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European Insurance and Occupational Pensions Authority

3179

Q&A

Question ID: 3179

Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision

Topic: Reporting Templates

Template: S.26.13

Status: Final

Date of submission: 30 Oct 2024

Question

For S.26.13.01.11 the axis has changed from: IL: Internal line of business code - Internal line of business - Z0010 - IL; to: RV: Catastrophe risk scenario code - Catastrophe risk peril - Z0030 - RV Am I to understand correctly that (a) we no longer are requested to provide the information of table .11 per internal line of business and (b) instead the information is requested per catastrophe risk peril? Could you elaborate on said split per catastrophe risk peril? Eg. by providing an example.

EIOPA answer

Your understanding is correct. Background information and an example can be found in this Q&A file on the Internal Models templates: https://www.eiopa.europa.eu/document/download/9b601aa7-4691-4ba6-9dec-4f6b2a46f9c5_en?filename=Internal%20Model%20templates%202.8.0%20release_Q%26As_0.xlsx

(The Z axis should denote catastrophe scenarios (e.g. EU windstorm, IT earthquake, US terror) rather than internal LoB.
Background: For Cat risk, usually a scenario centric view is applied i.e. model results are loss distributions for the catastrophe scenario, i.e. a region-peril combination (e.g. EU windstorm, IT earthquake, US terror) under consideration. This loss distribution reflects the exposure from all lines of business (LoB) at risk. A view by LoB is clearly less important, and accordingly, is generated occasionally only. In this aspect, cat modelling is different from non-cat modelling. Therefore, the Z axis should denote catastrophe scenarios.)