S.26.02 — Solvency Capital Requirement — Counterparty default risk Solo
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S.26.02 — Solvency Capital Requirement — Counterparty default risk
General comments
This section relates to annual submission of information for individual entities, ring-fenced– funds, matching adjustment portfolios and remaining part.
Template SR.26.02.01 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.
| ITEM | INSTRUCTIONS | |
|---|---|---|
| Z0010 | Article 112 | Identifies 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 | ||
| Z0020 | Ring Fenced Fund/Matching adjustment portfolios/Remaining 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 |
| Z0030 | Fund/Portfolio number | When item Z0020 = 1, identification number for a ring-fenced fund or matching adjustment portfolio. This number is attributed by the undertaking and must be consistent over time and with the fund/portfolio number reported in other templates. |
| R0010/C0010 | Simplifications | Identify 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, Article 112a 6 – Simplification for type 1 exposures, Article 112b | ||
|---|---|---|
| 7 – Simplification for the risk mitigating effect of reinsurance arrangements, Article 111 | ||
| 9 – Simplifications not used | ||
| Options 3 to 7 may be used simultaneously. | ||
| If R0010/C0010 = 4 or 6, for Type 1 exposures, only R0100/C0080 shall be filed in for R0100. | ||
| R0100/C0080 | Type 1 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 1 exposures. |
| If R0010/C0010 = 4 or 6, this item represents the Gross solvency capital requirement using simplifications. | ||
| R0110 – R0200/C0020 | Name of single name exposure | Describe the name of the 10 largest single exposures. |
| R0110 – R0200/C0030 | Code 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/C0040 | Type 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/C0050 | Type 1 exposures — Single name exposure X — Loss Given Default | The value of the Loss Given Default for each of the 10 largest single name exposures. |
| R0110 – R0200/C0060 | Type 1 exposures — Single name exposure X — Probability of Default | The Probability of Default for each of the 10 largest single name exposures. | ||
|---|---|---|---|---|
| R0300/C0080 | Type 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/C0050 | Type 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/C0050 | Type 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/C0080 | Diversification within counterparty default risk module — gross solvency capital requirement | This is the amount of gross diversification effects allowed in aggregation of capital requirements for counterparty default risk for Type 1 and Type 2 exposures. | ||
| R0400/C0070 | Total 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/C0080 | Total 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/C0090 | Losses 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/C0090 | Overall 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. |