Question 1 — Applicability of the look-through approach (Art. 84) Does Article 84 of the Delegated Regulation require the undertaking to decompose this structured note into its constituent economic components (bond floor + embedded option) for the purpose of calculating the SCR? Or is the instrument treated as a single bond under the spread risk sub-module (Art. 176) based on its legal form as a note? 

Question 2 — Treatment of the embedded call option If look-through applies: (a) Is the embedded long call option on the Euro Stoxx 50 subject to the equity risk sub-module under Article 168–169, with the 39% stress (± symmetric adjustment) applied to the market value of the option at the reference date? (b) Given that a long call option has a maximum loss equal to the premium paid (i.e. the option's market value cannot fall below zero), does the standard formula scenario-based approach under Art. 84 implicitly cap the equity SCR on this component at 100% of the option's market value — or is the 39% factor applied mechanically regardless? (c) Is there any provision in the standard formula, or any EIOPA guidance, that explicitly addresses the treatment of the asymmetric payoff profile of long options — specifically the fact that the delta, gamma, and vega of an option mean that a 39% fall in the underlying does not translate into a 39% fall in the option's market value? 

Question 3 — Spread risk on the bond floor (Art. 176) Is the bond floor component of the structured note subject to the spread risk sub-module under Art. 176(3), with the capital charge calculated as: stressi = ai + bi × (duri − threshold) based on the issuer's credit quality step and the modified duration of the bond floor? Specifically, for a 2-year instrument issued by an A-rated bank (CQS 2), this would imply: stressi = 1.4% × 2 = 2.8% of the bond floor market value Please confirm whether this is the correct interpretation and whether the modified duration of the bond floor (which may differ from the note's calendar maturity due to the zero-coupon structure) is the relevant duration input. 

Question 4 — Interest rate risk (Art. 165–167) Is the bond floor component also subject to the interest rate risk sub-module, given its sensitivity to risk-free rate movements? If both spread risk and interest rate risk apply to the bond floor, how should the interaction between these two sub-modules be handled — specifically, is the IR stress applied to the full market value of the note, or only to the bond floor component? 

Question 5 — Counterparty default risk vs. spread risk The capital guarantee is provided by the issuing bank, not as a standalone guarantee contract but as an intrinsic feature of the note structure. Is the credit risk on the issuing bank captured entirely within the spread risk sub-module (Art. 176) as a bond exposure — or does any portion of the issuer's credit risk fall under the counterparty default risk module (Art. 189–202)? In particular, if the embedded option is treated as a standalone derivative exposure for SCR purposes, would the issuing bank's credit risk on that derivative component be subject to Type 1 counterparty default risk (Art. 192)?