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| Article 112 |
Z0010 |
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| Fonds cantonné/portefeuille sous ajustement égalisateur ou part restante |
Z0020 |
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| Numéro du fonds/du portefeuille |
Z0030 |
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| Utilisation de simplifications |
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C0010 |
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| Simplification risque de spread – obligations et prêts |
R0010 |
C0010/R0010 |
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| Simplification entreprises captives – risque de taux d'intérêt |
R0020 |
C0010/R0020 |
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| Simplification entreprises captives – risque de spread sur obligations et prêts |
R0030 |
C0010/R0030 |
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| Simplification entreprises captives – concentrations du risque de marché |
R0040 |
C0010/R0040 |
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Valeurs initiales absolues avant choc |
Valeurs absolues après choc |
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Actifs |
Passifs |
Actifs |
Passifs (après la capacité d’absorption des pertes des provisions techniques) |
Capital de solvabilité requis net |
Passifs (avant la capacité d’absorption des pertes des provisions techniques) |
Capital de solvabilité requis brut |
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| Risque de marché – informations de base |
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C0020 |
C0030 |
C0040 |
C0050 |
C0060 |
C0070 |
C0080 |
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| Risque de taux d'intérêt |
R0100 |
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C0060/R0100 |
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C0080/R0100 |
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| choc baissier de taux d'intérêt |
R0110 |
C0020/R0110 |
C0030/R0110 |
C0040/R0110 |
C0050/R0110 |
C0060/R0110 |
C0070/R0110 |
C0080/R0110 |
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| choc haussier de taux d'intérêt |
R0120 |
C0020/R0120 |
C0030/R0120 |
C0040/R0120 |
C0050/R0120 |
C0060/R0120 |
C0070/R0120 |
C0080/R0120 |
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| Risque sur actions |
R0200 |
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C0060/R0200 |
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C0080/R0200 |
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| actions de type 1 |
R0210 |
C0020/R0210 |
C0030/R0210 |
C0040/R0210 |
C0050/R0210 |
C0060/R0210 |
C0070/R0210 |
C0080/R0210 |
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| action de type 1 |
R0220 |
C0020/R0220 |
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C0040/R0220 |
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| participations stratégiques (actions de type 1) |
R0230 |
C0020/R0230 |
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C0040/R0230 |
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| fondé sur la durée (actions de type 1) |
R0240 |
C0020/R0240 |
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C0040/R0240 |
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| actions de type 2 |
R0250 |
C0020/R0250 |
C0030/R0250 |
C0040/R0250 |
C0050/R0250 |
C0060/R0250 |
C0070/R0250 |
C0080/R0250 |
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| action de type 2 |
R0260 |
C0020/R0260 |
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C0040/R0260 |
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| participations stratégiques (actions de type 2) |
R0270 |
C0020/R0270 |
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C0040/R0270 |
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| fondé sur la durée (actions de type 2) |
R0280 |
C0020/R0280 |
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C0040/R0280 |
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| actions de sociétés d'infrastructure éligibles |
R0291 |
C0020/R0291 |
C0030/R0291 |
C0040/R0291 |
C0050/R0291 |
C0060/R0291 |
C0070/R0291 |
C0080/R0291 |
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| actions d'infrastructures éligibles autres que des sociétés |
R0292 |
C0020/R0292 |
C0030/R0292 |
C0040/R0292 |
C0050/R0292 |
C0060/R0292 |
C0070/R0292 |
C0080/R0292 |
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| Risque sur actifs immobiliers |
R0300 |
C0020/R0300 |
C0030/R0300 |
C0040/R0300 |
C0050/R0300 |
C0060/R0300 |
C0070/R0300 |
C0080/R0300 |
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Valeurs initiales absolues avant choc |
Valeurs absolues après choc |
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Actifs |
Passifs |
Actifs |
Passifs (après la capacité d’absorption des pertes des provisions techniques) |
Capital de solvabilité requis net |
Passifs (avant la capacité d’absorption des pertes des provisions techniques) |
Capital de solvabilité requis brut |
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| Risque de marché – informations de base |
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C0020 |
C0030 |
C0040 |
C0050 |
C0060 |
C0070 |
C0080 |
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| Risque de spread |
R0400 |
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C0060/R0400 |
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C0080/R0400 |
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| obligations et prêts |
R0410 |
C0020/R0410 |
C0030/R0410 |
C0040/R0410 |
C0050/R0410 |
C0060/R0410 |
C0070/R0410 |
C0080/R0410 |
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| prêts et obligations (investissements dans des sociétés d'infrastructure éligibles) |
R0414 |
C0020/R0414 |
C0030/R0414 |
C0040/R0414 |
C0050/R0414 |
C0060/R0414 |
C0070/R0414 |
C0080/R0414 |
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| prêts et obligations (investissements dans des infrastructures éligibles autres que des sociétés d'infrastructure) |
R0413 |
C0020/R0413 |
C0030/R0413 |
C0040/R0413 |
C0050/R0413 |
C0060/R0413 |
C0070/R0413 |
C0080/R0413 |
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| prêts et obligations (autres qu'investissements dans des infrastructures éligibles et des sociétés d'infrastructure éligibles) |
R0412 |
C0020/R0412 |
C0030/R0412 |
C0040/R0412 |
C0050/R0412 |
C0060/R0412 |
C0070/R0412 |
C0080/R0412 |
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| dérivés de crédit |
R0420 |
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C0060/R0420 |
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C0080/R0420 |
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| choc baissier sur dérivés de crédit |
R0430 |
C0020/R0430 |
C0030/R0430 |
C0040/R0430 |
C0050/R0430 |
C0060/R0430 |
C0070/R0430 |
C0080/R0430 |
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| choc haussier sur dérivés de crédit |
R0440 |
C0020/R0440 |
C0030/R0440 |
C0040/R0440 |
C0050/R0440 |
C0060/R0440 |
C0070/R0440 |
C0080/R0440 |
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| Positions de titrisation |
R0450 |
C0020/R0450 |
C0030/R0450 |
C0040/R0450 |
C0050/R0450 |
C0060/R0450 |
C0070/R0450 |
C0080/R0450 |
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| titrisations de type 1 |
R0460 |
C0020/R0460 |
C0030/R0460 |
C0040/R0460 |
C0050/R0460 |
C0060/R0460 |
C0070/R0460 |
C0080/R0460 |
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| titrisations de type 2 |
R0470 |
C0020/R0470 |
C0030/R0470 |
C0040/R0470 |
C0050/R0470 |
C0060/R0470 |
C0070/R0470 |
C0080/R0470 |
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| retitrisations |
R0480 |
C0020/R0480 |
C0030/R0480 |
C0040/R0480 |
C0050/R0480 |
C0060/R0480 |
C0070/R0480 |
C0080/R0480 |
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| Concentrations du risque de marché |
R0500 |
C0020/R0500 |
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C0060/R0500 |
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C0080/R0500 |
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| Risque de change |
R0600 |
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C0060/R0600 |
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C0080/R0600 |
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| augmentation de la valeur de la monnaie étrangère |
R0610 |
C0020/R0610 |
C0030/R0610 |
C0040/R0610 |
C0050/R0610 |
C0060/R0610 |
C0070/R0610 |
C0080/R0610 |
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| diminution de la valeur de la monnaie étrangère |
R0620 |
C0020/R0620 |
C0030/R0620 |
C0040/R0620 |
C0050/R0620 |
C0060/R0620 |
C0070/R0620 |
C0080/R0620 |
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| Diversification au sein du module «risque de marché» |
R0700 |
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C0060/R0700 |
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C0080/R0700 |
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| Total risque de marché |
R0800 |
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C0060/R0800 |
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C0080/R0800 |
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