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Commission Implementing Regulation (EU) 2015/2450 of 2 December 2015 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance)
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Version Superseded: 15/12/2017
Point in time view as at 02/12/2015.
Commission Implementing Regulation (EU) 2015/2450, S.26.02 — Solvency Capital Requirement — Counterparty default risk is up to date with all changes known to be in force on or before 17 August 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2015 No. 2450 may be subject to amendment by EU Exit Instruments made by the Prudential Regulation Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 2. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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General comments
This section relates to annual submission of information for groups, ring fenced–funds, matching adjustment portfolios and remaining part.
Template SR.26.02 has to be filled in for each ring–fenced fund (RFF), each matching adjustment portfolio (MAP) and for the remaining part. However, where a 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.
Template SR.26.02 is only applicable in relation to RFF/MAP from undertakings consolidated according to Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35, when method 1 (Accounting consolidation–based method) is used, either exclusively or in combination with method 2 (Deduction and aggregation method).
For group reporting the following specific requirements shall be met:
This information is applicable when method 1 as defined in Article 230 of Solvency II Directive is used, either exclusively or in combination with method 2 as defined in Article 233 of Directive 2009/138/EC;
When combination method is being used, this information is to be submitted only for the part of the group calculated with method 1 as defined in Article 230 of Directive 2009/138/EC, and;
This information does not apply to groups when method 2 as defined in Article 233 of Directive 2009/138/EC is being used exclusively.
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:
|
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:
|
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 within the scope of group supervision and must be consistent over time and with the fund/portfolio number reported in other templates. When item Z0020 = 2, then report ‘0’ |
R0010/C0010 | Simplifications | Identify whether an undertakings within the scope of group supervision used simplifications for the calculation of counter party default risk. One of the options in the following closed list shall be used:
|
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 as defined for Solvency II purposes. |
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:
|
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 exposure. |
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 exposure. |
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. |
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