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    S.26.02 — Solvency Capital Requirement — Counterparty default risk Group

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    S.26.02 — Solvency Capital Requirement — Counterparty default risk PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.26.02_group.pdf
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    S.26.02 — Solvency Capital Requirement — Counterparty default risk

    General comments

    This section relates to the annual submission of information for groups, ring fenced-funds, matching adjustment portfolios and remaining part.

    Template SR.26.02 has to be filled in for each ring-fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where an RFF/MAP includes a MAP/RFF embedded, the fund should be treated as different funds. This template shall be reported for all sub-funds of a material RFF/MAP as identified in the second table of S.01.03.

    Template SR.26.02 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation-based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).

    For group reporting the following specific requirements shall be met:

    • a) This information is applicable when method 1 as defined in Article 230 of Solvency II Directive is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
    • b) When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
    • c) This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
    ITEMINSTRUCTIONS
    Z0010Article 112Identifies whether the reported figures have
    been requested under Article 112 (7), to
    provide an estimate of the SCR using standard
    formula. One of the options in the following
    closed list shall be used:
    1 — Article 112 (7) reporting
    2 — Regular reporting
    Z0020Ring Fenced
    Fund/Matching
    adjustment
    portfolios/Remainin
    g part    		Identifies whether the reported figures are with
    regard to a RFF, matching adjustment
    portfolio or to the remaining part. One of the
    options in the following closed list shall be
    used:
    1 — RFF/MAP
    2 — Remaining part
    Z0030Fund/Portfolio
    number    		When item Z0020 = 1, identification number
    for a ring fenced fund or matching adjustment
    portfolio. This number is attributed by the
    undertaking within the scope of group
    supervision and must be consistent over time
    and with the fund/portfolio number reported in
    other templates.
    R0010/C0010SimplificationsIdentify whether an undertaking used
    simplifications for the calculation of counter
    party default risk. The options in the following
    closed list shall be used:
    3 – Simplification
    pooling
    arrangements, for the purposes of
    Article 109
    4 – Simplification grouping single
    name exposures, for the purposes of
    Article 110
    5 – Simplification of the LGD for
    reinsurance
    arrangements,
    for
    the
    purposes of Article 112a
    6 – Simplification
    for
    type
    1
    exposures, for the purposes of Article
    112b
    7 – Simplification
    for
    the
    risk
    mitigating
    effect
    of
    reinsurance
    arrangements, for the purposes of
    Article 111
    9 – Simplifications not used
    Options 3 to 7 may be used simultaneously.
    Where R0010/C0010 = 4 or 6, for Type 1
    exposures, only R0100/C0080 shall be filed in
    for R0100
    R0100/C0080Type 1 exposures — Gross solvency
    capital requirement    		This is the gross capital charge (before the
    application of the adjustment for the loss – absorbency capacity of technical provisions)
    for counterparty default risk arising from all
    Type 1 exposures.
    Where R0010/C0010 = 4 or 6, this item shall
    represent the Gross solvency capital
    requirement using simplifications.
    R0110 – R0200/C0020Name of single
    name exposure    		Describe the name of the 10 largest single
    exposures.
    R0110 – R0200/C0030Code of single name
    exposure    		Identification code using the Legal Entity
    Identifier (LEI) if available.
    If not available this item shall not be reported
    R0110 – R0200/C0040Type of code of the
    single name
    exposure    		Identification of the code used in item ‘Code
    of single name exposure’. One of the options
    in the following closed list shall be used:
    1 — LEI
    9 — None
    R0110 – R0200/C0050Type 1 exposures — Single name
    exposure X — Loss
    Given Default    		The value of the Loss Given Default for each
    of the 10 largest single name exposure.
    R0110 – R0200/C0060Type 1 exposures — Single name
    exposure X — Probability of
    Default    		The Probability of Default for each of the 10
    largest single name exposure.
    R0300/C0080Type 2 exposures — Gross solvency
    capital requirement    		This is the gross capital charge (before the
    loss-absorbency capacity of technical
    provisions) for counterparty default risk
    arising from all Type 2 exposures, as defined
    for Solvency II purposes
    R0310/C0050Type 2 exposures — Receivables from
    Intermediaries due
    for more than 3
    months — Loss
    Given Default    		This is the value of Loss Given Default for
    Type 2 counterparty risk arising from
    intermediaries due for more than 3 months.
    R0320/C0050Type 2 exposures — All type 2 exposures
    other than
    receivables from
    Intermediaries due
    for more than 3
    months — Loss
    Given Default    		This is the value of Loss Given Default for
    Type 2 counterparty risk arising from all type
    2 exposures other than receivables from
    Intermediaries due for more than 3 months.
    R0330/C0080Diversification
    within counterparty
    default risk module    		This is the amount of gross diversification
    effects allowed in aggregation of capital
    — gross solvency
    capital requirement    		requirements for counterparty default risk for
    Type 1 and Type 2 exposures.
    R0400/C0070Total net solvency
    capital requirement
    for counterparty
    default risk    		This is the total amount of the net capital
    charge (after the loss-absorbency capacity of
    technical provisions) for counterparty default
    risk.
    R0400/C0080Total gross solvency
    capital requirement
    for counterparty
    default risk    		This is the total amount of the gross capital
    charge (before the loss-absorbency capacity of
    technical provisions) for counterparty default
    risk.
    Further details on
    mortgages
    R0500/C0090Losses stemming
    from type 2
    mortgage loans    		Amount of the overall losses stemming from
    mortgage loans that has been classified as type
    2 exposures according to Article 191 (13) of
    Delegated Regulation (EU) 2015/35.
    R0510/C0090Overall losses
    stemming from
    mortgage loans    		Amount of the overall losses stemming from
    mortgage loans according to Article 191 (13)
    of Delegated Regulation (EU) 2015/35.