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2 min readWarningEIOPA taxonomy 2.10.0Updated 11 November 2026

Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (S.26.09, EIOPA rule BV1821)

A warning on the internal model: market and credit risk - for financial instruments template (S.26.09), in the annual solo (ARS) and annual branch (ARB) returns.

It applies to 2.8.2 returns too, the release for the 2026 returns, and Line4 Check runs it there as well.

Check your file for this ruleWhat to do if it fails

The rule in plain words

The "Market and credit risk diversification" value of "mVaR 99.50%", "mVaR 99.50% w/o transitional on TP", "mVaR 99.50% w/o transitional on IR", "mVaR 99.50% w/o VA and w/o other transitionals" and "mVaR 99.50% w/o MA and w/o all the others" reported in S.26.09.01.02 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 should be equal to the difference between "Market and credit risk diversified" and "Market and credit risk sum (level 2 components)"

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

  1. 01Open the table below and find the cells the rule reads.
  2. 02Add up the parts in your return and compare the result with the total.
  3. 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
  4. 04EIOPA allows a small rounding difference, worked out from the decimals each value is reported with.
  5. 05It runs only when your filing indicators mark S.26.09 as reported.
  6. 06This 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

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.26.09.01.02)

Rows

  • R0010Market and credit risk sum (level 2 components)
  • R0020Market and credit risk diversified
  • R0030Market and credit risk diversification

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 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 formulaShow

EIOPA's formula. Cells are written as {t: table, r: row, c: column}.

{t: S.26.09.01.02, r: R0020, z: Z0001} = sum({t: S.26.09.01.02, r: R0010; R0030, z: Z0001})

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.