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    S.26.11 – Internal model: Credit risk – details for financial instruments Solo

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    EIOPA Taxonomy 2.8.0 Source PDF

    S.26.11 – Internal model: Credit risk – details for financial instruments PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.26.11_solo.pdf
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    S.26.11 – Internal model: Credit risk – details for financial instruments

    General comments

    This section relates to annual submission of information for individual entities.

    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 insurance and reinsurance undertakings.

    CODEITEMINSTRUCTIONS
    Exposure at Default
    C0010-C0090/R0010Overall Exposure
    at Default    		Exposure at Default for different Credit
    Quality Steps.
    C0010-C0090/R0020-
    R0080    		Exposure at
    Default breakdown    		Amount of Exposure at Default for different
    asset classes and different Credit Quality
    Steps.
    Probability of Default – weighted average where the weight is Exposure at Default
    R0100Overall Probability
    of Default    		Probability of Default for different Credit
    Quality Steps.
    C0010-C0090/R0110-
    R0170    		Probability of
    Default breakdown    		Probability of Default for different asset
    classes and different Credit Quality Steps.
    C0100/R0180Other descriptionSummary of content of Other category
    referred in rows R0080 and R0170, so
    materiality can be judged.
    Solvency Capital Requirements
    C0110/R0190Total undiversified
    credit risk    		This is the total amount of the capital charge
    for credit risk before any diversification
    effects.
    C0110/R0200Diversification:
    credit risk    		This is the amount of gross diversification
    effects allowed in aggregation of capital
    requirements for credit risk.
    This amount should be reported as a negative
    value.
    C0110/R0210Diversified risk:This is the total amount of the capital charge
    credit riskfor credit risk.