The rule in plain words
The value of "Assets excl. Unit-linked minus Liabilities excl. Unit-linked" for relevant stress scenarios reported in S.26.09.01.03 Internal model - Market and credit risk for financial instruments - Sensitivities (values) should be equal to the difference between "Assets excl. Unit-linked" and "Liabilities excl. Unit-linked"
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.
- 02Add up the parts in your return and compare the result with the total.
- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
- 04EIOPA allows a small rounding difference, worked out from the decimals each value is reported with.
- 05It runs only when your filing indicators mark S.26.09 as reported.
- 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 - sensitivities (values) (S.26.09.01.03)
Rows
- R0210base case / no shock
- R0220-100bp
- R0230+100bp
- R0240-50bp
- R0250+50bp
- R0260base case / no shock
- R0270-100bp
- R0280+100bp
- R0290base case / no shock
- R0300-100bp
- R0310+100bp
- R0320base case / no shock
- R0330-30%
- R0340+30%
- R0350base case / no shock
- R0360-30%
- R0370+30%
- R0380base case / no shock
- R0390-10%
- R0400+10%
- R0410base case / no shock
- R0420-25%
- R0430-20bp for normal vols
- R0440+25%
- R0450+20bp for normal vols
- R0460base case / no shock
- R0470-25%
- R0480+25%
Columns
- C0340Assets excl. Unit-linked
- C0350Liabilities excl. Unit-linked
- C0360Assets excl. Unit-linked minus Liabilities excl. Unit-linked
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}.
{t: S.26.09.01.03, c: C0340, z: Z0001} = sum({t: S.26.09.01.03, c: C0350; C0360, 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 total must equal the sum of its parts (BV1822)
- Internal model: market and credit risk - for financial instruments: a total must equal the sum of its parts (BV1824)
- 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 (BV1825)
- 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: values must agree (BV1826)
- Internal model: market and credit risk - for financial instruments: values must agree (BV1827)
- Internal model: market and credit risk - for financial instruments: a conditional check (BV1751_1)Blocking
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.