk0 [ module_89bis = "SCR_nl_lapse" ] ÷ Volumek0 [ module_89bis = "SCR_nl_lapse" ] × Volumekt [ module_89bis = "SCR_nl_lapse" ]) ; max(0 ; BOF − BOF after shock))118, 89a | Non-life |
Non-life or health catastrophe capital requirement without the contractSCRCAThyp | In euros (Article 119(2) or Article 160). | Counterparty default |
Non-life premium and reserve riskSCRnl prem res | SCRnl prem res = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_nl_prem_res" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_nl_prem_res" ] ; SCRk0 [ module_89bis = "SCR_nl_prem_res" ] ÷ Volumek0 [ module_89bis = "SCR_nl_prem_res" ] × Volumekt [ module_89bis = "SCR_nl_prem_res" ]) ; if(Art. 90 ; sqrt(share_sum_squares × sum(NL(pr,s) ⊗ NL(pr,s)) + share_squared_sum × sum(NL(pr,s)) ^ 2) ; multiplier × σnl × Vnl))115, 90, 89a | Non-life |
Non-life premium factornon-life premium factor | Parameter table: Operational risk (Article 204)DR | Operational risk |
Non-life segments | Choose the non-life segment or the health segment of the row. | V1 undertaking-specific parameters |
Non-life segments | Data entered by the undertaking. | V1 undertaking-specific parameters |
Non-life segments | Data entered by the undertaking. | V1 undertaking-specific parameters |
Non-life segments | Data entered by the undertaking. | V1 undertaking-specific parameters |
Non-life technical provisionsTPnon-life | In euros, without risk margin and without deduction of the amounts recoverable from reinsurance. Non-life technical provisions. | Operational risk · V2 transitional interest rates · V3 transitional provisions · V4 extrapolation |
Non-life technical provisions factornon-life provisions factor | Parameter table: Operational risk (Article 204)DR | Operational risk |
Non-life technical provisions of the segment relating to life activitiesTP(nl,s) life activities | In euros. Part of the non-life technical provisions of the segment (already entered in total) relating to life insurance activities (classes of Annex II of the Directive). Empty if none. | V2 transitional interest rates · V4 extrapolation |
Non-life term of the linear formulaMCR(linear,nl) | MCR(linear,nl) = sum(αs ⊗ max(0 ; TP(nl,s) × TP factor) + βs ⊗ max(0 ; Ps))250(1) | MCR |
Non-life underwriting risk moduleSCRnon-life | SCRnon-life = read(scope [ module_bscr = "non_vie" ] ; type of undertaking) × (if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_non_life" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_non_life" ] ; SCRk0 [ module_89bis = "SCR_non_life" ] ÷ Volumek0 [ module_89bis = "SCR_non_life" ] × Volumekt [ module_89bis = "SCR_non_life" ]) ; aggregate(CorrNL(i,j) ; keyed(sous_module_nv ; primes_reserve : SCRnl prem res ; catastrophe : SCRnl CAT ; cessation : SCRnl lapse))))114(2), 89a, Dir. 105 | Non-life |
Non-life volume measureVnl | Vnl = sum(Vs)116(1) | Non-life |
Non-proportional reinsurance on the segment (1 = yes)NP reins. | From 30/01/2027: 1 if the segment is protected by non-proportional reinsurance (excess of loss), otherwise empty (the 80% factor of segments 1, 4 and 5 then applies only in that case). Before that date, it applies unconditionally. | Counterparty default · Non-life · V1 undertaking-specific parameters |
NSLT health premium and reserve riskSCR(NSLTh,pr) | SCR(NSLTh,pr) = 3 × σNSLTh × VNSLTh146 | Health |
NSLT health premium and reserve risk multiplier3 | Parameter table: NSLT health premium and reserve (Articles 146, 147)DR | Health |
NSLT health segments | Data entered by the undertaking. | V1 undertaking-specific parameters |
NSLT health segments | Data entered by the undertaking. | V1 undertaking-specific parameters |
NSLT health segments | Data entered by the undertaking. | V1 undertaking-specific parameters |
NSLT health segments | Data entered by the undertaking. | V1 undertaking-specific parameters |
NSLT health underwriting riskSCRNSLTh | SCRNSLTh = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_NSLT" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_NSLT" ] ; SCRk0 [ module_89bis = "SCR_NSLT" ] ÷ Volumek0 [ module_89bis = "SCR_NSLT" ] × Volumekt [ module_89bis = "SCR_NSLT" ]) ; sqrt(SCR(NSLTh,pr) ^ 2 + SCRchoc [ choc_sante = "cessation_nslt" ] ^ 2))145(2), 150, 89a | Health |
Number of accident years of the premium history (non-life)T | T = reread(group(xt ⊗ yt > 0 ; s) ; σ(prem,s) gross)Annex XVII B(3), G(3) a | V1 undertaking-specific parameters |
Number of accident years of the premium history (NSLT health)T | T = reread(group(xt ⊗ yt > 0 ; s) ; σ(prem,s))Annex XVII B(3), G(3) a | V1 undertaking-specific parameters |
Number of accident years of the triangle (non-life)I + 1 | I + 1 = reread(group_max(i ; s) ; σ(prem,s) gross) + 1Annex XVII D(3), G(3) c | V1 undertaking-specific parameters |
Number of accident years of the triangle (NSLT health)I + 1 | I + 1 = reread(group_max(i ; s) ; σ(prem,s)) + 1Annex XVII D(3), G(3) c | V1 undertaking-specific parameters |
Number of financial years of the annuity history (health)T | T = read(revision_stats(sous-module ; i ; t ; A(i,t) ; "T") ; "sante")Annex XVII E(3), G(3) d | V1 undertaking-specific parameters |
Number of financial years of the annuity history (life)T | T = read(revision_stats(sous-module ; i ; t ; A(i,t) ; "T") ; "vie")Annex XVII E(3), G(3) d | V1 undertaking-specific parameters |
Number of financial years of the reserve history (non-life)T | T = reread(group(xt ⊗ yt > 0 ; s) ; σ(prem,s) gross)Annex XVII C(3), G(3) b | V1 undertaking-specific parameters |
Number of financial years of the reserve history (NSLT health)T | T = reread(group(xt ⊗ yt > 0 ; s) ; σ(prem,s))Annex XVII C(3), G(3) b | V1 undertaking-specific parameters |
Number of insured persons with medical expense insurance covering infectious diseases, by countryNc | Insured persons resident in the country, excluding workers' compensation. Empty if none. | Counterparty default · Health |
Number of persons in the largest accident risk concentration of the countryCc | Number of insured persons working in the same building (income protection, workers' compensation), the highest in the country (Article 162(3)). Empty if none. | Counterparty default · Health |
Number of reporting years of the historylength | Data entered by the undertaking. | V1 undertaking-specific parameters |
Number of reporting years of the history (non-life)length | length = reread(− group_max(− length ; s) ; σ(prem,s) gross)Annex XVII G(3) e | V1 undertaking-specific parameters |
Number of reporting years of the history (NSLT health)length | length = reread(− group_max(− length ; s) ; σ(prem,s))Annex XVII G(3) e | V1 undertaking-specific parameters |
Number of vehicles insured above the deemed policy limit thresholdNa | Vehicles of lines 4 and 16 whose deemed policy limit exceeds EUR 24 000 000 (EUR 32 400 000 from 30/01/2027): overall limit, otherwise sum of the property damage and bodily injury limits, limit per victim × 10. Proportional reinsurance: weighted by the share of the undertaking. 0 if none. | Counterparty default · Non-life |
Number of vehicles insured at or below the deemed policy limit thresholdNb | Vehicles of lines 4 and 16 whose deemed policy limit is at most equal to the threshold. 0 if none. | Counterparty default · Non-life |
Number of vehicles of the factor 0.9520 000 | Parameter table: Motor vehicle liability (Article 129)DR | Counterparty default · Non-life |
Of which decrease in future discretionary benefits under the concentration shock of the central governmentof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the concentration shock of the covered bondsof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the concentration shock of the immovable propertyof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the concentration shock of the single nameof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the equity shockof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the fall of the currencyof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the property shockof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the rise of the currencyof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the shock on type 2 exposuresof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the spread shockof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which decrease in future discretionary benefits under the spread shock on securitisationsof which ΔFDB | In euros, positive. Part of the decrease entered that is due to the decrease in future discretionary benefits (Article 206). Empty if none. | SCR and ratio · V2 transitional interest rates · V4 extrapolation |
Of which unit-linkedEarnlife-ul | In euros, gross of reinsurance. Part of these premiums relating to unit-linked contracts. | Operational risk |
Of which unit-linkedpEarnlife-ul | In euros, gross of reinsurance. Part of these premiums relating to unit-linked contracts. | Operational risk |
Of which unit-linkedTPlife-ul | In euros, same rules. Part of the life technical provisions relating to unit-linked contracts. | Operational risk · V2 transitional interest rates · V4 extrapolation |
Only non-life segment covered by the contracts | Article 111a: contract covering only one segment of Annex II. Empty otherwise. | Counterparty default |
Only NSLT health segment covered by the contracts | Article 111a: contract covering only one segment of Annex XIV. Empty otherwise. | Counterparty default |
Operational risk based on earned premiumsOppremiums | Oppremiums = life premium factor × (Earnlife − Earnlife-ul) + non-life premium factor × Earnnon-life + max(0 ; life premium factor × (Earnlife − growth threshold × pEarnlife − (Earnlife-ul − growth threshold × pEarnlife-ul))) + max(0 ; non-life premium factor × (Earnnon-life − growth threshold × pEarnnon-life))204(3) | Operational risk |
Operational risk based on technical provisionsOpprovisions | Opprovisions = life provisions factor × max(0 ; (TPlife − TPlife-ul) × TP factor) + non-life provisions factor × max(0 ; TPnon-life × TP factor)204(4) | Operational risk |
Operational risk moduleSCROperational | SCROperational = min(cap as a share of the BSCR × BSCR ; Op) + unit-linked expense share × Expul204(1) | Operational risk |
Other non-life catastrophe risksSCRCATother | SCRCATother = max(0 ; Lother − recoverables [ scenario_cat = "autres_cat" ])135 | Counterparty default · Non-life |
Own funds of the members i by poolΣ EOFi | Σ EOFi = group(EOFi ⊗ (i / j = "i") ; pool)193(1) a | Counterparty default |
Own funds of the members i divided by their ratio, by poolΣ EOFi ÷ SRi | Σ EOFi ÷ SRi = group(EOFi ⊗ (i / j = "i") ÷ SRi, SRj ; pool)193(1) a | Counterparty default |
Pandemic riskSCRp | SCRp = max(0 ; 0,000075 × E + 0,4 × sum(Nc ⊗ Mc) − recoverables)163(1) | Counterparty default · Health |
Parameter replaced by the premium risk method (non-life)premiums | Net standard deviation: data net of reinsurance; gross: gross data, the adjustment factor for non-proportional reinsurance applies (Article 218(1); the gross standard deviation and the specific factor are not replaced together). Empty: standard parameter. | V1 undertaking-specific parameters |
Parameter replaced by the premium risk method (NSLT health)premiums | Net standard deviation: data net of reinsurance; gross: gross data, the adjustment factor for non-proportional reinsurance applies (Article 218(1); the gross standard deviation and the specific factor are not replaced together). Empty: standard parameter. | V1 undertaking-specific parameters |
Percentage points per unit (input in %)% per 1 | Parameter table: Symmetric adjustment of the equity capital charge (daily value published by EIOPA)EIOPA_SA | Market |
Peril or non-proportional property reinsuranceperil | Data entered by the undertaking. | Counterparty default · Non-life |
Premium and reserve capital requirement of the segment, simplified calculation for captivesNL(pr,s) | NL(pr,s) = sqrt(premium_share × V(prem,s) ⊗ V(prem,s) + V(prem,s) ⊗ V(res,s) + V(res,s) ⊗ V(res,s))90(2) | Non-life |
Premium and reserve risk multipliermultiplier | Parameter table: Non-life premium and reserveDR | Non-life |
Premium growth thresholdgrowth threshold | Parameter table: Operational risk (Article 204)DR | Operational risk |
Premium risk coefficient (Article 111a)3 | Parameter table: Coefficients of the simplified calculation of the risk-mitigating effect (Article 111a)111a | Counterparty default |
Premium risk method used and sufficient history (non-life)method used | method used = (T ≥ minimum length) ⊗ ((premiums ≠ "") + 0 ⊗ σ(prem,s) gross)Annex XVII B(2) b | V1 undertaking-specific parameters |
Premium risk method used and sufficient history (NSLT health)method used | method used = (T ≥ minimum length) ⊗ ((premiums ≠ "") + 0 ⊗ σ(prem,s))Annex XVII B(2) b | V1 undertaking-specific parameters |
Premium share threshold for the absolute floor of a life and non-life undertaking10 % | Parameter table: Absolute floors (Directive, Article 129(1)(d); Article 253)DR | MCR |
Premium volume of the segment in the regionV(prem,r,s) | In euros. Volume measure for premium risk of the segment calculated as in Article 116, on the obligations whose risk is situated in the region only (criteria of Article 13, points 13 and 14, of the Directive applied to regions). | Non-life |
Premium volume of the segment in the regionV(prem,r,s) | In euros. Volume measure for premium risk of the segment calculated as in Article 147, on the obligations whose risk is situated in the region only (criteria of Article 13, points 13 and 14, of the Directive applied to regions). | Health |
Premiums of the regionP | In euros. Natural catastrophe: premiums relating to the obligations of the peril in regions outside Annex XIII. Non-proportional property reinsurance: earned premiums of line 28, excluding lines 9 and 21. | Counterparty default · Non-life |
Premiums to be earned in non-proportional property reinsurancePnpproperty | In euros. Gross premiums to be earned over 12 months of line 28, excluding reinsurance of lines 9 and 21. 0 if none. | Counterparty default · Non-life |
Premiums to be earned of the credit and suretyship linesP lines 9 and 21 | In euros. Gross premiums to be earned over 12 months of lines 9 and 21. 0 if none. | Counterparty default · Non-life |
Premiums to be earned of the group of other catastrophe risksP | In euros. Gross premiums to be earned over 12 months. Empty if none. | Counterparty default · Non-life |
Premiums to be earned of the liability risk groupP(liability,i) | In euros. Gross premiums to be earned over 12 months; multi-risk contracts split by cover. Empty if none. | Counterparty default · Non-life |
Premiums to be earned on contracts covering the peril outside the regions of Annex XIIIP | In euros. Gross premiums to be earned over 12 months of the contracts of lines 7, 19 (and 5, 17 for flood and hail) covering the peril in regions outside the European Economic Area, Monaco, Andorra, San Marino, the Vatican and Switzerland. Empty if none. | Counterparty default · Non-life |
Premiums to be earned over 12 months of the health segmentPs | In euros, net of reinsurance (Article 147(5)). Empty if none. | Counterparty default · Health |
Premiums used by line for the catastrophe diversification factorP used | P used = P ⊗ if(peril = "np_dommages" ; 1 ; read(regions 5 to 18 ; region))121 to 124(9)(a), 127(2)(a) | Counterparty default · Non-life |
Present value of recoveries on defaulted and renegotiated loansRecoverables default | In euros. Read from 30/01/2027. 0 if none. | Counterparty default |
Probability of default by credit qualityPD | Parameter table: Probabilities of default by credit quality (Article 199)DR | Counterparty default |
Probability of default by single name exposurePD | PD = if(simplifications ∋ "110" ; group_max(PD ; single name) ; group(LGD ⊗ PD ; single name) ÷ LGD)199(1), 110 | Counterparty default |
Probability of default by solvency ratioPD(ratio) | Parameter table: Probabilities of default by solvency ratio (Article 199(3))DR | Counterparty default |
Probability of default of the counterparty of the exposurePD | PD = if(quality = "assureur_ratio" ; interp(PD(ratio) ; ratio + 0 × (quality = "assureur_ratio")) ; read(PD ; quality))199 | Counterparty default |
Property risk sub-moduleSCRproperty | SCRproperty = max(0 ; property shock × property value − TP decrease property)174 | Market |
Property shockproperty shock | Parameter table: Property shock (Article 174)DR | Market |
Ratio of eligible own funds to SCRratio | ratio = EOF(SCR) ÷ SCRDir. 100 | SCR and ratio |
Ratio of healthcare use in a pandemicHh | Parameter table: Ratio of healthcare use in a pandemic (Annex XVI)DR | Counterparty default · Health |
Ratio of persons affected by the mass accidentrs | Parameter table: Ratio of persons affected by the mass accident (Annex XVI)DR | Counterparty default · Health |
Ratio of persons affected by type of eventxe | Parameter table: Ratio of persons affected by type of event (Annex XVI)DR | Counterparty default · Health |
Receivables from intermediaries due for more than three monthsLGDreceivables>3months | In euros. Balance sheet value of the arrears of more than three months. 0 if none. | Counterparty default |
Recession riskSCRrecession | SCRrecession = max(0 ; 100 % × P lines 9 and 21 − recoverables [ scenario_cat = "recession" ])134(4) | Counterparty default · Non-life |
Region of Annex IIIregion | Only one row per segment and region. | Non-life |
Region of Annex IIIregion | Only one row per segment and region. | Health |
Region of Annex IIIregion | Natural catastrophe: regions 5 to 18 only (the others are not read). Non-proportional property reinsurance: all regions. | Counterparty default · Non-life |
Region used for natural catastrophe losses on premiumsregions 5 to 18 | Parameter table: Regions used for the diversification factor of natural catastrophe losses calculated on premiumsDR | Counterparty default · Non-life |
Reinsurance absolute floorAMCR reinsurance | Parameter table: Absolute floors (Directive, Article 129(1)(d); Article 253)DR | MCR |
Relative decrease of the rate by maturitys_down | Parameter table: Interest rate shocks by maturity (Articles 166 and 167)DR | Market |
Relative excess exposure threshold by credit quality stepCT | Parameter table: Concentration: relative excess exposure threshold and risk factor by credit quality step (Articles 185, 186, 187(4))DR | Market |
Relative increase of the rate by maturitys_up | Parameter table: Interest rate shocks by maturity (Articles 166 and 167)DR | Market |
Relative threshold of a single immovable propertyCT property | Parameter table: Concentration: specific exposures (Article 187(1) and (2))DR | Market |
Relative threshold of covered bondsCT covered bonds | Parameter table: Concentration: specific exposures (Article 187(1) and (2))DR | Market |
Relevant risk-free interest rate at this durationrate | As a decimal (0.025 for 2.5 %). Risk-free rate of the currency of the row at the simple duration (assets) or modified duration (best estimate). | Market |
Reserve risk method (non-life)reserve | Empty: standard parameter. | V1 undertaking-specific parameters |
Reserve risk method (NSLT health)reserve | Empty: standard parameter. | V1 undertaking-specific parameters |
Reserve risk method 1 used and sufficient history (non-life)method used | method used = (T ≥ minimum length) ⊗ ((reserve = "m1") + 0 ⊗ σ(prem,s) gross)Annex XVII C(2) b | V1 undertaking-specific parameters |
Reserve risk method 1 used and sufficient history (NSLT health)method used | method used = (T ≥ minimum length) ⊗ ((reserve = "m1") + 0 ⊗ σ(prem,s))Annex XVII C(2) b | V1 undertaking-specific parameters |
Reserve risk method 2 used and sufficient history (non-life)method used | method used = (I + 1 ≥ minimum length) ⊗ (racine(MSEP) ÷ PCO > 0) ⊗ ((reserve = "m2") + 0 ⊗ σ(prem,s) gross)Annex XVII D(2) b and c | V1 undertaking-specific parameters |
Reserve risk method 2 used and sufficient history (NSLT health)method used | method used = (I + 1 ≥ minimum length) ⊗ (racine(MSEP) ÷ PCO > 0) ⊗ ((reserve = "m2") + 0 ⊗ σ(prem,s))Annex XVII D(2) b and c | V1 undertaking-specific parameters |
Reserve volume of the segment in the regionV(res,r,s) | In euros. Best estimate for claims provisions of the segment, net of reinsurance, for the obligations whose risk is situated in the region. | Non-life |
Reserve volume of the segment in the regionV(res,r,s) | In euros. Best estimate for claims provisions of the segment, net of reinsurance, for the obligations whose risk is situated in the region. | Health |
Residential fire risk exposure according to the market shareθ | θ = SIav × fire_multiplier × max(minimum_market_share ; max marketSharec)90c(6) | Counterparty default · Non-life |
Restricted items used in Tier 1T1 restricted eligible | T1 restricted eligible = min(T1 restricted ; 20 % ÷ (1 − 20 %) × (T1 − T1 restricted))82(3) | Own funds |
Restricted Tier 1 items, included in the Tier 1 enteredT1 restricted | In euros. Items of Article 69(a)(iii) and (v) and (b), and items included in Tier 1 under the transitional provision of Article 308b(9) of the Directive. 0 if none. | Own funds · V2 transitional interest rates · V4 extrapolation |
Retention of the contractb1 | In euros. | V1 undertaking-specific parameters |
Revision risk sub-modulesous-module | Data entered by the undertaking. | V1 undertaking-specific parameters |
Risk factor of a single immovable propertyg property | Parameter table: Concentration: specific exposures (Article 187(1) and (2))DR | Market |
Risk marginRM | In euros. Risk margin of technical provisions (Article 37), before the transitional deduction. | V3 transitional provisions |
Risk of a decrease in the term structure of interest ratesSCRdown | SCRdown = if(Art. 103 ; max(0 ; IRdown) ; max(0 ; BOF − BOF after decrease))165, 103 | Market |
Risk of a large credit defaultSCRdefault | SCRdefault = sum(max(0 ; 10 % × sum insured − recoverables))134(2) | Counterparty default · Non-life |
Risk of a permanent decrease in lapse rates, simplified calculationLapsedown | Lapsedown = max(0 ; (lapse × max(ldown ; lapse_rate_down) × ndown × Sdown) − ΔFDB [ ΔFDB = "95_2" ])95(2), 206(2) | Life |
Risk of a permanent decrease in SLT health lapse rates, simplified calculationLapsedown | Lapsedown = lapse × ldown × ndown × Sdown102(2) | Health |
Risk of a permanent increase in lapse rates, simplified calculationLapseup | Lapseup = max(0 ; (lapse × max(lup ; lapse_rate_up) × nup × Sup) − ΔFDB [ ΔFDB = "95_1" ])95(1), 206(2) | Life |
Risk of a permanent increase in SLT health lapse rates, simplified calculationLapseup | Lapseup = lapse × max(lup ; lapse_rate_up) × nup × Sup102(1) | Health |
Risk of an increase in the term structure of interest ratesSCRup | SCRup = if(Art. 103 ; max(0 ; IRup) ; max(0 ; BOF − BOF after increase))165, 103 | Market |
Risk-adjusted value of collateralcollateral | In euros. Reinsurance, other derivative, repurchase agreement: risk-adjusted value of collateral (Article 197); cleared or compliant derivative: value of the assets held as collateral. Empty if none. Article 112 used: value of the assets held as collateral. | Counterparty default |
Risk-adjusted value of collateral used by exposureCollateral | Collateral = if(simplifications ∋ "112" ; collateral ⊗ read(share ; case 112) ; collateral)197, 112 | Counterparty default |
Risk-adjusted value of the collateralrisk-adjusted collateral | In euros. Risk-adjusted value according to Articles 112, 197 and 198. | Market |
Risk-adjusted value of the mortgageMortgage | In euros. Value of the mortgaged property reduced by the adjustment for market risk (Article 198). | Counterparty default |
Risk-free spot rate for maturity k (Article 91)ik | As a decimal (0.025 for 2.5 %). Annualised spot rate for maturity k of the relevant risk-free interest rate term structure (Article 43). Empty: 0. | Life |
Risk-free spot rate for maturity k (Article 97)ik | As a decimal (0.025 for 2.5 %). Relevant risk-free interest rate term structure (Article 43). Empty: 0. | Health |
Risk-mitigating effectRM | In euros. Reinsurance, securitisation, derivative: underwriting or market capital requirement without the contract less the requirement with the contract, at least 0 (Article 196). Empty otherwise. Not read for reinsurance, securitisations and derivatives if Article 107 or 107a is used: the total effect is allocated. | Counterparty default |
Risk-mitigating effect of proportional reinsurance (simplified calculation)RM | RM = max(exposure ; 0) ⊗ (j ≠ "") ÷ (read(BE ; j) − read(Recoverablesall ; j)) ⊗ read(SCRj ; j)108 | Counterparty default |
Risk-mitigating effect of the exposure outside the allocation of Articles 107 and 107aRM | RM = if(simplifications ∋ "111a" ; if((s ≠ "") + (s ≠ "") > 0 ; RM ; if(simplifications ∋ "108" ; if(j ≠ "" ; RM ; RM) ; RM)) ; if(simplifications ∋ "108" ; if(j ≠ "" ; RM ; RM) ; RM))196, 108, 111a | Counterparty default |
Risk-mitigating effect on a single segment (simplified calculation)RM | RM = sqrt(max(SCRCAThyp − SCRCATwithout ^ 2 + (3 × σs × (Pshyp − Pswithout + Recoverables)) ^ 2 + 1,5 × σs × (Pshyp − Pswithout + Recoverables) ⊗ SCRCAThyp − SCRCATwithout ; 0))111a | Counterparty default |
Risk-mitigating effect used by exposureRM | RM = if(sum(abs(exposure) ⊗ scope 107) > 0 ; if(scope 107 ; RMre,all / RMtotal × abs(exposure) ÷ sum(abs(exposure) ⊗ scope 107) ; RM) ; RM)196, 107, 107a, 108, 111a | Counterparty default |
Risk-sharing factor: cap196 % | Parameter table: Risk-sharing factor (Article 193(1))193(1) | Counterparty default |
Risk-sharing factor: coefficient0,15 | Parameter table: Risk-sharing factor (Article 193(1))193(1) | Counterparty default |
Risk-sharing factor: pivot1 | Parameter table: Risk-sharing factor (Article 193(1))193(1) | Counterparty default |
Rounded average credit quality step of the central governmentaverage credit quality step | average credit quality step = round_up(credit quality step)182(4) | Market |
Rounded average credit quality step of the covered bondsaverage credit quality step | average credit quality step = round_up(credit quality step)182(4) | Market |
Rounded average credit quality step of the single nameaverage credit quality step | average credit quality step = round_up(credit quality step)182(4) | Market |
Second threshold of the standard deviation relative to lossesthreshold 2 | Parameter table: Type 1 exposures (Articles 200, 201)DR | Counterparty default |
Segmentsegment | Segment of Annex II. | Non-life |
Segmentsegment | Segment of Annex XIV. | Health |
Segment whose diversification factor equals 1DIVs = 1 | Parameter table: Geographical diversification factor (Annex III)DR | Non-life |
Share of bonds and loans with a credit assessment (Article 105a(a))rated share | rated share = sum(MV ⊗ read_group(rated ; MV)) ÷ sum(MV)105a(a) | Market |
Share of premiums lost in a recession100 % | Parameter table: Catastrophe: losses proportional to premiums (Articles 121(8), 127, 134)DR | Counterparty default · Non-life |
Share of the amounts recoverable of Article 112aexposure_share_112a | Parameter table: Simplified counterparty default calculations by type of exposure (Articles 107, 107a, 112a)DR | Counterparty default |
Share of the collateral usedshare of the collateral | Parameter table: Loss-given-default by type of exposure (Articles 192, 197(7))DR | Counterparty default |
Share of the deduction applied by the undertakingshare applied | As a decimal. Empty: transitional share of the year (Directive, Article 308d(2)). | V3 transitional provisions |
Share of the exposure in the loss-given-defaultshare of the exposure | share of the exposure = if((simplifications ∋ "112a") × (read(exposure_share_112a ; type) > 0) ; read(exposure_share_112a ; type) ; read(share of the exposure ; type))192, 112a | Counterparty default |
Share of the exposure used in the loss-given-defaultshare of the exposure | Parameter table: Loss-given-default by type of exposure (Articles 192, 197(7))DR | Counterparty default |
Share of the risk of the member counterparty under the co-reinsurance arrangementPC | As a decimal. Type B. | Counterparty default |
Share of the risk of the members j by poolP | P = group(Pj ⊗ (i / j = "j") ; pool)193(1) c | Counterparty default |
Share of the risk of the undertaking under the co-reinsurance arrangementPU | As a decimal. Types B (194(1)) and C. | Counterparty default |
Share of the risk-adjusted value of the mortgage80 % | Parameter table: Type 2 exposures (Article 192(4) and (4a), Article 202)DR | Counterparty default |
Share of the risk-mitigating effect usedshare of the mitigating effect | Parameter table: Loss-given-default by type of exposure (Articles 192, 197(7))DR | Counterparty default |
Share of the specified loss in the first event of scenario Ashare A1 | Parameter table: Shares of the specified loss by scenario (Articles 121 to 125)DR | Counterparty default · Non-life |
Share of the specified loss in the first event of scenario Bshare B1 | Parameter table: Shares of the specified loss by scenario (Articles 121 to 125)DR | Counterparty default · Non-life |
Share of the specified loss in the second event of scenario Ashare A2 | Parameter table: Shares of the specified loss by scenario (Articles 121 to 125)DR | Counterparty default · Non-life |
Share of the specified loss in the second event of scenario Bshare B2 | Parameter table: Shares of the specified loss by scenario (Articles 121 to 125)DR | Counterparty default · Non-life |
Share of the sum insured lost on the default of a credit and suretyship exposure10 % | Parameter table: Catastrophe: losses proportional to premiums (Articles 121(8), 127, 134)DR | Counterparty default · Non-life |
Share of the symmetric adjustmentSA share | Parameter table: Equity shocks (Articles 168 and 169)DR | Market |
Share of the total risk of the pool borne by the member outside the scope of the DirectivePj | As a decimal. Members j. | Counterparty default |
Share of the transitional deduction exceeding the risk marginexcess | excess = max(0 ; transitional deduction − RM)204, 251 (orientations EIOPA) | V3 transitional provisions |
Share of the value of the assets held as collateralshare | Parameter table: Share of the value of the assets held as collateral used (Article 112)DR | Counterparty default |
Share of unit-linked expensesunit-linked expense share | Parameter table: Operational risk (Article 204)DR | Operational risk |
Shares of the members j weighted by their ratio, by poolΣ Pj × SRj | Σ Pj × SRj = group(Pj ⊗ (i / j = "j") ⊗ SRi, SRj ; pool)193(1) a | Counterparty default |
Sign of the position (assets +, best estimate −)sign | sign = if(type = "actif" ; 1 ; − 1)103(2) | Market |
Simple duration of the maturity intervalduri | Parameter table: Simple duration of the maturity intervals (Article 103(4))DR | Market |
Simplified calculation of Article 103 used by a captiveArt. 103 | Art. 103 = captive and simplifications ∋ "103"103 | Market |
Simplified calculation of Article 105 used by a captiveArt. 105 | Art. 105 = captive and simplifications ∋ "105"105 | Market |
Simplified calculation of Article 106 used by a captiveArt. 106 | Art. 106 = captive and simplifications ∋ "106"106 | Market |
Simplified calculation of Article 90 used by a captiveArt. 90 | Art. 90 = captive and simplifications ∋ "90"90 | Non-life |
Single name of the exposuresingle name | Name common to all exposures to the same group (Article 190); an exposure alone on its counterparty takes its own name. | Counterparty default |
Single zone of its regionsingle zone | Parameter table: Single zones of natural catastrophe regions (Annex IX)DR | Counterparty default · Non-life |
SLT health lapse riskSCRhealth-lapse | SCRhealth-lapse = max(if(simplifications ∋ "102" ; Lapseup ; SCRchoc [ choc_sante = "cessation_hausse" ]) ; if(simplifications ∋ "102" ; Lapsedown ; SCRchoc [ choc_sante = "cessation_baisse" ]) ; SCRchoc [ choc_sante = "cessation_masse" ])159, 102 | Health |
SLT health underwriting riskSCRSLTh | SCRSLTh = if((simplifications ∋ "89a") × in_force_89a × (Volumek0 [ module_89bis = "SCR_SLT" ] > 0) ; max(SCRk0 [ module_89bis = "SCR_SLT" ] ; SCRk0 [ module_89bis = "SCR_SLT" ] ÷ Volumek0 [ module_89bis = "SCR_SLT" ] × Volumekt [ module_89bis = "SCR_SLT" ]) ; aggregate(CorrSLTH(i,j) ; keyed(sous_module_slt ; mortalite : SCRhealth-mortality ; longevite : SCRhealth-longevity ; invalidite : SCRhealth-disability ; depenses : SCRhealth-expense ; revision : SCRchoc [ choc_sante = "revision" ] ; cessation : SCRhealth-lapse)))151(2), 89a | Health |
Solvency Capital RequirementSCR | SCR = BSCR + SCROperational + AdjDir. 103 | SCR and ratio |
Solvency ratio of a pool member by its qualitySRi | Parameter table: Solvency ratios of rated or third-country pool members (Article 193(1)(e) and (g))193(1) | Counterparty default |
Solvency ratio of the counterparty, in %ratio | For an unrated insurer covering its MCR: last published ratio (eligible own funds ÷ SCR), in %. Left empty, it counts as 0 %: highest probability of default. | Counterparty default |
Solvency ratio of the insurance undertaking, in %ratio | In %. Eligible own funds ÷ SCR, latest available values. Enter 100 if the undertaking has not yet published its solvency and financial condition report (paragraph 6), if it is an insurer of an equivalent third country meeting its requirements (paragraph 7), or for an unrated credit or financial institution (paragraph 8). | Market |
Solvency ratio of the poolSR | SR = (1 − P) ⊗ Σ EOFi ÷ Σ EOFi ÷ SRi + Σ Pj × SRj193(1) a | Counterparty default |
Solvency ratio of the pool memberSRi, SRj | SRi, SRj = if(quality = "ratio" ; SR ; read(SRi ; quality))193(1) e to g | Counterparty default |
Specific factor used, sufficient history, gross not replaced (non-life)method used | method used = (length ≥ minimum length) ⊗ (NP′ > 0) ⊗ ((NP ≠ "") + 0 ⊗ σ(prem,s) gross) ⊗ (1 − ((premiums = "gross") + 0 ⊗ σ(prem,s) gross))Art. 218(1), Annex XVII F1, F2 | V1 undertaking-specific parameters |
Specific factor used, sufficient history, gross not replaced (NSLT health)method used | method used = (length ≥ minimum length) ⊗ (NP′ > 0) ⊗ ((NP ≠ "") + 0 ⊗ σ(prem,s)) ⊗ (1 − ((premiums = "gross") + 0 ⊗ σ(prem,s)))Art. 218(1), Annex XVII F1, F2 | V1 undertaking-specific parameters |
Specific increase in the amount of annuity benefits usedrevision | Annuities not exposed to any material inflation risk (Article 218(1)(b) and (d)). | V1 undertaking-specific parameters |
Specific increase used and sufficient history (health)method used | method used = (read(revision ; "sante") = "yes") × (T ≥ minimum length)Annex XVII E(2) b | V1 undertaking-specific parameters |
Specific increase used and sufficient history (life)method used | method used = (read(revision ; "vie") = "yes") × (T ≥ minimum length)Annex XVII E(2) b | V1 undertaking-specific parameters |
Specified loss for earthquake by regionL(earthquake,r) | L(earthquake,r) = aggregate_group(Corr(peril,r,i,j) [ peril_nat = "seisme" ] ; WSI(earthquake,r,i))122(2) and (5) | Counterparty default · Non-life |
Specified loss for flood by regionL(flood,r) | L(flood,r) = aggregate_group(Corr(peril,r,i,j) [ peril_nat = "inondation" ] ; WSI(flood,r,i))123(2) and (5) | Counterparty default · Non-life |
Specified loss for hail by regionL(hail,r) | L(hail,r) = aggregate_group(Corr(peril,r,i,j) [ peril_nat = "grele" ] ; WSI(hail,r,i))124(2) and (5) | Counterparty default · Non-life |
Specified loss for subsidence by regionL(subsidence,r) | L(subsidence,r) = aggregate_group(Corr(peril,r,i,j) [ peril_nat = "affaissement" ] ; WSI(subsidence,r,i))125(2) and (5) | Counterparty default · Non-life |
Specified loss for windstorm by regionL(windstorm,r) | L(windstorm,r) = aggregate_group(Corr(peril,r,i,j) [ peril_nat = "tempete" ] ; WSI(windstorm,r,i))121(2) and (5) | Counterparty default · Non-life |
Spread factor aiai | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Spread factor bibi | Parameter table: Spread factors of bonds and loans (Article 176(3) and (4))DR | Market |
Spread factor by solvency ratio and durationstress | Parameter table: Spread factors of unrated insurance undertakings by solvency ratio (Article 180(4), table of Article 176(3))DR | Market |
Spread factor of bonds and loans on unrated insurance undertakingsstressi | stressi = interp2(stress ; ratio ; max(dur ; minimum duration))180(4) | Market |
Spread factor of securitisation positionsstressi | stressi = min(ai + bi ⊗ (max(dur ; max(bound ; minimum duration)) − bound) ; 1)178 | Market |
Spread factor of the specific exposuresstressi | stressi = min(ai + bi ⊗ (max(dur ; max(bound ; minimum duration)) − bound) ; 1)180(1), 3, 5, 11, 14 | Market |
Spread factor of the unrated bond secured by collateralstressi | stressi = if(risk-adjusted collateral ≥ MV ; stressi(4) ÷ 2 ; if(MV ⊗ (1 − stressi(4)) < risk-adjusted collateral ; (stressi(4) + (MV − risk-adjusted collateral) ÷ MV) ÷ 2 ; stressi(4)))176(5) | Market |
Spread risk on bonds and loans, including the exposures of Article 180SCRbonds | SCRbonds = if(simplifications ∋ "104" ; MVbonds × (somme(%MVi × stressi) + %MVnorating × min(durnorating × 3 % ; 1)) + ΔLiabul + sum(MV ⊗ stressi) + sum(MV ⊗ stressi) + sum(MV ⊗ stressi) ; max(0 ; sum(MV ⊗ stress) + sum(MV ⊗ stressi) + sum(MV ⊗ stressi) + sum(MV ⊗ stressi) − TP decrease spread))176, 180, 104, 176(5) | Market |
Spread risk on credit derivativesSCRcd | SCRcd = max(0 ; loss spread up ; loss spread down)179 | Market |
Spread risk on securitisation positionsSCRsecuritisation | SCRsecuritisation = max(0 ; sum(MV ⊗ stressi) − TP decrease securitisation)178 | Market |
Spread risk sub-moduleSCRspread | SCRspread = SCRbonds + SCRsecuritisation + SCRcd175 | Market |
Spread shock factor of the classstress | stress = if(Art. 105 ; min(ai_105 + bi_105 ⊗ (max(dur ; max(bound_105 ; minimum duration)) − bound_105) ; 1) ; if(105a ; min(ai + bi ⊗ (max(dur ; max(lower bound ; minimum duration)) − lower bound) ; 1) ; min(ai_fallback + bi_fallback ⊗ (max(dur ; max(bound_fallback ; minimum duration)) − bound_fallback) ; 1)))176, 105, 105a | Market |
Standard deviation by NSLT health segmentσs | σs = sqrt(σ(prem,s) ^ 2 ⊗ V(prem,s) ^ 2 + σ(prem,s) ⊗ V(prem,s) ⊗ σ(res,s) ⊗ V(res,s) + σ(res,s) ^ 2 ⊗ V(res,s) ^ 2) ÷ (V(prem,s) + V(res,s))148(2) | Health |
Standard deviation for non-life premium and reserve riskσnl | σnl = aggregate(CorrS(s,t) ; σs ⊗ Vs) ÷ Vnl117(1) | Non-life |
Standard deviation for NSLT health premium and reserve riskσNSLTh | σNSLTh = aggregate(CorrHS(s,t) ; σs ⊗ Vs) ÷ VNSLTh148(1) | Health |
Standard deviation for NSLT health premium riskσ(prem,s) | Parameter table: Standard deviations of NSLT health premium and reserve risk (Annex XIV)DR | Counterparty default · Health · V1 undertaking-specific parameters |
Standard deviation for NSLT health premium risk usedσ(prem,s) | σ(prem,s) = if(V(prem,s) > 0 ; (σ(prem,s,HRES) ⊗ V(prem,s,HRES) + σ(prem,s) ⊗ (V(prem,s) − V(prem,s,HRES))) ÷ V(prem,s) ; σ(prem,s))148, 149(3) | Counterparty default · Health |
Standard deviation for NSLT health reserve riskσ(res,s) | Parameter table: Standard deviations of NSLT health premium and reserve risk (Annex XIV)DR | Health · V1 undertaking-specific parameters |
Standard deviation for NSLT health reserve risk usedσ(res,s) | σ(res,s) = if(V(res,s) > 0 ; (σ(res,s,HRES) ⊗ V(res,s,HRES) + σ(res,s) ⊗ (V(res,s) − V(res,s,HRES))) ÷ V(res,s) ; σ(res,s))148, 149(4) | Health |
Standard deviation for premium and reserve risk of the segmentσs | σs = sqrt(σ(prem,s) ^ 2 ⊗ V(prem,s) ^ 2 + σ(prem,s) ⊗ V(prem,s) ⊗ σ(res,s) ⊗ V(res,s) + σ(res,s) ^ 2 ⊗ V(res,s) ^ 2) ÷ (V(prem,s) + V(res,s))117(2) | Non-life |
Standard deviation for premium risk of business subject to the equalisation systemσ(prem,s,HRES) | Parameter table: Standard deviations of business subject to the health risk equalisation system of the Netherlands (Implementing Regulation 2015/2013)DR | Counterparty default · Health |
Standard deviation for premium risk of the segmentσ(prem,s) | σ(prem,s) = σ(prem,s) gross ⊗ NPs117(3) | Counterparty default · Non-life · V1 undertaking-specific parameters |
Standard deviation for premium risk of the segment, grossσ(prem,s) gross | Parameter table: Non-life premium and reserve standard deviationsDR | Counterparty default · Non-life · V1 undertaking-specific parameters |
Standard deviation for reserve risk of business subject to the equalisation systemσ(res,s,HRES) | Parameter table: Standard deviations of business subject to the health risk equalisation system of the Netherlands (Implementing Regulation 2015/2013)DR | Health |
Standard deviation for reserve risk of the segmentσ(res,s) | Parameter table: Non-life premium and reserve standard deviationsDR | Non-life · V1 undertaking-specific parameters |
Standard deviation multipliermultiplier | Parameter table: Type 1 exposures (Articles 200, 201)DR | Counterparty default |
Standard deviation of the losses of type 1 exposuresσ | σ = sqrt(Vinter + Vintra)200(4) | Counterparty default |
Standard deviation of the number of annuity increases entered by the undertakingσN | Read if PI8 = standard deviation entered by the undertaking, when the estimated standard deviation does not exceed the square root of the average number. | V1 undertaking-specific parameters |
Sum insured for earthquakeSI(seisme) | In euros. Sum insured of the contracts of lines 7 and 19 (property damage) and 6 and 18 (onshore property in marine, aviation and transport) covering earthquake in the zone. Zone: first two digits of the postal code (département in France; Monaco = 06, Andorra = 09), unless Annex IX sets a specific division. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Counterparty default · Non-life |
Sum insured for floodSI(inondation) | In euros. Sum insured of the contracts of lines 7 and 19 (property damage) and 6 and 18 (onshore property in marine, aviation and transport) covering flood in the zone. Zone: first two digits of the postal code (département in France; Monaco = 06, Andorra = 09), unless Annex IX sets a specific division. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Counterparty default · Non-life |
Sum insured for hailSI(grele) | In euros. Sum insured of the contracts of lines 7 and 19 (property damage) and 6 and 18 (onshore property in marine, aviation and transport) covering hail in the zone. Zone: first two digits of the postal code (département in France; Monaco = 06, Andorra = 09), unless Annex IX sets a specific division. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Counterparty default · Non-life |
Sum insured for subsidenceSI(affaissement) | In euros. Sum insured of the contracts of lines 7 and 19 covering subsidence of residential buildings in the zone. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Counterparty default · Non-life |
Sum insured for windstormSI(tempete) | In euros. Sum insured of the contracts of lines 7 and 19 (property damage) and 6 and 18 (onshore property in marine, aviation and transport) covering windstorm in the zone. Zone: first two digits of the postal code (département in France; Monaco = 06, Andorra = 09), unless Annex IX sets a specific division. Empty if none. Simplified calculation of Article 90b: the sum insured of a group of zones of the same region is entered on the zone of the group with the highest risk weight. | Counterparty default · Non-life |
Sum insured of the credit and suretyship exposuresum insured | In euros. The two exposures of lines 9 and 21 with the largest net loss (10 % of the sum insured less recoverables), aggregated by group of entities. Empty if none. | Counterparty default · Non-life |
Sum insured of vehicles for flood and hailSI(motor) | In euros. Sum insured of the contracts of lines 5 and 17 (motor vehicle damage) covering flood or hail in the zone; weighted by the calculation (× 1.5 for flood, × 5 then × 10 for hail). Empty if none. | Counterparty default · Non-life |
Sum of negative surrender strains, in absolute value (Article 102(2))Sdown | In euros, entered as a positive amount. | Health · V2 transitional interest rates · V4 extrapolation |
Sum of negative surrender strains, in absolute value (Article 95(2))Sdown | In euros, entered as a positive amount. | Life · V2 transitional interest rates · V4 extrapolation |
Sum of positive surrender strains (Article 102(1))Sup | In euros. Surrender strain: amount payable on lapse, net of amounts recoverable from policyholders or intermediaries, less the technical provisions without a risk margin (paragraph 3). | Health · V2 transitional interest rates · V4 extrapolation |
Sum of positive surrender strains (Article 95(1))Sup | In euros. Surrender strain: amount payable on lapse, net of amounts recoverable from policyholders or intermediaries, less the technical provisions without a risk margin (paragraph 3). | Life · V2 transitional interest rates · V4 extrapolation |
Symmetric adjustment assumed by the undertaking at the valuation date, not yet published by EIOPASA assumption | In %, within the bounds of the text (−10 and +10; −13 and +13 from 30/01/2027). Market assumption for a valuation after the last EIOPA publication (projection, plan); brought within the bounds. Empty: last published value. | Market |
Symmetric adjustment of the equity capital charge published by EIOPASA | Parameter table: Symmetric adjustment of the equity capital charge (daily value published by EIOPA)EIOPA_SA | Market |
Symmetric adjustment used for the equity shockSA | SA = if((valuation date > last SA publication) × entered(SA assumption) ; min(max(SA assumption ÷ % per 1 ; SA min) ; SA max) ; SA)172(2) | Market |
Technical provisions at 01/01/2016 under the current regimeTP 01/01/2016 | In euros. Technical provisions, net of the amounts recoverable from reinsurance and special purpose vehicles, calculated at 01/01/2016 according to Article 76 of the Directive (or recalculated at the date of the last recalculation allowed by the supervisory authority). | V3 transitional provisions |
Technical provisions factor of operational risk after the transitional deductionTP factor | TP factor = 1204 | Operational risk · V3 transitional provisions |
Technical provisions factor of the MCR after the transitional deductionTP factor | TP factor = 1250, 251 | MCR · V3 transitional provisions |
Technical provisions on the day before 01/01/2016 under the previous regimeTP previous regime | In euros. Technical provisions net of reinsurance calculated according to the provisions in force on the day before the application of the Directive (or at the date of the last recalculation). | V3 transitional provisions |
Technical provisions without a risk margin of the segment, net of reinsuranceTP(nl,s) | In euros. Best estimate net of the amounts recoverable from reinsurance and special purpose vehicles (excluding those of Article 41(3) and (5)), floor 0; before the transitional deduction (variant V3). Empty if none. | MCR · V2 transitional interest rates · V3 transitional provisions · V4 extrapolation |
Technical provisions without risk margin in relation to future discretionary benefitsFDB | In euros. Cap of the adjustment for the loss-absorbing capacity of technical provisions (Article 206(1)(c)). 0 if none. | Loss absorption · V2 transitional interest rates · V4 extrapolation |
Tier 1 basic own fundsT1 | In euros. Basic own funds classified in Tier 1, including restricted items (template S.23.01). | Own funds · V2 transitional interest rates · V3 transitional provisions · V4 extrapolation |
Tier 1 usedT1 | T1 = T1 − T1 restricted + T1 restricted eligible82(3) | Own funds |
Tier 2 basic own fundsT2 | In euros. Basic own funds classified in Tier 2 (template S.23.01). | Own funds · V2 transitional interest rates · V4 extrapolation |
Tier 2 including the excess of restricted Tier 1 itemsT2 | T2 = T2 + T1 restricted − T1 restricted eligible72(j) | Own funds |
Tier 3 basic own fundsT3 | In euros. Basic own funds classified in Tier 3 (template S.23.01). | Own funds · V2 transitional interest rates · V4 extrapolation |
Total capital at risk of life contractsCAR | In euros. Sum over life contracts of: amount payable on death or disability (plus present value of future payments not covered), net of reinsurance, less the net best estimate, floor 0 per contract. 0 if none. | MCR · V2 transitional interest rates · V4 extrapolation |
Total capital at risk of policies with a positive capital at risk (Article 96)sum CARi | In euros. Sum, over the contracts with a positive capital at risk, of the amount currently paid on death and the present value of the future amounts on immediate death, less the best estimate, net of reinsurance. | Life · V2 transitional interest rates · V4 extrapolation |
Total losses-given-default of type 1 exposuressum LGD | sum LGD = sum(LGD)200 | Counterparty default |
Total risk-mitigating effect to be allocated (Articles 107, 107a)RMre,all / RMtotal | In euros. Article 107: underwriting capital requirement without any reinsurance arrangement or securitisation less the underwriting capital requirement (RMre,all). Article 107a, from 30/01/2027: hypothetical Basic SCR, with nil counterparty default, without the reinsurance arrangements, securitisations and derivatives concerned, less the hypothetical Basic SCR with them, nil default (RMtotal). Allocated between the exposures in proportion to the value of the exposure. | Counterparty default |
Transitional deduction from technical provisionstransitional deduction | transitional deduction = sum(deduction)Dir. 308d(1) | V3 transitional provisions |
Transitional deduction of the risk groupdeduction | deduction = if(limit + 0 × spread > 0 ; min(if(share applied + 0 × spread > 0 ; min(share applied ; transitional share) ; transitional share) ⊗ if(PI12 = "yes" ; spread ; max(spread ; 0)) ; limit) ; if(share applied + 0 × spread > 0 ; min(share applied ; transitional share) ; transitional share) ⊗ if(PI12 = "yes" ; spread ; max(spread ; 0)))Dir. 308d(2) and (3) | V3 transitional provisions |
Transitional share of the yeartransitional share | Parameter table: Transitional share of the interest rate adjustment and of the deduction from technical provisionsDir. 308c(2), 308d(2) | V3 transitional provisions |
Type covered by Article 107scope_107 | Parameter table: Simplified counterparty default calculations by type of exposure (Articles 107, 107a, 112a)DR | Counterparty default |
Type covered by Article 107ascope_107a | Parameter table: Simplified counterparty default calculations by type of exposure (Articles 107, 107a, 112a)DR | Counterparty default |
Type of the co-reinsurance exposuretype | A: reinsurance ceded to a pool, amount entered according to Article 192; B: amount ceded to the member (194(1), BEC; with Article 109, amount ceded to the pool BEU) or to the pool (194(2), BEU); C: amount ceded by the pool to the external counterparty (BECE; with Article 109, share of the undertaking BECEP). Type: reinsurance (192(2)), the recovery rate depends on the encumbered assets. | Counterparty default |
Type of the exposuretype | Selects the formula of the loss-given-default (Article 192). | Counterparty default |
Ultimate claim amount (method 1) or aggregate annual losses (method 2)Yi | In euros, estimated in the reporting year, without the expenses incurred in servicing (F1(2), F2(2)). | V1 undertaking-specific parameters |
Underwriting risk covered by the proportional reinsurancej | Article 108: proportional reinsurance whose amounts recoverable are not negative; the risk-mitigating effect is calculated. Empty: effect entered. | Counterparty default |
Upper bound of the symmetric adjustmentSA max | Parameter table: Symmetric adjustment of the equity capital charge (daily value published by EIOPA)EIOPA_SA | Market |
Value of all assets heldvalue of assets | In euros. Total assets of the prudential balance sheet. | Market |
Value of assets sensitive to the currencyassets | In euros. Value of assets whose value depends on the exchange rate of the currency: securities and deposits denominated in the currency, and the currency part of funds looked through. Leave empty the currencies without exposure; the row of the local currency is ignored. | Market |
Value of bonds and loansMV | In euros. Market value of bonds and loans (including bank deposits, excluding the mortgage loans of Article 191) of the class: credit quality step and modified duration band. The exposures of Article 180 are entered separately; those of paragraph 2 (ECB, Member States, multilateral development banks, international organisations, and exposures guaranteed by them) have a nil factor and are not entered. | Market |
Value of bonds and loans on the insurance undertakingMV | In euros. Bonds and loans on an insurance or reinsurance undertaking without a credit assessment that covers its MCR (Article 180(4)). | Market |
Value of bonds and loans without a credit assessmentMVbonds × %MVnorating | MVbonds × %MVnorating = sum(MV ⊗ unrated)104(1)(d) | Market |
Value of defaulted and renegotiated loansLoan default | In euros. 0 if none. | Counterparty default |
Value of equitiesvalue | In euros. Market value of the equities held, by category (Solvency II balance sheet, template S.06.02). | Market |
Value of intangible assetsVintangible | In euros. Value of intangible assets in the Solvency II balance sheet (often nil). | Intangible assets |
Value of liabilities sensitive to the currencyliabilities | In euros. Value of liabilities, including technical provisions, whose value depends on the exchange rate of the currency. | Market |
Value of other type 2 exposuresLGD other | In euros. Receivables from intermediaries due for three months or less, policyholder debtors, and, beyond 15 names, deposits with ceding undertakings and called but unpaid commitments (Article 189(3)). 0 if none. | Counterparty default |
Value of property assetsproperty value | In euros. Land, buildings, immovable-property rights, and property held for own use (Article 174). Property funds and securities looked through count for their property part. 0 if none. | Market |
Value of securitisation positionsMV | In euros. Value of securitisation positions by category (STS within the meaning of Article 243 of Regulation (EU) No 575/2013, resecuritisation, other; “senior”: senior positions), credit quality step and duration band. Do not enter the positions of Article 180(10) and (10a) (nil factor). The type 1 securitisations before 2019 of Article 178a(1) go to rated senior STS. | Market |
Value of the assets excluded from the calculation base for concentrationexcluded assets | In euros. Assets held in respect of unit-linked contracts, intra-group exposures of Article 184(2)(b), participations deducted from own funds (Article 68), exposures of the counterparty default module, deferred tax assets, intangible assets, equities with a negative value. Captive, Article 106 used: add the intra-group asset pooling arrangements covered by legally binding netting agreements. | Market |
Value of the exposureexposure | In euros. Reinsurance: best estimate of the amounts recoverable and corresponding debts; derivative: value of the derivative; repurchase agreement and securities lending: value of the securities or cash lent; commitment given: nominal value less its balance sheet value; contribution: its amount; others: balance sheet value. Net of the liabilities that may be set off (Article 192(1)). | Counterparty default |
Value of the immovable propertyE | In euros. The same building forms a single property (Article 182(1)). | Market |
Value of the mortgage loanLoan | In euros. Retail loan meeting the requirements of Article 191(2) to (13); one row per loan or per group of loans with identical characteristics. | Counterparty default |
Value of the secured bond or loanMV | In euros. Bond or loan without a credit assessment whose debtor has provided collateral meeting Article 214; not to be entered also in the classes without a credit assessment. | Market |
Value of the specific exposuresMV | In euros. Market value of the bonds and loans of Article 180 by category: covered bonds with credit quality step 0 or 1 (paragraph 1); non-EU central governments and central banks in their currency, rated (paragraph 3), regional governments and local authorities of Member States not treated as the central government going to credit quality step 2 (paragraphs 3a and 3b); qualifying infrastructure investments (paragraph 11, step 3 if unrated, paragraph 13) and qualifying infrastructure corporate investments (paragraph 14, step 3 if the entity is unrated, paragraph 16); unrated insurance and reinsurance undertakings not covering their MCR (paragraph 5). | Market |
Value-weighted average modified durationdur | In years. Average modified duration of the securities of the class, weighted by their value; a duration lower than 1 year counts as 1 year. | Market |
Volume measure by NSLT health segmentVs | Vs = (V(prem,s) + V(res,s)) ⊗ (0,75 + 0,25 × DIVs)147(2) | Health |
Volume measure for NSLT health premium and reserve riskVNSLTh | VNSLTh = sum(Vs)147(1) | Health |
Volume measure for NSLT health premium riskV(prem,s) | V(prem,s) = if(Art. 116(4) ; Ps ; max(Ps ; P(last,s))) + FP(existing,s) + FP(future,s)147(3) and (4) | Counterparty default · Health |
Volume measure for NSLT health reserve riskV(res,s) | V(res,s) = V(res,s)147(6) | Health |
Volume measure for premium risk of business subject to the equalisation systemV(prem,s,HRES) | In euros. Part of the volume measure for premium risk of the segment subject to the equalisation system, calculated as in Article 147. Only the medical expense segment has a set standard deviation (Implementing Regulation 2015/2013); elsewhere the input has no effect. | Counterparty default · Health |
Volume measure for premium risk of the homogeneous risk groupV(prem,h) | In euros (Article 116(3)). Empty: weight 1. | V1 undertaking-specific parameters |
Volume measure for premium risk of the segmentV(prem,s) | V(prem,s) = if(Art. 116(4) ; Ps ; max(Ps ; P(last,s))) + FP(existing,s) + FP(future,s)116(3) | Counterparty default · Non-life |
Volume measure for premium risk of the segment without the contractPshyp | In euros (Article 116(3) or (4), Article 147(3) or (4)). | Counterparty default |
Volume measure for premium risk subject to the equalisation systemV(prem,s,HRES) | V(prem,s,HRES) = if(σ(prem,s,HRES) > 0 ; min(V(prem,s,HRES) ; V(prem,s)) ; 0)149(3) | Counterparty default · Health |
Volume measure for reserve risk of business subject to the equalisation systemV(res,s,HRES) | In euros. Part of the best estimate for claims provisions of the segment subject to the equalisation system (Article 147). | Health |
Volume measure for reserve risk of the segmentV(res,s) | V(res,s) = BE claims116(5) | Non-life |
Volume measure for reserve risk subject to the equalisation systemV(res,s,HRES) | V(res,s,HRES) = if(σ(res,s,HRES) > 0 ; min(V(res,s,HRES) ; V(res,s)) ; 0)149(4) | Health |
Volume measure of the module at the date of the full calculationVolumek0 | In euros. Volume measure specific to the undertaking, justified to the supervisory authority. | Counterparty default · Life · Health · Non-life · Intangible assets |
Volume measure of the module at the valuation dateVolumekt | In euros. Same volume measure, at the valuation date. | Counterparty default · Life · Health · Non-life · Intangible assets |
Volume measure of the segmentVs | Vs = (V(prem,s) + V(res,s)) ⊗ (fixed share + diversified share × DIVs)116(2) | Non-life |
Weighted average credit quality step of the single namecredit quality step | Average of the credit quality steps of the exposures of the name, weighted by their value (Article 182(4) to (11)); the calculation rounds it up to the next integer. Without a credit assessment: insurer according to its solvency ratio (196 % → 1, 175 % → 2, 122 % → 3, 100 % → 3.82, 95 % → 5, interpolated; 6 if it does not cover its MCR; 3.82 before its first public report), compliant credit institution 3.82, others 5. Simplified calculation of Article 105a used: the eligible unrated bonds count at credit quality step 3. | Market |
Weighted average inflation rate of medical payments (Article 99)i | As a decimal. Weighted by the present value of the medical payments of the best estimate. | Health |
Weighted average inflation rate of the best estimate (Article 101)i | As a decimal. Weighted by the present value of the expenses incurred in servicing existing health obligations. | Health |
Weighted average inflation rate of the best estimate (Article 94)i | As a decimal (0.02 for 2 %). Weighted by the present value of the expenses incurred in servicing existing life obligations. | Life |
Weighted sum insured for earthquake by zoneWSI(earthquake,r,i) | WSI(earthquake,r,i) = if(lower cat losses = "yes" ; if(lower amount > 0 ; min(lower amount ; read_group(Q(peril,r) [ peril_nat = "seisme" ] ; (W(peril,r,i) [ peril_nat = "seisme" ] + PI14 × single zone [ peril_nat = "seisme" ])) ⊗ (W(peril,r,i) [ peril_nat = "seisme" ] + PI14 × single zone [ peril_nat = "seisme" ]) ⊗ (SI(seisme))) ; read_group(Q(peril,r) [ peril_nat = "seisme" ] ; (W(peril,r,i) [ peril_nat = "seisme" ] + PI14 × single zone [ peril_nat = "seisme" ])) ⊗ (W(peril,r,i) [ peril_nat = "seisme" ] + PI14 × single zone [ peril_nat = "seisme" ]) ⊗ (SI(seisme))) ; read_group(Q(peril,r) [ peril_nat = "seisme" ] ; (W(peril,r,i) [ peril_nat = "seisme" ] + PI14 × single zone [ peril_nat = "seisme" ])) ⊗ (W(peril,r,i) [ peril_nat = "seisme" ] + PI14 × single zone [ peril_nat = "seisme" ]) ⊗ (SI(seisme)))122(3) to (7), 122(3) | Counterparty default · Non-life |
Weighted sum insured for flood by zoneWSI(flood,r,i) | WSI(flood,r,i) = if(lower cat losses = "yes" ; if(lower amount > 0 ; min(lower amount ; read_group(Q(peril,r) [ peril_nat = "inondation" ] ; (W(peril,r,i) [ peril_nat = "inondation" ] + PI14 × single zone [ peril_nat = "inondation" ])) ⊗ (W(peril,r,i) [ peril_nat = "inondation" ] + PI14 × single zone [ peril_nat = "inondation" ]) ⊗ (SI(inondation) + motor weighting [ peril_nat = "inondation" ] × SI(motor))) ; read_group(Q(peril,r) [ peril_nat = "inondation" ] ; (W(peril,r,i) [ peril_nat = "inondation" ] + PI14 × single zone [ peril_nat = "inondation" ])) ⊗ (W(peril,r,i) [ peril_nat = "inondation" ] + PI14 × single zone [ peril_nat = "inondation" ]) ⊗ (SI(inondation) + motor weighting [ peril_nat = "inondation" ] × SI(motor))) ; read_group(Q(peril,r) [ peril_nat = "inondation" ] ; (W(peril,r,i) [ peril_nat = "inondation" ] + PI14 × single zone [ peril_nat = "inondation" ])) ⊗ (W(peril,r,i) [ peril_nat = "inondation" ] + PI14 × single zone [ peril_nat = "inondation" ]) ⊗ (SI(inondation) + motor weighting [ peril_nat = "inondation" ] × SI(motor)))123(3) to (7), 123(6) | Counterparty default · Non-life |
Weighted sum insured for hail by zoneWSI(hail,r,i) | WSI(hail,r,i) = if(lower cat losses = "yes" ; if(lower amount > 0 ; min(lower amount ; read_group(Q(peril,r) [ peril_nat = "grele" ] ; (W(peril,r,i) [ peril_nat = "grele" ] + PI14 × single zone [ peril_nat = "grele" ])) ⊗ (W(peril,r,i) [ peril_nat = "grele" ] + PI14 × single zone [ peril_nat = "grele" ]) ⊗ (SI(grele) + motor weighting [ peril_nat = "grele" ] × SI(motor))) ; read_group(Q(peril,r) [ peril_nat = "grele" ] ; (W(peril,r,i) [ peril_nat = "grele" ] + PI14 × single zone [ peril_nat = "grele" ])) ⊗ (W(peril,r,i) [ peril_nat = "grele" ] + PI14 × single zone [ peril_nat = "grele" ]) ⊗ (SI(grele) + motor weighting [ peril_nat = "grele" ] × SI(motor))) ; read_group(Q(peril,r) [ peril_nat = "grele" ] ; (W(peril,r,i) [ peril_nat = "grele" ] + PI14 × single zone [ peril_nat = "grele" ])) ⊗ (W(peril,r,i) [ peril_nat = "grele" ] + PI14 × single zone [ peril_nat = "grele" ]) ⊗ (SI(grele) + motor weighting [ peril_nat = "grele" ] × SI(motor)))124(3) to (7), 124(6) | Counterparty default · Non-life |
Weighted sum insured for subsidence by zoneWSI(subsidence,r,i) | WSI(subsidence,r,i) = if(lower cat losses = "yes" ; if(lower amount > 0 ; min(lower amount ; read_group(Q(peril,r) [ peril_nat = "affaissement" ] ; (W(peril,r,i) [ peril_nat = "affaissement" ] + PI14 × single zone [ peril_nat = "affaissement" ])) ⊗ (W(peril,r,i) [ peril_nat = "affaissement" ] + PI14 × single zone [ peril_nat = "affaissement" ]) ⊗ (SI(affaissement))) ; read_group(Q(peril,r) [ peril_nat = "affaissement" ] ; (W(peril,r,i) [ peril_nat = "affaissement" ] + PI14 × single zone [ peril_nat = "affaissement" ])) ⊗ (W(peril,r,i) [ peril_nat = "affaissement" ] + PI14 × single zone [ peril_nat = "affaissement" ]) ⊗ (SI(affaissement))) ; read_group(Q(peril,r) [ peril_nat = "affaissement" ] ; (W(peril,r,i) [ peril_nat = "affaissement" ] + PI14 × single zone [ peril_nat = "affaissement" ])) ⊗ (W(peril,r,i) [ peril_nat = "affaissement" ] + PI14 × single zone [ peril_nat = "affaissement" ]) ⊗ (SI(affaissement)))125(3) to (7), 125(2) | Counterparty default · Non-life |
Weighted sum insured for windstorm by zoneWSI(windstorm,r,i) | WSI(windstorm,r,i) = if(lower cat losses = "yes" ; if(lower amount > 0 ; min(lower amount ; read_group(Q(peril,r) [ peril_nat = "tempete" ] ; (W(peril,r,i) [ peril_nat = "tempete" ] + PI14 × single zone [ peril_nat = "tempete" ])) ⊗ (W(peril,r,i) [ peril_nat = "tempete" ] + PI14 × single zone [ peril_nat = "tempete" ]) ⊗ (SI(tempete))) ; read_group(Q(peril,r) [ peril_nat = "tempete" ] ; (W(peril,r,i) [ peril_nat = "tempete" ] + PI14 × single zone [ peril_nat = "tempete" ])) ⊗ (W(peril,r,i) [ peril_nat = "tempete" ] + PI14 × single zone [ peril_nat = "tempete" ]) ⊗ (SI(tempete))) ; read_group(Q(peril,r) [ peril_nat = "tempete" ] ; (W(peril,r,i) [ peril_nat = "tempete" ] + PI14 × single zone [ peril_nat = "tempete" ])) ⊗ (W(peril,r,i) [ peril_nat = "tempete" ] + PI14 × single zone [ peril_nat = "tempete" ]) ⊗ (SI(tempete)))121(3) to (7), 121(6) | Counterparty default · Non-life |
Weighting of motor sums insuredmotor weighting | Parameter table: Weighting of motor sums insured (Articles 123(7), 124(7))DR | Counterparty default · Non-life |
Weights of the homogeneous risk groups (non-life)V(prem,h) | V(prem,h) = V(prem,h) + 0 ⊗ b1 + (V(prem,h) + 0 ⊗ b1 = 0)Annex XVII F1(7), F2(5) | V1 undertaking-specific parameters |
Weights of the homogeneous risk groups (NSLT health)V(prem,h) | V(prem,h) = V(prem,h) + 0 ⊗ b1 + (V(prem,h) + 0 ⊗ b1 = 0)Annex XVII F1(7), F2(5) | V1 undertaking-specific parameters |
Written premiums, net of reinsurance, during the last 12 months of the segmentPs | In euros, floor 0. Empty if none. | MCR |
“catastrophe” factor of the life simplified calculationscatastrophe | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“concentration threshold 106” factor of the simplified calculations for captivesconcentration_threshold_106 | Parameter table: Factors of the simplified calculation for captives (Articles 90, 106)DR | Market |
“disability 1” factor of the life simplified calculationsdisability_1 | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“disability 1” factor of the SLT health simplified calculationsdisability_1 | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“disability 2” factor of the life simplified calculationsdisability_2 | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“disability 2” factor of the SLT health simplified calculationsdisability_2 | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“disability 3” factor of the life simplified calculationsdisability_3 | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“disability 3” factor of the SLT health simplified calculationsdisability_3 | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“discounting lag” factor of the life simplified calculationsdiscounting_lag | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“discounting lag” factor of the SLT health simplified calculationsdiscounting_lag | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“expense” factor of the life simplified calculationsexpense | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“expense” factor of the SLT health simplified calculationsexpense | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“inflation shock” factor of the life simplified calculationsinflation_shock | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“inflation shock” factor of the SLT health simplified calculationsinflation_shock | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“lapse rate decrease” factor of the life simplified calculationslapse_rate_down | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“lapse rate increase” factor of the life simplified calculationslapse_rate_up | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“lapse rate increase” factor of the SLT health simplified calculationslapse_rate_up | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“lapse” factor of the life simplified calculationslapse | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“lapse” factor of the SLT health simplified calculationslapse | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“longevity” factor of the life simplified calculationslongevity | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“longevity” factor of the SLT health simplified calculationslongevity | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“medical expense” factor of the SLT health simplified calculationsmedical_expense | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“mortality” factor of the life simplified calculationsmortality | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“mortality” factor of the SLT health simplified calculationsmortality | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“premium share” factor of the simplified calculations for captivespremium_share | Parameter table: Factors of the simplified calculation for captives (Articles 90, 106)DR | Non-life |
“progression” factor of the life simplified calculationsprogression | Parameter table: Factors of the simplified calculations of life underwriting risk (Articles 91 to 96)DR | Life |
“progression” factor of the SLT health simplified calculationsprogression | Parameter table: Factors of the simplified calculations of SLT health underwriting risk (Articles 97 to 102)DR | Health |
“share of the squared sum” factor of the simplified calculations for captivesshare_squared_sum | Parameter table: Factors of the simplified calculation for captives (Articles 90, 106)DR | Non-life |
“share of the sum of squares” factor of the simplified calculations for captivesshare_sum_squares | Parameter table: Factors of the simplified calculation for captives (Articles 90, 106)DR | Non-life |