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Stress-Test-Spreadsheet-20110516

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					ST20110516                                                                         Read Me
00                                                                                                                                                                  millions of euros


       2011 stress test spreadsheet
       This 2011 stress test spreadsheet is intended to be used by insurance groups/undertakings to submit the quantitative data requested in the 2011 stress test exercise.


       General organisation
       The general organisation of this spreadsheet is:

                     1 - an overview tab with participant information and the main results
                     2 - a set of input tabs both for the status quo and the scenario outcomes
                     3 - a set of helper and information tabs (spread risk, FX rates)


       Color codes
       The following color code has been used for the cells in this spreadsheet:

                              Input data

                       Intermediate calculations   these cells might be overwritten (especially in the scenario tabs)

                             Main results

                          Conditional data         these cells will turn into blue input cells depending on other inputs,
                                                   e.g. cell D8 in the "Overview" tab turns blue if in the drop-down menu in C8 "other, please specify" is chosen


       Spreadsheet protection
       The non-input cells of this spreadsheet are protected in order to avoid erroneous deletion of formulas.
       The protection can be lifted by entering an empty password (i.e. "").

       However, participants are strongly urged not to change the structure of the spreadsheet (e.g. by inserting rows, re-naming tabs or areas etc.).
       This would endanger the automatic processing of results.
       If participants want to comment on certain inputs or results, a separate Word document should be submitted.



       Version changes
         20110331 Tab "Add.Scen. Sovereigns": IS, LI, NO, CH added in lines 56:59
         20110331 Tab "Status Quo" and "Add.Scen. Sovereigns": Clarification added that held-to-maturity information is optional
         20110331 Tab "Helper Tab Spread Risk": Drop-down menu added in column B (rating category)
         20110331 Tab "Helper Tab Spread Risk", columns F and I: Cap formula corrected
         20110331 Tab "Helper Tab Spread Risk", column E: "Non-EU Government" replaced by "Non-EEA/CH Government"
         20110331 Tab "Status Quo", Cell C12; Clarification added that only Tier 1 and Tier 2 could cover the MCR of solo entities
         20110331 Tab "Overview", Cells C11:C12: Clarification added regarding solo/group reporting
         20110331 Tab "Add.Scen Sovereigns", Cell F25: Reference to Technical Specifications corrected
         20110331 Throughout the template: Print areas defined
         20110504 Tabs "Base Scenario", "Adverse Scenario", "Inflation Scenario", Cells E9: Formula corrected
         20110504 Tabs "Base Scenario", "Adverse Scenario", Cells D37:E37: Formulas corrected
         20110504 Tab "Inflation Scenario", Cells D36:E36: Formulas corrected
         20110504 Tab "Helper Tab Spread Risk", columns F and I: Cap formula corrected
         20110516 Tab "Helper Tab Spread Risk", columns H and K: Formula corrected
         20110516 Tab "Add.Scen Sovereigns", Cells D8 and E9: Formula corrected
         20110516 Tab "Add.Scen Sovereigns", Cells D27 and F27:G27: Clarification added where the pre-stress and the post-stress exposure should be filled in
ST20110516                                                                   Overview
00                                                                                                                          millions of euros

  1    Participant information

       Participant
       Contact person (incl. email address and phone number)
       Reporting reference date                                  31/12/2010
       Reporting currency                                        millions of euros
       Consolidation level
       FOR GROUPS: Method for group solvency assessment          QIS5 default method
       National / lead supervisor(s)


  2    Overview of results

       Impact on available own funds in base scenario                                         0
       Impact on available own funds in adverse scenario                                      0
       Impact on available own funds in inflation scenario                                    0
       Impact on available own funds in sovereign scenario                                    0

                                                                                                    OPTIONAL: with specific
                                                                  with unchanged MCR / Floor to
                                                                                                   after-shock MCR / Floor to
                                                                           Group SCR
                                                                                                           Group SCR
       Eligible own funds over MCR / Floor to Group SCR before
                                                                                              --
       stress
       Eligible own funds over MCR / Floor to Group SCR after
                                                                                              --                            --
       base scenario
       Eligible own funds over MCR / Floor to Group SCR after
                                                                                              --                            --
       adverse scenario
       Eligible own funds over MCR / Floor to Group SCR after
                                                                                              --                            --
       inflation scenario
       Eligible own funds over MCR / Floor to Group SCR after
                                                                                              --                            --
       sovereign scenario
millions of euros




                    sign convention: positive values meaning "losses"
ST20110516                                                                    Status Quo
00                                                                                                                    millions of euros

  1    Current solvency position (QIS5 principles or equivalent)

       SCR before stress
       MCR / Floor to Group SCR before stress
       Available own funds: Tier 1
       Available own funds: Tier 2
       Available own funds: Tier 3
       Total available own funds (Tier 1 + Tier 2 + Tier 3)                                   0
       Total eligible own funds for MCR (Tier 1 + Tier 2) / Floor to Group
       SCR coverage (Tier 1 + Tier 2 + Tier 3), subject to caps according
       to QIS5 Technical Specifications


  2    Balance sheet (assets)

                                                                             QIS5 valuation
                                                                               principles
       Other intangible assets
       Property, plant & equipement held for own use
       Investments (other than assets held for unit-linked funds)                             0
            Property (other than own use)
            Participations
            Equities/other shares (other than participations) - listed
                                                                                                  OPTIONAL: Bonds -
             Equities/other shares (other than participations) - unlisted                          of which held to
                                                                                                       maturity
             Bonds - Government and multilateral banks
             Bonds - Corporate (asset backed securities)
             Bonds - Corporate (other)
             Structured notes
             Investment funds
             Derivatives
             Long term bank deposits
             Other investments
       Assets held for unit-linked funds
       Cash deposits to cedants
       Mortgages and loans made
       Reinsurance recoverables
       SPV recoverables
       Intermediaries recoverables
       Insurance recoverables (excluding Intermediaries)
       Receivables (trade, not insurance)
       Pension benefit surplus
       Deferred tax assets
       Cash and cash equivalents
       Short term bank deposits
       Amounts due in respect of called but unpaid capital
       Any other assets, not elsewhere shown
       Total assets (excluding other financial sector assets of groups)                       0
       FOR GROUPS: Other financial sector assets
       FOR GROUPS: Total assets for groups                                                    0
3   Balance sheet (liabilities)

                                                                           QIS5 valuation
                                                                             principles
    Gross technical provisions - non-life (excluding health)
    Gross technical provisions - health (similar to non-life)
    Gross technical provisions - health (similar to life)
    Gross technical provisions - life (excl health and unit-linked)
    Gross technical provisions - unit-linked funds
    Cash deposits from reinsurers
    (Re)insurance accounts payable
    Derivatives
    Deferred tax liabilities
    Provisions other than technical provisions
    Amounts owed to credit institutions
    Financial liabilities other than amounts owed to credit institutions
    Payables (trade, not insurance)
    Pension benefit obligations
    Uncalled investments
    Contingent liabilities
    Any other liabilities (excluding subordinated liabilities), not elsewhere shown
    Total liabilites (excluding other financial sector liabilities of groups)               0
    FOR GROUPS: Total other financial sector liabilities
    FOR GROUPS: Total liabilities, including other financial sector liabilities             0
    Assets less Liabilities                                                                 0


4   Information on own funds

                                                                           QIS5 valuation
                                                                             principles
    Called up or paid up common equity capital; and reserves
          of which revaluation reserve debt securities
          of which revaluation reserve equity
          of which revaluation reserve cash flow hedge
    Subordinated liabilities and hybrid capital
    Other basic own funds
    FOR GROUPS: Minority interests
    Total basic own funds                                                                   0

    Check whether balance sheet is balanced                                    FALSE


5   Future discretionary benefits                                                               §12

    Total value of future discretionary benefits (FDB)
ST20110516                             Base Scenario
00                                                                                                                         millions of euros

  1    Overall losses in base scenario

                                                                                                           Including
                                                                                   No adjustment
                                                                                                       adjustment effect
                                                                                 effect of technical
                                                                                                          of technical
                                                                                     provisions
                                                                                                           provisions
       Aggregated changes in net value of assets and liabilities - market
                                                                                                0.0                  0.0
       stresses
       Aggregated changes in net value of assets and liabilities - life
                                                                                                0.0                  0.0
       stresses
       Aggregated changes in net value of assets and liabilities - non-life
                                                                                                0.0                  0.0
       stresses

              Correlations                                                       Market and Credit           Life             Non-Life
              Market and Credit                                                           1                  0.25               0.25
              Life                                                                      0.25                   1                  1
              Non-Life                                                                  0.25                   1                  1

       Aggregated changes in net value of assets and liabilities assuming no
                                                                                                0.0
       adjustment effect of technical provisions
       Aggregated changes in net value of assets and liabilities assuming an
                                                                                                                     0.0
       adjustment effect of technical provisions

       Overall loss absorption effect of future profit sharing (aggregation of
                                                                                                                     0.0
       sub-modules)
       Overall loss absorption effect of future profit sharing (optional if no
       breakdown is available, cf. "single-equivalent scenario" in QIS5 TS)
       Use in overall calculation?                                                                         FALSE

       Overall loss absorption effect of changes in deferred taxes in base
       scenario
       Overall loss absorption effect of changes in deferred taxes in base
       scenario (capped by absolute amount of deferred tax liabilities before                                        0.0
       stress)

       Overall loss absorption effect of post-stress management actions
       (see §16)


       Overall change in available capital for base scenario due to stresses                                                             0.0


       OPTIONAL: MCR / Floor to Group SCR after base scenario stresses




  2    Interest rate risk                                                                                                           §17.3.1
                                                                                                                                               Assets
                                                                                                           Including
                                                                                   No adjustment
                                                                                                       adjustment effect
                                                                                 effect of technical
                                                                                                          of technical
                                                                                     provisions
                                                                                                           provisions
       Changes in net value of assets and liabilities due to revaluing all
       interest rate sensitive instruments using the prescribed altered term
       structures for an upward shock
       Changes in net value of assets and liabilities due to revaluing all
       interest rate sensitive instruments using the prescribed altered term                    0.0                  0.0
       structures for a downward shock
3   Equity risk                                                                                                             §17.3.2
                                                                                                                                      Assets
                                                                                                            Including
                                                                                    No adjustment
                                                                                                        adjustment effect
                                                                                  effect of technical
                                                                                                           of technical
                                                                                      provisions
                                                                                                            provisions
    Changes in net value of assets and liabilities due to assumed fall in
    value of equities/hedges, taking account of all direct and indirect                          0.0                  0.0
    equity exposures

4   Property risk                                                                                                           §17.3.3
                                                                                                                                      Assets
                                                                                                            Including
                                                                                    No adjustment
                                                                                                        adjustment effect
                                                                                  effect of technical
                                                                                                           of technical
                                                                                      provisions
                                                                                                            provisions
    Changes in net value of assets and liabilities due to assumed fall in
    value of residential real estate, taking account of all direct and indirect                  0.0                  0.0
    property exposures
    Changes in net value of assets and liabilities due to assumed fall in
    value of commercial real estate, taking account of all direct and                            0.0                  0.0
    indirect property exposures


5   Spread risk                                                                                                             §17.3.4

                                                                                                            Including
                                                                                    No adjustment
                                                                                                        adjustment effect
                                                                                  effect of technical
                                                                                                           of technical
                                                                                      provisions
                                                                                                            provisions
    Changes in net value of assets and liabilities due to assumed
                                                                                                 0.0                  0.0
    increase of credit spreads


6   Non-life insurance stress                                                                                                §17.4

                                                                                                            Including
                                                                                    No adjustment
                                                                                                        adjustment effect
                                                                                  effect of technical
                                                                                                           of technical
                                                                                      provisions
                                                                                                            provisions
    Changes in net value of assets and liabilities due to assumed natural
    catastrophe event
    Changes in net value of assets and liabilities due to assumed claims
    reserves deficiency stress


7   Life insurance stress                                                                                                    §17.5

                                                                                                            Including
                                                                                    No adjustment
                                                                                                        adjustment effect
                                                                                  effect of technical
                                                                                                           of technical
                                                                                      provisions
                                                                                                            provisions
    Changes in net value of assets and liabilities due to assumed
                                                                                                                      0.0
    increase of mortality rates due to pandemic event
    Changes in net value of assets and liabilities due to assumed
                                                                                                                      0.0
    increase in longevity
sign convention: positive values meaning "losses"




sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation


sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation




sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation




  default assumption: no change in future bonuses; if necessary, input data in columns J and M, or
                                  overwrite formulas in column E
                       Assets                                            Liabilities
                                           Including                                           Including
                   No adjustment                                       No adjustment
                                       adjustment effect                                   adjustment effect
     Initial     effect of technical                       Initial   effect of technical
                                          of technical                                        of technical
                     provisions                                          provisions
                                           provisions                                          provisions




                                                       -                                                   -
                                     Assets                                            Liabilities
                                                         Including                                           Including
                                 No adjustment                                       No adjustment
                                                     adjustment effect                                   adjustment effect
                   Initial     effect of technical                       Initial   effect of technical
                                                        of technical                                        of technical
                                   provisions                                          provisions
                                                         provisions                                          provisions

                                                                     -                                                   -



                                     Assets                                            Liabilities
                                                         Including                                           Including
                                 No adjustment                                       No adjustment
                                                     adjustment effect                                   adjustment effect
                   Initial     effect of technical                       Initial   effect of technical
                                                        of technical                                        of technical
                                   provisions                                          provisions
                                                         provisions                                          provisions

                                                                     -                                                   -


                                                                     -                                                   -




Go to Helper Tab Spread Risk
ST20110516                          Adverse scenario
00                                                                                                                         millions of euros

  1    Overall losses in adverse scenario

                                                                                                           Including
                                                                                   No adjustment
                                                                                                       adjustment effect
                                                                                 effect of technical
                                                                                                          of technical
                                                                                     provisions
                                                                                                           provisions
       Aggregated changes in net value of assets and liabilities - market
                                                                                                0.0                  0.0
       stresses
       Aggregated changes in net value of assets and liabilities - life
                                                                                                0.0                  0.0
       stresses
       Aggregated changes in net value of assets and liabilities - non-life
                                                                                                0.0                  0.0
       stresses

              Correlations                                                       Market and Credit           Life             Non-Life
              Market and Credit                                                          1                   0.25               0.25
              Life                                                                      0.25                  1                  1
              Non-Life                                                                  0.25                  1                  1

       Aggregated changes in net value of assets and liabilities assuming
                                                                                                0.0
       no adjustment effect of technical provisions
       Aggregated changes in net value of assets and liabilities assuming
                                                                                                                     0.0
       an adjustment effect of technical provisions

       Overall loss absorption effect of future profit sharing (aggregation of
                                                                                                                     0.0
       sub-modules)
       Overall loss absorption effect of future profit sharing (optional if no
       breakdown is available, cf. "single-equivalent scenario" in QIS5 TS)
       Use in overall calculation?                                                                         FALSE

       Overall loss absorption effect of changes in deferred taxes in
       adverse scenario
       Overall loss absorption effect of changes in deferred taxes in
       adverse scenario (capped by absolute amount of deferred tax                                                   0.0
       liabilities before stress)

       Overall loss absorption effect of post-stress management actions
       (see §16)

       Overall change in available capital for adverse scenario due to
                                                                                                                                         0.0
       stresses

       OPTIONAL: MCR / Floor to Group SCR after adverse scenario
       stresses



  2    Interest rate risk                                                                                                           §17.3.1
                                                                                                                                               Assets
                                                                                                           Including
                                                                                   No adjustment
                                                                                                       adjustment effect
                                                                                 effect of technical
                                                                                                          of technical
                                                                                     provisions
                                                                                                           provisions
       Changes in net value of assets and liabilities due to revaluing all
       interest rate sensitive instruments using the prescribed altered term
       structures for an upward shock
       Changes in net value of assets and liabilities due to revaluing all
       interest rate sensitive instruments using the prescribed altered term                    0.0                  0.0
       structures for a downward shock
3   Equity risk                                                                                                       §17.3.2
                                                                                                                                Assets
                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed fall in
    value of equities/hedges, taking account of all direct and indirect                    0.0                  0.0
    equity exposures

4   Property risk                                                                                                     §17.3.3
                                                                                                                                Assets
                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed fall in
    value of residential real estate, taking account of all direct and                     0.0                  0.0
    indirect property exposures
    Changes in net value of assets and liabilities due to assumed fall in
    value of commercial real estate, taking account of all direct and                      0.0                  0.0
    indirect property exposures


5   Spread risk                                                                                                       §17.3.4

                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed
                                                                                           0.0                  0.0
    increase of credit spreads


6   Non-life insurance stress                                                                                          §17.4

                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed
    natural catastrophe event
    Changes in net value of assets and liabilities due to assumed claims
    reserves deficiency stress


7   Life insurance stress                                                                                              §17.5

                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed
                                                                                                                0.0
    increase of mortality rates due to pandemic event
    Changes in net value of assets and liabilities due to assumed
                                                                                                                0.0
    increase in longevity
sign convention: positive values meaning "losses"




sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation


sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation




sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation




 default assumption: no change in future bonuses; if necessary, input data in columns J and M, or
                                 overwrite formulas in column E
                       Assets                                                Liabilities
                                           Including                                               Including
                   No adjustment                                           No adjustment
                                       adjustment effect                                       adjustment effect
     Initial     effect of technical                           Initial   effect of technical
                                          of technical                                            of technical
                     provisions                                              provisions
                                           provisions                                              provisions




                                                           -                                                       -
                                     Assets                                                Liabilities
                                                         Including                                               Including
                                 No adjustment                                           No adjustment
                                                     adjustment effect                                       adjustment effect
                  Initial      effect of technical                           Initial   effect of technical
                                                        of technical                                            of technical
                                   provisions                                              provisions
                                                         provisions                                              provisions

                                                                         -                                                       -



                                     Assets                                                Liabilities
                                                         Including                                               Including
                                 No adjustment                                           No adjustment
                                                     adjustment effect                                       adjustment effect
                  Initial      effect of technical                           Initial   effect of technical
                                                        of technical                                            of technical
                                   provisions                                              provisions
                                                         provisions                                              provisions

                                                                         -                                                       -


                                                                         -                                                       -




Go to Helper Tab Spread Risk
ST20110516                          Inflation scenario
00                                                                                                                         millions of euros

  1    Overall losses in inflation scenario

                                                                                                           Including
                                                                                   No adjustment
                                                                                                       adjustment effect
                                                                                 effect of technical
                                                                                                          of technical
                                                                                     provisions
                                                                                                           provisions
       Aggregated changes in net value of assets and liabilities - market
                                                                                                0.0                  0.0
       stresses
       Aggregated changes in net value of assets and liabilities - life
                                                                                                0.0                  0.0
       stresses
       Aggregated changes in net value of assets and liabilities - non-life
                                                                                                0.0                  0.0
       stresses

              Correlations                                                       Market and Credit           Life             Non-Life
              Market and Credit                                                          1                   0.25               0.25
              Life                                                                      0.25                  1                  1
              Non-Life                                                                  0.25                  1                  1

       Aggregated changes in net value of assets and liabilities assuming
                                                                                                0.0
       no adjustment effect of technical provisions
       Aggregated changes in net value of assets and liabilities assuming
                                                                                                                     0.0
       an adjustment effect of technical provisions

       Overall loss absorption effect of future profit sharing (aggregation of
                                                                                                                     0.0
       sub-modules)
       Overall loss absorption effect of future profit sharing (optional if no
       breakdown is available, cf. "single-equivalent scenario" in QIS5 TS)
       Use in overall calculation?                                                                         FALSE

       Overall loss absorption effect of changes in deferred taxes in
       inflation scenario
       Overall loss absorption effect of changes in deferred taxes in
       inflation scenario (capped by absolute amount of deferred tax                                                 0.0
       liabilities before stress)

       Overall loss absorption effect of post-stress management actions
       (see §16)

       Overall change in available capital for inflation scenario due to
                                                                                                                                         0.0
       stresses

       OPTIONAL: MCR / Floor to Group SCR after inflation scenario
       stresses



  2    Interest rate risk                                                                                                           §17.3.1
                                                                                                                                               Assets
                                                                                                           Including
                                                                                   No adjustment
                                                                                                       adjustment effect
                                                                                 effect of technical
                                                                                                          of technical
                                                                                     provisions
                                                                                                           provisions
       Changes in net value of assets and liabilities due to revaluing all
       interest rate sensitive instruments using the prescribed altered term                    0.0                  0.0
       structures for an upward shock
       Changes in net value of assets and liabilities due to revaluing all
       interest rate sensitive instruments using the prescribed altered term
       structures for a downward shock
3   Equity risk                                                                                                       §17.3.2
                                                                                                                                Assets
                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed fall in
    value of equities/hedges, taking account of all direct and indirect
    equity exposures

4   Property risk                                                                                                     §17.3.3
                                                                                                                                Assets
                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed fall in
    value of residential real estate, taking account of all direct and
    indirect property exposures
    Changes in net value of assets and liabilities due to assumed fall in
    value of commercial real estate, taking account of all direct and
    indirect property exposures


5   Spread risk                                                                                                       §17.3.4

                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed
    increase of credit spreads


6   Non-life insurance stress                                                                                          §17.4

                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed
    natural catastrophe event
    Changes in net value of assets and liabilities due to assumed claims
    reserves deficiency stress


7   Life insurance stress                                                                                              §17.5

                                                                                                      Including
                                                                              No adjustment
                                                                                                  adjustment effect
                                                                            effect of technical
                                                                                                     of technical
                                                                                provisions
                                                                                                      provisions
    Changes in net value of assets and liabilities due to assumed
                                                                                                                0.0
    increase of mortality rates due to pandemic event
    Changes in net value of assets and liabilities due to assumed
                                                                                                                0.0
    increase in longevity
sign convention: positive values meaning "losses"




sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation


sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation




sign convention: positive values meaning effective reduction of
"losses" due to risk mitigation




 default assumption: no change in future bonuses; if necessary, input data in columns J and M, or
                                 overwrite formulas in column E
                       Assets                                                Liabilities
                                           Including                                               Including
                   No adjustment                                           No adjustment
                                       adjustment effect                                       adjustment effect
     Initial     effect of technical                           Initial   effect of technical
                                          of technical                                            of technical
                     provisions                                              provisions
                                           provisions                                              provisions

                                                           -                                                       -
                                     Assets                                            Liabilities
                                                         Including                                           Including
                                 No adjustment                                       No adjustment
                                                     adjustment effect                                   adjustment effect
                  Initial      effect of technical                       Initial   effect of technical
                                                        of technical                                        of technical
                                   provisions                                          provisions
                                                         provisions                                          provisions




                                     Assets                                            Liabilities
                                                         Including                                           Including
                                 No adjustment                                       No adjustment
                                                     adjustment effect                                   adjustment effect
                  Initial      effect of technical                       Initial   effect of technical
                                                        of technical                                        of technical
                                   provisions                                          provisions
                                                         provisions                                          provisions




Go to Helper Tab Spread Risk
ST20110516                             Sovereign risk
00                                                                                                                         millions of euros

  1    Overall losses in base scenario

                                                                                                           Including
                                                                                  No adjustment
                                                                                                       adjustment effect
                                                                                 effect of technical
                                                                                                          of technical
                                                                                     provisions
                                                                                                          provisions

       Aggregated changes in net value of assets and liabilities assuming
                                                                                                 0.0
       no adjustment effect of technical provisions
       Aggregated changes in net value of assets and liabilities assuming
                                                                                                                     0.0
       an adjustment effect of technical provisions

       Overall loss absorption effect of future profit sharing (aggregation of
                                                                                                                     0.0
       sub-modules)
       Overall loss absorption effect of future profit sharing (optional if no
       breakdown is available, cf. "single-equivalent scenario" in QIS5 TS)
       Use in overall calculation?                                                                         FALSE

       Overall loss absorption effect of changes in deferred taxes in
       sovereign scenario
       Overall loss absorption effect of changes in deferred taxes in
       sovereign scenario (capped by absolute amount of deferred tax                                                 0.0
       liabilities before stress)

       Overall loss absorption effect of post-stress management actions
       (see §16)

       Overall change in available capital for sovereign scenario due to
                                                                                                                                        0.0
       stresses

       OPTIONAL: MCR / Floor to Group SCR after sovereign scenario
       stresses
2   Sovereign risk                                                               §19

                           Initial - Net exposure ("pre-stress",                         Post-stress net
                                                                     Post-stress net
                                 excl. unit-linked business)                               exposure -
                                                                     exposure - No
                                                                                            Including
                                                                    adjustment effect
                                                OPTIONAL: of                            adjustment effect
                                                                       of technical
                                                which: held-to-                            of technical
                                                                       provisions
                                                   maturity                                provisions
          Austria                                                                                     0.0
          Belgium                                                                                     0.0
          Bulgaria                                                                                    0.0
          Cyprus                                                                                      0.0
          Czech Republic                                                                              0.0
          Denmark                                                                                     0.0
          Estonia                                                                                     0.0
          Finland                                                                                     0.0
          France                                                                                      0.0
          Germany                                                                                     0.0
          Greece                                                                                      0.0
          Hungary                                                                                     0.0
          Ireland                                                                                     0.0
          Italy                                                                                       0.0
          Latvia                                                                                      0.0
          Lithuania                                                                                   0.0
          Luxembourg                                                                                  0.0
          Malta                                                                                       0.0
          Netherlands                                                                                 0.0
          Poland                                                                                      0.0
          Portugal                                                                                    0.0
          Romania                                                                                     0.0
          Slovakia                                                                                    0.0
          Slovenia                                                                                    0.0
          Spain                                                                                       0.0
          Sweden                                                                                      0.0
          United Kingdom                                                                              0.0
          Iceland                                                                                     0.0
          Liechtenstein                                                                               0.0
          Norway                                                                                      0.0
          Switzerland                                                                                 0.0
          Total                          0.0                  0.0                 0.0                 0.0
default assumption: no change in future bonuses; if
    necessary, overwrite formulas in column G
ST20110516                                    Helper Tab Spread Risk
00                                                                                             millions of euros

                                                                                     base scenario                             adverse scenario
                                                                         capped/       MVi times                   capped/        MVi times
                                Modified                                                             capital                                      capital
                  Market value                Instrument Type (Default    floored      capped/                      floored        capped/
     Rating class              duration (in                                                        charge per                                   charge per
                     (MVi)                          = "Corporate")       duration       floored                    duration         floored
                                 years)                                                            instrument                                   instrument
                                                                            (duri)     duration                       (duri)       duration
ST20110516                                    FX rates
00                                                         millions of euros


      1 EUR =
                AUD    Australian Dollar         1.3136
                BGN    Bulgarian Lev             1.9558
                 BRL   Brasilian Real            2.2177
                CAD    Canadian Dollar           1.3322
                CHF    Swiss Franc               1.2504
                CNY    Chinese Yuan              8.8220
                 CZK   Czech Koruna              25.061
                 DKK   Danish Krone              7.4535
                 EEK   Estonian Kroon           15.6466
                EUR    Euro                      1.0000
                GBP    British Pound            0.86075
                HKD    Hong Kong Dollar         10.3856
                HUF    Hungarian Forint          277.95
                 IDR   Indonesian Rupiah       12002.14
                 INR   Indian Rupee              59.758
                 JPY   Japanese Yen              108.65
                KRW    South Korean Won         1499.06
                 LTL   Lithuanian Litas          3.4528
                 LVL   Latvian Lats              0.7094
                MXN    Mexican Peso             16.5475
                MYR    Malaysian Ringgit           4.095
                NOK    Norwegian Krone             7.800
                NZD    New Zealand Dollar          1.720
                 PLN   Polish Zloty                3.975
                RON    New Romanian Leu            4.262
                RUB    Russian Rouble            40.820
                 SEK   Swedish Krona             8.9655
                SGD    Singapore Dollar          1.7136
                 THB   Thai Baht                 40.170
                 TRY   Turkish Lira              2.0694
                USD    United States Dollar      1.3362
                 ZAR   South African Rand        8.8625

				
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