Question ID: 1041
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 11 Jan 2017
Question
Some customers have recently bought some new type of fund last year called "Fond de prêts à l'économie" (NOVO 1 and NOVO 2 http://news-banques.com/lancement-fonds-prets-leconomie-novo-1-2-dotes-dun-milliard-deuros/0121114859/).
Regarding such "funds" our customers have some issues on the way they will valuate the fields SOLVENCY II PRICE and ACCRUED INTEREST for such funds.
Indeed according to our customers this kind of funds :
- is bearing somme accrued interest and so on they intend to fill out the field C0180 of QRT S0602
- in the same time they tell us it makes no sense for such instrument to fill out the field « Par Amount » and « Unit Percentage of Par amount » for such instrument. They intend to fill out instead the fields « Quantity » et « Unit Solvency Price ».
According to the ITS, when you fill out fields Quantity and Unit Solvency II price, the following formula should apply "Total Solvency II amount = the multiplication of “Quantity” by “Unit Solvency II price”, for assets where these two items are relevant".
Our customers are a bit disapointed as the formula do not take into account the accrued interest, and for
them is not correct for such instruments.
Please can you tell us if for such instrument :
- our customer need to report the amount of accrued interest in field C0180?
- What will be the correct formula to calculate the TOTAL AMOUNT S2 for such instrument ?
EIOPA answer
In the situation described in the question the undertaking should in fact report what is more adequate to the product, if that is the case: "Quantity" and "Unit price" not considering the accrued interest and report the accrued interest in C0180.
The formula indicated in the Instructions is valid by default for most assets but in specific circumstances might not be followed. Please note that there is no validation reflecting the referred formula.
In case of doubt of what better reflects the nature of the asset please contact the National Supervisory Authority.