The rule in plain words
The CDFs reported in S.26.09 should rise monotonically
EIOPA writes it out as separate checks, one for each table or return it covers. Line4 Check runs two of them (BV2563-1 and BV2563-2), and a failure names the one that failed.
What to do if your return fails it
- 01Open the tables below and find the cells the rule reads.
- 02The check applies only when its first part holds in your return. When it does, the second part must hold too: fix the second part, or correct the first.
- 03It runs only when your filing indicators mark S.01.02 and S.26.09 as reported.
- 04This 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
Basic information (S.01.02.01.01)
Row
- R0130Method of Calculation of the SCR
Column
- C0010Report information
Basic information (S.01.02.04.01)
Row
- R0130Method of Calculation of the group SCR
Column
- C0010Report information
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
- R0050of which: Interest rate risk diversified
- R0060of which: Interest rate risk
- R0070of which: Interest rate volatility risk
- R0080Inflation risk
- R0100of which: Equity risk diversified
- R0110of which: Equity risk
- R0120of which: Equity volatility risk
- R0130Property risk
- R0140Currency risk
- R0160of which: Credit risk diversified
- R0170of which: Credit event risk ('migration and default')
- R0180of which: Credit Spread risk
- R0190Spread risk 'Government and central banks'
- R0200Spread risk other
Columns
- C0270mVaR 0,99
- C0280mVaR 0,995
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.26.09.04.02)
Rows
- R0050of which: Interest rate risk diversified
- R0060of which: Interest rate risk
- R0070of which: Interest rate volatility risk
- R0080Inflation risk
- R0100of which: Equity risk diversified
- R0110of which: Equity risk
- R0120of which: Equity volatility risk
- R0130Property risk
- R0140Currency risk
- R0160of which: Credit risk diversified
- R0170of which: Credit event risk ('migration and default')
- R0180of which: Credit Spread risk
- R0190Spread risk 'Government and central banks'
- R0200Spread risk other
Columns
- C0270mVaR 0,99
- C0280mVaR 0,995
Which returns it applies to
Line4 Check runs it on annual solo (ARS) and annual group (ARG) returns on EIOPA taxonomy 2.10.0. EIOPA applies it to annual ECB solo (AES), annual solo (ARS) and 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, for BV2563-1. Cells are written as {t: table, r: row, c: column}.
if {t: S.01.02.01.01, r: R0130, c: C0010} != [s2c_AP:x3] then {t: S.26.09.01.02, c: C0270, z: Z0001} <= {t: S.26.09.01.02, c: C0280, z: Z0001} else true()BV2563-2:
if {t: S.01.02.04.01, r: R0130, c: C0010} != [s2c_AP:x3] then {t: S.26.09.04.02, c: C0270, z: Z0001} <= {t: S.26.09.04.02, c: C0280, z: Z0001} else true()Other rules on Basic information (S.01.02)
- The CDFs reported in S.26.09 should rise monotonically (BV2562)
- The CDFs reported in S.26.09 should rise monotonically (BV2564)
- The CDFs reported in S.26.09 should rise monotonically (BV2561)
- The CDFs reported in S.26.09 should rise monotonically (BV2565)
- The CDFs reported in S.26.09 should rise monotonically (BV2560)
- The CDFs reported in S.26.09 should rise monotonically (BV2559)
- The CDFs reported in S.26.09 should rise monotonically (BV2558)
- The CDFs reported in S.26.09 should rise monotonically (BV2557)
Every Solvency II rule on S.01.02
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.