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

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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.

CODE	ITEM	INSTRUCTIONS
Exposure at Default
C0010-C0090/R0010	Overall 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
R0100	Overall 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/R0180	Other description	Summary of content of Other category referred in rows R0080 and R0170, so materiality can be judged.
Solvency Capital Requirements
C0110/R0190	Total undiversified credit risk	This is the total amount of the capital charge for credit risk before any diversification effects.
C0110/R0200	Diversification: 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.

Solvency II software

C0110/R0210	Diversified risk:	This is the total amount of the capital charge
	credit risk	for credit risk.