The rule in plain words
Credit risk sum, must be equal to the sum of its components "of which: Credit event risk ('migration and default')", "Spread risk 'Government and central banks'" and "Spread risk other" if such split is available. Otherwise, sum of "of which: Credit event risk ('migration and default')" and "of which: Credit Spread risk" must be used
The headline gives only the template and the kind of check, because the rule is too long to say in a headline. The plain words above say all of it.
What to do if your return fails it
- 01Open the table below and find the cells the rule reads.
- 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
- 03EIOPA allows a small rounding difference, worked out from the decimals each value is reported with.
- 04It runs only when your filing indicators mark S.26.09 as reported.
- 05This is a blocking check. A return that fails it is normally rejected, so fix it before you submit.
The cells it reads
Internal model: market and credit risk - for financial instruments: internal model - market and credit risk for financial instruments - mVaR and vaR percentiles - including LAC TP but excluding LAC DT - each as marginal shock in the designated risk (S.26.09.04.02)
Rows
- R0150Credit risk sum
- R0170of which: Credit event risk ('migration and default')
- R0180of which: Credit Spread risk
- R0190Spread risk 'Government and central banks'
- R0200Spread risk other
Columns
- C0020mVaR 99.50%
- C0030mVaR 99.50% w/o transitional on TP
- C0040mVaR 99.50% w/o transitional on IR
- C0050mVaR 99.50% w/o VA and w/o other transitionals
- C0060mVaR 99.50% w/o MA and w/o all the others
Which returns it applies to
Line4 Check runs it on annual group (ARG) return on EIOPA taxonomy 2.10.0. EIOPA applies it to annual group (ARG) returns, as a blocking check.
EIOPA’s own words and formula
The plain words above are EIOPA’s own, word for word, from its list of validations.
Show the formulaShowHide
EIOPA's formula. Cells are written as {t: table, r: row, c: column}.
if not(isNull({t: S.26.09.04.02, r: R0190, z: Z0001})) and not(isNull({t: S.26.09.04.02, r: R0200, z: Z0001})) then {t: S.26.09.04.02, r: R0150, z: Z0001} = {t: S.26.09.04.02, r: R0170, z: Z0001} + {t: S.26.09.04.02, r: R0190, z: Z0001} + {t: S.26.09.04.02, r: R0200, z: Z0001} else {t: S.26.09.04.02, r: R0150, z: Z0001} = {t: S.26.09.04.02, r: R0170, z: Z0001} + {t: S.26.09.04.02, r: R0180, z: Z0001}Other rules on Internal model: market and credit risk - for financial instruments (S.26.09)
- Internal model: market and credit risk - for financial instruments: a conditional check (BV1751_1)Blocking
- Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (BV1749_1)Blocking
- Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (BV1749_2)Blocking
- Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (BV1748_1)Blocking
- Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (BV1748_2)Blocking
- Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (BV1820)
- Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (BV1821)
- Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (BV1822)
Every Solvency II rule on S.26.09
Checks like this one, run at the point of submission, are the first step to real-time supervision. Line4 builds SupTech software for financial regulators that runs checks like these as each return arrives.