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European Insurance and Occupational Pensions Authority
 

3649

Q&A

Question ID: 3649

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

Topic: Reporting Templates

Template: S.26.08

Status: Final

Date of submission: 17 Sep 2026

Question

The revised S.26.08 instructions for Taxonomy 2.10.0 appear inconsistent regarding diversification. 

For R0190/C0010, “Credit event risk not covered in market and credit risk,” Level 2 diversification should be included where relevant. 

For R0200/C0010, the diversified amount should include Level 2 diversification, diversification between the internal model and standard formula components, and Level 1 diversification. 

However, the instructions for “Total market and credit risk” appear to exclude Level 2 diversification. 

Could EIOPA please confirm: 

1. Whether Level 2 diversification should be included in “Total market and credit risk”; and 

2. Whether amounts including both Level 1 and Level 2 diversification represent net contributions to the SCR, such that the following checks apply: 

o R0030/C0010 = R0080/C0010 + R0200/C0010 + R0300/C0010 + R0490/C0010 

o R0300/C0010 = R0320/C0010 + R0380/C0010

EIOPA answer

  1. Yes. Level 2 diversification should be included in “Total market and credit risk”. It should also be included in R0370 (“Total Life & Health underwriting risk”) because it is not explicitly stated for this data point either.
  2. No to the first one and yes to the second one. See explanation below: 
    1. R0030/C0010 = R0080/C0010 + R0200/C0010 + R0300/C0010 + R0490/C0010 is not valid because we don't have info on L1 diversification for R0210-R0260 and R0500. The equation only holds in the special case where S.25.05 “Total Other risk” (R0500) is zero.
    2. R0300/C0010 = R0320/C0010 + R0380/C0010 is not valid. S.26.08 R0300/C0010 “Total underwriting risk – diversified” includes level 1 and 2 diversification. But R0320/C0010 “Total Net Non-life & Health NSLT underwriting risk - diversified” includes Level 1 and 2 for that risk type. Same applies for R0380/C0010 “Total Life & Health underwriting risk - diversified”. Therefore, R0300 includes diversification between life and non-life which is not present in either R0320 nor R0380.