The rule in plain words
For RFF a fund number must be reported in Solvency Capital Requirement - Counterparty default risk (SR.26.02)
This is a blocking check. A return that fails it is normally rejected, so fix it before you submit. It runs only when your filing indicators mark SR.26.02 as reported.
The cells it reads
Solvency capital requirement - for undertakings on standard formula: basic solvency capital requirement (SR.25.01.01.01)
Row
- R0020Counterparty default risk
Columns
- C0030Net solvency capital requirement
- C0040Gross solvency capital requirement
Solvency capital requirement - for undertakings on standard formula: basic solvency capital requirement (SR.25.01.04.01)
Row
- R0020Counterparty default risk
Columns
- C0030Net solvency capital requirement
- C0040Gross solvency capital requirement
Solvency capital requirement - counterparty default risk: counterparty default risk - basic information (SR.26.02.01.01)
Rows
- R0100Type 1 exposures
- R0110Single name exposure 1
- R0120Single name exposure 2
- R0130Single name exposure 3
- R0140Single name exposure 4
- R0150Single name exposure 5
- R0160Single name exposure 6
- R0170Single name exposure 7
- R0180Single name exposure 8
- R0190Single name exposure 9
- R0200Single name exposure 10
- R0300Type 2 exposures
- R0310Receivables from Intermediaries due for more than 3 months
- R0320All other type 2 exposures
- R0330Diversification within counterparty default risk module
- R0400Total counterparty default risk
Columns
- C0020Name of single name exposure
- C0030Code and type of code of single name exposure
- C0050Loss Given Default
- C0060Probability of Default
- C0070Net solvency capital requirement
- C0080Gross solvency capital requirement
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 branch (ARB), annual solo (ARS), annual ECB solo (AES), annual ECB branch (AEB) and annual group (ARG) returns, as a blocking check.
EIOPA’s own words and formula
In EIOPA’s list of validations, word for word:
For RFF a fund number must be reported in SR.26.02 - Solvency Capital Requirement - Counterparty default risk.
Show the formulaShowHide
EIOPA's formula. Cells are written as {t: table, r: row, c: column}.
not(isNull(dim({t: SR.26.02.01.01, r: R0100; R0110; R0120; R0130; R0140; R0150; R0160; R0170; R0180; R0190; R0200; R0300; R0310; R0320; R0330; R0400, c: C0020; C0030; C0050; C0060; C0070; C0080, z: Z0001, filter: [s2c_dim:PO] = [s2c_PU:x40]},[s2c_dim:NF])))Other rules on Solvency capital requirement - for undertakings on standard formula (SR.25.01)
- For RFF a fund number must be reported in Solvency Capital Requirement - Life underwriting risk (BV583-3)Blocking
- For RFF a fund number must be reported in Solvency Capital Requirement - Market risk (BV563-3)Blocking
- For RFF a fund number must be reported in Solvency Capital Requirement - Health underwriting risk (BV603-9)Blocking
- For RFF a fund number must be reported in Solvency Capital Requirement - Non-Life underwriting risk (BV634-5)Blocking
- For RFF a fund number must be reported in Solvency Capital Requirement - Operational risk (BV649)Blocking
- Solvency capital requirement - for undertakings on standard formula: a total must equal the sum of its parts (BV1052)
- Solvency capital requirement - for undertakings on standard formula: rows R0600 to R0690 are not applicable when LAC DT is not used (BV1075)
- Solvency capital requirement - for undertakings on standard formula: a conditional check (BV1077)
Every Solvency II rule on SR.25.01
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.