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    S.26.10 - Internal model: Credit event risk – portfolio view details Group

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    S.26.10 - Internal model: Credit event risk – portfolio view details

    General comments:

    This section relates to the annual submission of information for groups.

    This template shall be reported based on availability according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.

    The following data requirements ask for six kinds of views on the asset portfolio which is subject to credit migration and credit default risk from a portfolio perspective. All kinds of exposures are covered, especially investments and reinsurance.

    The four main views are:

    • Top 10 exposures in terms of impact on SCR
    • Top 10 exposures in terms of market value
    • Split by asset classes
    • Split by credit quality steps (CQS)

    Regarding the top 10 exposures these each are required in two metrics:

    • ‘group’, i.e. exposure ranking among groups of connected counterparties
    • ‘single’, i.e. counterparties stand alone

    Example: An undertaking A has the following contractual relations with undertakings of an insurance group G. And A is not part of group G: (1) A has a reinsurance contract with undertaking R in group G, (2) A holds shares of the paid in capital for R and (3) A holds a loan issued by a life insurer L in group G in its asset portfolio. The blocks ‘group’ would show the three exposures combined. The blocks ‘single’ would show those separately: (1) and (2) combined for counterparty R and (3) for counterparty L.

    CODEITEMINSTRUCTIONS
    Top 10 exposures in terms of impact on SCR (group)
    C0010/ R0030-R0120Name Group
    Exposure    		Names of the top 10 exposures of groups
    of counterparties
    in terms of impact on
    the SCR.
    The impact on SCR is in the column
    “Credit Risk Contribution”, which should
    be the contribution to the credit SCR, i.e.
    incl. diversification and the sum of entries
    in the column gives the credit risk SCR.
    C0020/R0010-R0130Market valueMarket value in reporting currency
    according to the valuation used for
    solvency purposes of
    -
    in R0030 to R0120 for the top 10
    exposures
    -
    in R0020 for the sum of these top 10
    exposures
    -
    in R0130 for the remaining exposures
    -
    in R0010 for the sum of all exposures
    C0030/R0010-R0130Exposure at defaultAmount of the Exposure at default:
    -
    in R0030 to R0120 for the top 10
    exposures
    -
    in R0020 for the sum of these top 10
    exposures
    -
    in R0130 for the remaining exposures
    -
    in R0010 for the sum of all exposures
    C0040/R0010-R0130Credit Risk
    Contribution    		Contribution to the credit SCR incl.
    diversification, i.e. the sum of entries in
    this column gives the credit risk SCR:
    -
    in R0030 to R0120 for the top 10
    exposures
    -
    in R0020 for the sum of these top 10
    exposures
    -
    in R0130 for the remaining exposures
    -
    in R0010 for the sum of all exposures
    C0050/ R0020-R0120
    C0060/ R0020-R0120    		Average
    Probability of
    Default (in %)
    Average Loss
    Given Default (in
    %)    		Average 1Y probability of default in %
    -
    in R0030 to R0120 for the top 10
    exposures
    -
    in R0020 for the sum of these top 10
    exposures
    Average loss given default in %
    -
    in R0030 to R0120 for the top 10
    exposures
    -
    in R0020 for the sum of these top 10
    exposures
    C0070/R0010-R0130Market value (% of
    total sum)    		Share of the market value (in %) relative
    to the total sum of market values of
    exposures to credit event risk
    -
    in R0030 to R0120 for the top 10
    exposures
    -
    in R0020 for the sum of these top 10
    exposures
    -
    in R0130 for the remaining exposures
    -
    in R0010 for the sum of all exposures
    (which should be 100%)
    C0080/R0010-R0130Credit Risk
    Contribution (% of
    total sum)    		Share of the credit risk contribution (in
    %) relative to the total credit risk SCR
    -
    in R0030 to R0120 for the top 10
    exposures
    -
    in R0020 for the sum of these top 10
    exposures
    -
    in R0130 for the remaining exposures
    -
    in R0010 for the sum of all exposures
    (which should be 100%)
    Top 10 exposures in terms of impact on SCR (single)
    C0090/ R0160-R0250Name of ExposureNames of the top 10 exposures of single
    exposures in terms of impact on the SCR.
    The impact on SCR is in the column
    “Credit Risk Contribution”, which should
    be the contribution to the credit SCR, i.e.
    incl. diversification and the sum of entries
    in the column gives the credit risk SCR.
    C0020/R0140-R0260
    C0030/R0140-R0260    		Market value
    Exposure at default    		Market value according to the valuation
    used for solvency purposes:
    -
    in R0160 to R0250 for the top 10
    exposures
    -
    in R0150 for the sum of these top 10
    exposures
    -
    in R0260 for the remaining exposures
    -
    in R0140 for the sum of all exposures
    Amount of Exposure at default:
    -
    in R0160 to R0250 for the top 10
    exposures
    -
    in R0150 for the sum of these top 10
    exposures
    -
    in R0260 for the remaining exposures
    -
    in R0140 for the sum of all exposures
    C0040/R0140-R0260Credit Risk
    Contribution    		Contribution to the credit SCR incl.
    diversification, i.e. the sum of entries in
    this column gives the credit risk SCR:
    -
    in R0160 to R0250 for the top 10
    exposures
    -
    in R0150 for the sum of these top 10
    exposures
    -
    in R0260 for the remaining exposures
    -
    in R0140 for the sum of all exposures
    C0050/R0150-R0250Average
    Probability of
    Default (in %)    		Average 1Y probability of default in %
    -
    in R0160 to R0250 for the top 10
    exposures
    -
    in R0150 for the sum of these top 10
    exposures
    C0060/R0150-R0250Average Loss
    Given Default (in
    %)    		Average loss given default in %
    -
    in R0160 to R0250 for the top 10
    exposures
    -
    in R0150 for the sum of these top 10
    exposures
    C0070/R0140-R0260Market value (% of
    total sum)    		Share of the market value (in %) relative
    to the total sum of market values of
    exposures to credit event risk
    -
    in R0160 to R0250 for the top 10
    exposures
    -
    in R0150 for the sum of these top 10
    exposures
    -
    in R0260 for the remaining exposures
    -
    in R0140 for the sum of all exposures
    (which should be 100%)
    C0080/R0140-R0260Credit Risk
    Contribution (% of
    total sum)    		Share of the credit risk contribution (in
    %) relative to the total credit risk SCR
    -
    in R0160 to R0250 for the top 10
    exposures
    -
    in R0150 for the sum of these top 10
    exposures
    -
    in R0260 for the remaining exposures
    -
    in R0140 for the sum of all exposures
    (which should be 100%)
    Top 10 exposures in terms of market value (group)
    C0010/R0290-R0380Name Group
    Exposure    		Names of the top 10 exposures of groups
    of counterparties
    in terms of market
    value.
    C0020/R0270-R0390Market valueMarket value according to the valuation
    used for solvency purposes:
    -
    in R0290 to R0380 for the top 10

    exposures

    -
    in R0280 for the sum of these top 10
    exposures
    -
    in R0390 for the remaining exposures
    -
    in R0270 for the sum of all exposures
    C0030/R0270-R0390Exposure at defaultAmount of Exposure at default:
    -
    in R0290 to R0380 for the top 10
    exposures
    -
    in R0280 for the sum of these top 10
    exposures
    -
    in R0390 for the remaining exposures
    -
    in R0270 for the sum of all exposures
    C0040/R0270-R0390Credit Risk
    Contribution    		Contribution to the credit SCR ncl.
    diversification, i.e. the sum of entries in
    this column gives the credit risk SCR:
    -
    in R0290 to R0380 for the top 10
    exposures
    -
    in R0280 for the sum of these top 10
    exposures
    -
    in R0390 for the remaining exposures
    C0050/R0280-R0380Average
    Probability of
    Default (in %)    		-
    in R0270 for the sum of all exposures
    Average 1Y probability of default in %
    -
    in R0290 to R0380 for the top 10
    exposures
    C0060/R0280-R0380Average Loss
    Given Default (in
    %)    		-
    in R0280 for the sum of these top 10
    exposures
    Average loss given default in %
    -
    in R0290 to R0380 for the top 10
    exposures
    -
    in R0280 for the sum of these top 10
    exposures
    C0070/R0270-R0390Market value (% of
    total sum)    		Share of the market value (in %) relative
    to the total sum of market values of
    exposures to credit event risk
    -
    in R0290 to R0380 for the top 10
    exposures
    -
    in R0280 for the sum of these top 10
    exposures
    -
    in R0390 for the remaining exposures
    -
    in R0270 for the sum of all exposures
    (which should be 100%)
    C0080/R0270-R0390Credit Risk
    Contribution (% of
    total sum)    		Share of the credit risk contribution (in
    %) relative to the total credit risk SCR
    -
    in R0290 to R0380 for the top 10
    exposures
    -
    in R0280 for the sum of these top 10
    exposures
    -
    in R0390 for the remaining exposures
    -
    in R0270 for the sum of all exposures
    (which should be 100%)
    Top 10 exposures in terms of market value (single)
    C0090/R0420-R0510Name of ExposureNames of the top 10 exposures of single
    exposures in terms of impact on the SCR.
    The impact on SCR is in the column
    “Credit Risk Contribution”, which should
    be the contribution to the credit SCR, i.e.
    incl. diversification and the sum of entries
    in the column gives the credit risk SCR.
    C0020/R0400-R0520
    C0030/R0400-R0520    		Market value
    Exposure at default    		Market value in reporting currency
    according to the valuation used for
    solvency purposes of
    -
    in R0420 to R0510 for the top 10
    exposures
    -
    in R0410 for the sum of these top 10
    exposures
    -
    in R0520 for the remaining exposures
    -
    in R0400 for the sum of all exposures
    Exposure at default in reporting currency
    of
    -
    in R0420 to R0510 for the top 10
    exposures
    -
    in R0410 for the sum of these top 10
    exposures
    -
    in R0520 for the remaining exposures
    -
    in R0400 for the sum of all exposures
    C0040/R0400-R0520Credit Risk
    Contribution    		Contribution to the credit incl.
    diversification, i.e. the sum of entries in
    this column gives the credit risk SCR:
    -
    in R0420 to R0510 for the top 10
    exposures
    -
    in R0410 for the sum of these top 10
    exposures
    -
    in R0520 for the remaining exposures
    -
    in R0400 for the sum of all exposures
    C0050/R0410-R0510Average
    Probability of
    Default (in %)    		Average 1Y probability of default in %
    -
    in R0420 to R0510 for the top 10
    exposures
    -
    in R0410 for the sum of these top 10
    exposures
    C0060/R0410-R0510Average Loss
    Given Default (in
    %)    		Average loss given default in %
    -
    in R0420 to R0510 for the top 10
    exposures
    -
    in R0410 for the sum of these top 10
    exposures
    C0070/R0400-R0520Market value (% of
    total sum)    		Share of the market value (in %) relative
    to the total sum of market values of
    exposures to credit event risk
    -
    in R0420 to R0510 for the top 10
    exposures
    -
    in R0410 for the sum of these top 10
    exposures
    -
    in R0520 for the remaining exposures
    -
    in R0400 for the sum of all exposures
    (which should be 100%)
    C0080/R0400-R0520Credit Risk
    Contribution (% of    		Share of the credit risk contribution (in
    %) relative to the total credit risk SCR
    total sum)-
    in R0420 to R0510 for the top 10
    exposures
    -
    in R0410 for the sum of these top 10
    exposures
    -
    in R0520 for the remaining exposures
    -
    in R0400 for the sum of all exposures
    (which should be 100%)
    Split by asset class
    C0020/R0530-R0640Market valueMarket value according to the valuation
    used for solvency purposes split by asset
    class:
    -
    Bond and loans
    -
    Covered bonds
    -
    Sovereign bonds
    -
    Mortgages
    -
    Asset backed
    -
    Other
    -
    Cash
    -
    Receivables
    -
    Reinsurance and derivatives
    -
    Credit insurance
    -
    Off BS and other
    -
    Total
    C0030/R0530-R0640Exposure at defaultExposure at default split by asset class:
    -
    Bond and loans
    -
    Covered bonds
    -
    Sovereign bonds
    -
    Mortgages
    -
    Asset backed
    -
    Other
    -
    Cash
    -
    Receivables
    -
    Reinsurance and derivatives
    -
    Credit insurance
    -
    Off BS and other
    -
    Total
    C0040/R0530-R0640Credit Risk
    Contribution    		Contribution to the credit SCR (in
    reporting currency) incl. diversification,
    i.e. the sum of entries in this column gives
    the credit risk SCR.
    Contribution split by asset class:
    -
    Bond and loans
    -
    Covered bonds
    -
    Sovereign bonds
    -
    Mortgages
    -
    Asset backed
    -
    Other
    -
    Cash
    -
    Receivables
    -
    Reinsurance and derivatives
    -
    Credit insurance
    -
    Off BS and other
    -
    Total
    C0050/R0530-R0630Average
    Probability of
    Default (in %)    		Average 1Y probability of default in %
    for the assets as sorted in the asset class
    split:
    -
    Bond and loans
    -
    Covered bonds
    -
    Sovereign bonds
    -
    Mortgages
    -
    Asset backed
    -
    Other
    -
    Cash
    -
    Receivables
    -
    Reinsurance and derivatives
    -
    Credit insurance
    -
    Off BS and other
    C0060/R0530-R0630Average Loss
    Given Default (in
    %)    		Average loss given default in % for the
    assets as sorted in the asset class split:
    -
    Bond and loans
    -
    Covered bonds
    -
    Sovereign bonds
    -
    Mortgages
    -
    Asset backed
    -
    Other
    -
    Cash
    -
    Receivables
    -
    Reinsurance and derivatives
    -
    Credit insurance
    -
    Off BS and other
    C0070/R0530-R0640Market value (% of
    total sum)    		Share of the market value (in %) relative
    to the total sum of market values of
    exposures to credit event risk split by
    asset classes
    -
    Bond and loans
    -
    Covered bonds
    -
    Sovereign bonds
    -
    Mortgages
    -
    Asset backed
    -
    Other
    -
    Cash
    -
    Receivables
    -
    Reinsurance and derivatives
    -
    Credit insurance
    -
    Off BS and other
    -
    Total
    C0080/R0530-R0640Credit Risk
    Contribution (% of
    total sum)    		Share of the credit risk contribution (in
    %) relative to the total credit risk SCR
    split by asset classes
    -
    Bond and loans
    -
    Covered bonds
    -
    Sovereign bonds
    -
    Mortgages
    Split by credit quality step (CQS)-
    Asset backed
    -
    Other
    -
    Cash
    -
    Receivables
    -
    Reinsurance and derivatives
    -
    Credit insurance
    -
    Off BS and other
    -
    Total
    C0020/R0650-R0730Market valueMarket value in reporting currency
    according to the valuation used for
    solvency purposes split by credit quality
    step
    -
    C0030/R0650-R0730Exposure at default-
    Exposure at default in reporting
    currency split by credit quality step.
    C0040/R0650-R0730Credit Risk
    Contribution    		Contribution to the credit SCR (in
    reporting currency) incl. diversification,
    i.e. the sum of entries in this column gives
    the credit risk SCR.
    -
    C0050/R0650-R0720Average
    Probability of
    Default (in %)    		Average 1Y probability of default in %
    for the assets as sorted in the credit
    quality steps.
    C0060/R0650-R0720Average Loss
    Given Default (in
    %)    		Average loss given default in % for the
    assets as sorted in the credit quality steps.
    C0070/R0650-R0730Market value (% of
    total sum)    		Share of the market value (in %) relative
    to the total sum of market values of
    exposures to credit event risk split by
    credit quality step.
    C0080/R0650-R0730Credit Risk
    Contribution (% of
    total sum)    		Share of the credit risk contribution (in
    %) relative to the total credit risk SCR
    split by credit quality step.
    C0100/R0740Credit event risk
    (‘migration and
    default’) -
    99.5%    		This is the total amount of the capital
    charge for credit event risk (‘migration
    and default’) for 99.5% quantile.
    C0100/R0750Expected loss -
    mean    		This is the total amount of mean of the
    probability distribution of
    expected loss
    for credit event risk (‘migration and
    default’).