The rule in plain words
The "Total" value of "Overall Exposure at Default", "Bond and loans", "Government bonds and loans", "Corporate bonds and loans", "Other bonds and loans", "Cash", "Derivatives" and "Other" reported in S.26.11.01.01 Credit event risk for financial instruments - Exposure at Default should be equal to the sum of Credit Quality Steps (CQS)
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- 03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.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.26.11 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 - credit risk details for financial instruments: credit event risk for financial instruments - exposure at default (S.26.11.01.01)
Rows
- R0010Overall Exposure at Default
- R0020Bond and loans
- R0030Government bonds and loans
- R0040Corporate bonds and loans
- R0050Other bonds and loans
- R0060Cash
- R0070Derivatives
- R0080Other
Columns
- C0010Credit Quality Step 0
- C0020Credit Quality Step 1
- C0030Credit Quality Step 2
- C0040Credit Quality Step 3
- C0050Credit Quality Step 4
- C0060Credit Quality Step 5
- C0070Credit Quality Step 6
- C0080Credit Quality Step Not Rated
- C0090Total
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.26.11.01.01, c: C0090, z: Z0001} = sum({t: S.26.11.01.01, c: C0010; C0020; C0030; C0040; C0050; C0060; C0070; C0080, z: Z0001})Other rules on Internal model - credit risk details for financial instruments (S.26.11)
- Internal model - credit risk details for financial instruments: a total must equal the sum of its parts (BV1846)
- Internal model - credit risk details for financial instruments: a total must equal the sum of its parts (BV1847)
- Internal model - credit risk details for financial instruments: a total must equal the sum of its parts (BV1848)
Every Solvency II rule on S.26.11
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.