The rule in plain words
If item "Modelled explicitly in its own module" value for "Inflation risk", "Sovereign spread risk", "Participations", "Liquidity risk", "Pension risk", "Concentration risk", "Basis risk financial instruments" and "Derivatives risk" reported in S.26.08.01.02 Modelled specific risks is '1 - Modelled' then "Market and Credit", "Non-life", "Life and Health", "Operational" and "Other" value for specific risks should be '2 - Not modelled'
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.
- 03It runs only when your filing indicators mark S.26.08 as reported.
- 04This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it.
The cells it reads
Solvency capital requirement - for undertakings using an internal model (partial or full): modelled specific risks (S.26.08.01.02)
Rows
- R0700Inflation risk
- R0710Sovereign spread risk
- R0720Participations
- R0730Liquidity risk
- R0740Pension risk
- R0750Concentration risk
- R0760Basis risk financial instruments
- R0770Derivatives risk
Columns
- C0140Modelled explicitly in its own module
- C0150Market and Credit
- C0160Non-life
- C0170Life and Health
- C0180Operational
- C0190Other
Which returns it applies to
Line4 Check runs it on annual solo (ARS) and annual branch (ARB) returns on EIOPA taxonomy 2.10.0. EIOPA applies it to annual ECB solo (AES), annual ECB branch (AEB), annual solo (ARS) and annual branch (ARB) returns, as a warning.
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 {t: S.26.08.01.02, c: C0140} = [s2c_CN:x1] then {t: S.26.08.01.02, c: C0150} = [s2c_CN:x0] and {t: S.26.08.01.02, c: C0160} = [s2c_CN:x0] and {t: S.26.08.01.02, c: C0170} = [s2c_CN:x0] and {t: S.26.08.01.02, c: C0180} = [s2c_CN:x0] and {t: S.26.08.01.02, c: C0190} = [s2c_CN:x0] else true()Other rules on Solvency capital requirement - for undertakings using an internal model (partial or full) (S.26.08)
- Solvency capital requirement - for undertakings using an internal model (partial or full) and internal model - life and health underwriting risk: a total must equal the sum of its parts (BV1815)
- Solvency capital requirement - for undertakings using an internal model (partial or full) and internal model - life and health underwriting risk: a total must equal the sum of its parts (BV1814)
- Solvency capital requirement - for undertakings using an internal model (partial or full) and internal model - life and health underwriting risk: a total must equal the sum of its parts (BV1818)
- Solvency capital requirement - for undertakings using an internal model (partial or full) and internal model - life and health underwriting risk: a total must equal the sum of its parts (BV1819)
Every Solvency II rule on S.26.08
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.