The rule in plain words
The "Market value (% of total sum)" and "Credit Risk Contribution (% of total sum)" of "Sum of all exposures" reported in S.26.10.01.04 Internal model - Credit event risk Portfolio view details - Market value (single) should be equal to 100%
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.26.10 as reported.
The cells it reads
Internal model - credit event risk portfolio view details - market value (single) (S.26.10.01.04)
Row
- R0400Sum of all exposures
Columns
- C0070Market value (% of total sum)
- C0080Credit Risk Contribution (% of total sum)
Which returns it applies to
Line4 Check runs it on annual solo (ARS), annual group (ARG) and annual branch (ARB) returns on EIOPA taxonomy 2.10.0. EIOPA applies it to annual ECB solo (AES), annual group (ARG), 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.26.10.01.04, r: R0400, z: Z0001} = 1Other rules on Internal model - credit event risk portfolio view details (S.26.10)
- Internal model - credit event risk portfolio view details: values must agree (BV1832)
- Internal model - credit event risk portfolio view details: values must agree (BV1834)
- Internal model - credit event risk portfolio view details: values must agree (BV1831)
- Internal model - credit event risk portfolio view details: values must agree (BV1835)
- Internal model - credit event risk portfolio view details: values must agree (BV1830)
- Internal model - credit event risk portfolio view details: a total must equal the sum of its parts (BV1836)
- Internal model - credit event risk portfolio view details: values must agree (BV1829)
- Internal model - credit event risk portfolio view details: a total must equal the sum of its parts (BV1837)
Every Solvency II rule on S.26.10
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.
