SolvencyTool logo
    Home / Acts & Regulations / Reporting explanations / S.26.12 – Internal model: Credit risk – for non-financial instruments (Group)

    S.26.12 – Internal model: Credit risk – for non-financial instruments Group

    View the Solo version of this template →

    EIOPA Taxonomy 2.8.0 Source PDF

    S.26.12 – Internal model: Credit risk – for non-financial instruments PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.26.12_group.pdf
    / —
    Loading document…

    Instruction text

    Converted from the official instructions so it can be searched and copied. The PDF above is the document of record.

    S.26.12 – Internal model: Credit risk – for non-financial instruments

    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.

    CODEITEMINSTRUCTIONS
    Type 1 exposures in terms of impact on SCR
    C0010/R0020-R0110Name of single
    name exposure    		Describe the name of the 10 largest single
    exposures.
    C0020/R0020-R0110Code of single
    name exposure    		Identification code using the Legal Entity
    Identifier (LEI) if available.
    If not available this item should not be
    reported
    C0030/R0010Sum of all Losses
    Given Default    		The sum of the Loss Given Default for all
    Type 1 exposures.
    C0030/R0020-R0110Type 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.
    C0030/R0120Type 1 aggregate
    Loss Given Default
    excluding 10
    largest single name
    exposures    		Loss Given Default for all Type 1 exposures
    excluding 10 largest single name exposures.
    C0040/R0010Sum of all
    Exposures at
    Default    		The sum of the Exposure at Default for all
    Type 1 exposures.
    C0040/R0020-R0110Type 1 exposures – Single name
    exposure X – Exposure at
    Default    		The value of the Exposure at Default for each
    of the 10 largest single name exposures.
    C0040/R0120Type 1 aggregate
    Exposure at
    Default excluding    		The value of the Exposure at Default for all
    Type 1 exposures excluding 10 largest single
    name exposures.
    10 largest single
    name exposures
    C0050/R0010Weighted average
    Probability of
    Default for Type 1
    exposures    		Weighted average of Probability of Default
    for Type 1 exposures where the weight is
    Exposure at Default.
    C0050/R0020-R0110Type 1 exposures – Single name
    exposure X – Probability of
    Default    		The Probability of Default for each of the 10
    largest single name exposures.
    Type 2 exposures in terms of impact on SCR
    C0030/R0130Sum of all Losses
    Given Default    		The sum of the Loss Given Default for all
    Type 2 exposures.
    C0030/R0140-R0180Type 2 exposures – Loss Given DefaultLoss Given Default for the different
    exposures.
    For R0160 include the other highest main
    exposure excluding R0140–R0150.
    For R0170 include the other highest main
    exposure excluding R0140–R0160.
    For R0180 include the other highest main
    exposure excluding R0140–R0170.
    C0030/R0190Type 2 aggregate
    Loss Given Default
    excluding R0140 – R0180    		Loss Given Default for all Type 2 exposures
    excluding R0140–R0180.
    C0040/R0130Sum of all
    Exposures at
    Default    		The sum of the Exposure at Default for all
    Type 2 exposures.
    C0040/R0140-R0180Type 2 exposures – Exposure at
    Default    		Exposure at Default for the different
    exposures:
    For R0160 include the other highest main
    exposure excluding R0140–R0150.
    For R0170 include the other highest main
    exposure excluding R0140–R0160.
    For R0180 include the other highest main
    exposure excluding R0140–R0170.
    C0040/R0190Type 2 aggregate
    Exposure at
    Default excluding
    R0140–R0180    		Exposure at Default for all Type 2 exposures
    excluding R0140–R0180.
    C0050/R0130Weighted average
    Probability of
    Default for Type 2
    exposures    		Weighted average of Probability of Default
    for Type 2 exposures where the weight is
    Exposure at Default.
    C0050/R0140-R0180Type 2 exposures – Probability of
    Default    		The Probability of Default for each of R0140 – R0180. For R0140 and R0150 it shall be the
    weighted average of the Probabilities of
    Default where the weight is Exposure at
    Default.
    C0060/R0140-R0180Description of
    exposure    		Short description of the Type 2 exposure.
    For R0160 include the other highest main
    exposure excluding R0140–R0150.
    For R0170 include the other highest main
    exposure excluding R0140–R0160.
    For R0180 include the other highest main
    exposure excluding R0140–R0170.
    Solvency Capital Requirements
    C0070/R0200Total undiversified
    counterparty
    default risk    		This is the total amount of the capital charge
    for counterparty default risk before any
    diversification effects.
    C0070/R0210Diversification:
    counterparty
    default risk    		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.
    This amount should be reported as a negative
    C0070/R0220Diversified risk:
    counterparty
    default risk    		value.
    This is the total amount of the capital charge
    for counterparty default risk.