The rule in plain words
The value of "Assets minus Liabilities" for relevant stress scenarios reported in S.26.09.04.03 Standalone Market and credit risk: Sensitivities & exposure data should be equal to the difference between "Assets" and "Liabilities"
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.
This is a warning. It does not stop the return on its own, but your supervisor may ask you to explain it. It runs only when your filing indicators mark S.26.09 as reported.
The cells it reads
Internal model: market and credit risk - for financial instruments: internal model - market and credit risk for financial instruments - standalone market and credit risk sensitivities and exposure data (S.26.09.04.03)
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
- C0310Assets
- C0320Liabilities
- C0330Assets minus Liabilities
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 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.26.09.04.03, c: C0310, z: Z0001} = {t: S.26.09.04.03, c: C0320, z: Z0001} + {t: S.26.09.04.03, c: C0330, 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 (BV1825)
- Internal model: market and credit risk - for financial instruments: values must agree (BV1827)
- 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 (BV1823)
- 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 (BV1821)
- 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 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.