S.26.16 - Internal model - Model Changes Group
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S.26.16 - Internal model - Model Changes
General comments:
This section relates to the annual submission of information for groups.
The purpose of this template is to collect information on the characteristics of the changes to the model according to the approved model change policy and on how the SCR has moved in an annual reporting period due to these changes, that were implemented in that period. This period may be different from the one determined by the model change policy on the accumulation of minor changes, for instance.
Minor changes to the model should not be double counted within or across reporting periods. Therefore, if a major change includes minor changes or is the accumulation of minor changes, then either:
- remove the impact of these minor changes in the major change if the minor changes were implemented in a previous reporting period; or
- include them in the “total minor changes” and remove their effect from the major change due to accumulation of minor change impact.
| ITEM | INSTRUCTIONS | ||
|---|---|---|---|
| Type of Change | |||
| C0010 | Major | The information in this row should refer to a major change (in a given reporting period). While several major changes may be batched together for a single approval, they should be separated where there are distinct major changes. Naming convention: Major change 1_Component 1. | |
| Change ID | |||
| C0020 | Change ID | This change ID should be consistent between the solo and the group submission. It is used to match the solo changes that correspond to the group change for the reporting period. | |
| Description of Change | |||
| C0030 | Date of approval | Identify the ISO 8601 (yyyy-mm-dd) code of the date when approval is granted, according to the decision of the NCA’s concerned. | |
| C0040 | Date of submission | Identify the ISO 8601 (yyyy-mm-dd) code of the date when the written application for approval to the NCA’s concerned (for approved changes) was made. |
| C0050 | Description of change to the policy | Briefly describe the nature of the change and what aspects of the model have been changed. |
|---|---|---|
| C0060 | Change resulting from | One of the options in the following closed list shall be used: 1 – Change in risk profile 2 – Change in input data and assumptions 3 – Change in methodology 4 – Other |
| C0070 | Other categorization and explanation | Describe the categorisation if different from column C0060. If filled-in, then use Other option in column C0060. |
| C0080 | Market risk impact | If the market risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0090 | CREDIT FinInstr risk impact | If the credit risk charge on financial instruments is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0100 | CREDIT NonFinInstr impact | If the credit risk charge on non-financial instruments is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0110 | Non-Life & Health NSLT risk impact | If the non-life & health NSLT risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0120 | Life & Health risk impact | If the life & health risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: |
| Yes | ||
|---|---|---|
| No | ||
| C0130 | Operational risk impact | If the operational risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0140 | Pension risk impact | If the pension risk charge is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0150 | Dependency structure and correlation impact | If the diversification benefit due to changes to the dependency structure and/or the correlations is impacted by the major model change then indicate it here. One of the options in the following closed list shall be used: Yes No |
| C0160 | Other (free text) | Describe how other modelled contributions (if any) to the SCR were impacted by the model change. |
| C0170 | Change qualification | One of the options in the following closed list shall be used: 1 – Qualitative 2 – Quantitative 3 – Combination of quantitative/qualitative |
| Change Impact | ||
| C0180 | Total SCR value before change (amount) | Amount of Total SCR (full model run including the standard formula part for partial internal models and diversification benefit) value before the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0190 | Reference date of SCR impact | Identify the ISO 8601 (yyyy-mm-dd) code of the reference date of the SCR impact caused by the model change (major changes only). Specified date given by the NCAs in the approval letter of the major change |
| application from which the approved model can be used to calculate the SCR. | ||
|---|---|---|
| C0200 | Total SCR value after change (amount) | Amount of Total SCR (full model run, if necessary, including the standard formula part for partial internal models and diversification benefit) value after the model change as specified in the model change application in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| C0210 | Total SCR change % | The relative change of total SCR in percentage. (major changes only) |
| C0220 | Own Funds w/o change (amount) | Total Eligible Own Funds without the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0540/C0010 for solos and S.23.01.04.01 R0660/C0010 for groups. |
| C0230 | Own Funds with change (amount) | Total Eligible Own Funds with the model change in units of the reporting currency. Report only for major changes. The value expected is as in S.23.01.01.01 R0540/C0010 for solos and S.23.01.04.01 R0660/C0010 for groups. |
| C0260 | Other trigger | If the level of change in SCR is not the trigger for the major change classification, then describe what criteria is classifying the change as major (only the relevant trigger that triggered the change). |
| C0270 | Other trigger impact (amount) | Impact amount in relation to the trigger in C0260 (other than SCR) |
| C0280 | Other trigger impact % | Percentage impact in relation to the trigger in C0260 (other than SCR) |
| Minor Changes | ||
| C0220 | Own Funds w/o change (amount) | Total Eligible Own Funds without the minor model changes. |
| C0230 | Own Funds with change (amount) | Total Eligible Own Funds without the minor model changes plus the sum of impacts of the minor model changes on the total Eligible Own Funds for this reporting period. |
| SCR sum for minor changes increasing SCR | Sum of impacts of only the minor model changes to the total SCR which increased the SCR for this reporting period. The reference SCR value used should be as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
|---|---|
| SCR sum for minor changes decreasing SCR | Sum of impacts of only the minor model changes to the total SCR which decreased the SCR, in units of the reporting currency, for this reporting period. The reference SCR value used should be as in S.23.01.01.01 R0580/C0010 for solos and S.23.01.04.01 R0680/C0010 for groups. |
| Number of minor changes implemented during the reporting period | Number of minor changes implemented during the reporting period. |
| Threshold for accumulation | Threshold for accumulation as specified in the model change policy. This amount may have no similarity to the field “Total modelled SCR change %”, since the threshold might be based on summing absolute changes or other criteria. |
| Reset Reason for reset | State whether one reset of the accumulation of minor changes has occurred in the reporting period: - Internal model minor changes reset occurred in the reporting period - Internal model minor changes reset did not occur in the reporting period. Briefly, state the justification why a reset of the accumulation of minor changes has occurred in the |