The KNF has queried our treatment of an asset with CIC code XT95 on our submission of S.06.02. They are stating that “No application for a given asset of one of two pairs ie quantity and price or denomination and the percentage is due to the nature of the asset (XT95) ie real estate”. These are pairs Quantity C0130 & Unit SII Price C0370, and Par Amount C0140 & Unit Percentage of Par Value C0380.
 
The KNF’s reasoning is as follows:
 
In the case of real estate it is difficult to indicate the unit price of a property by which to multiply the quantity (real estate) or the percentage of the nominal value of the property. Furthermore, the lack of indication of items C0130, C0140, C0370 and C0380) for this type of asset results from ITS records:
C0170 Carrying amount by Solvency Value calculated as defined in Art. 75 of Directive 2009/138 / EC. Include the following:
- corresponds to the multiplication of the "Nominal Value" by "Percentage Solvency Solvency Unit Proportion" plus "Accrued Interest" for assets for which the first two positions are applied;
- corresponds to the multiplication of "Quantities" by "Solvency Unit II" for assets for which these two items are applied;
For assets that can be classified in categories 7, 8 and 9, the value of the Solvency II asset should be indicated.
 
ITS record after changes:
(here)
 
In S.06.02.C0170 the instructions shall be replaced by the following:
"Value calculated as defined by article 75 of Directive 2009/138 / EC, which corresponds to:
-the multiplication of "Par amount" (principal amount of money measured at par amount or nominal amount) to "Unit of Solvecy II price" plus "Accrued interest", for assets where the first two items are relevant;
- the multiplication of "Quantity" by "Unit Solvency II price", for assets where these two items are relevant;
- Solvency II value of assets for assets classifiable under assets 71 and 9. ";
 
Thus, according to the third point, only the value of the Solvency II asset is given in the case of immovable property.
In addition, it should be noted that, in accordance with the explanatory notes, C0370 "Solvency Unit Solvency Price" is the amount in the reporting currency of the asset, if applicable.
In the case of real estate unit price does not apply as indicated above.
 
This means that the KNF is using the guidance for cell C0170 above as an indirect guide to the applicability of fields C0130/C0140/C0370/C0380 where CIC = 71 or 9. They take this to mean that none of these fields are applicable in this case.
 
However, the Annex II documentation provides direct guidance on cells C0130/C0140/C0370/C0380, and there is no mention that either C0130 or C0370 is inapplicable for CIC 9. See below guidance for fields C0130 and C0140:
 
C0130    Quantity    Number of assets, for relevant assets.
This item shall not be reported if item Par amount (C0140) is reported.
C0140    Par amount    Amount outstanding measured at par amount, for all assets where this item is relevant, and at nominal amount for CIC = 72, 73, 74, 75, 79 and 8. This item is not applicable for CIC category 71 and 9.
This item shall not be reported if item Quantity (C0130) is reported.
 
This clearly states that C0140 is not applicable for CIC 9, but there is no corresponding statement for C0130. We have taken this to mean that C0130 is applicable for assets where CIC is 9, since if it were not, the relevant guidance from C0140 would be mentioned in the Log file.
 
A similar argument applies for the guidance for cells C0370/C0380.
 
C0370    Unit Solvency II price    Amount in reporting currency for the asset, if relevant.
This item shall be reported if a "quantity" (C0130) has been provided in the first part of the template ("Information on positions held").
This item shall not be reported if item Unit percentage of par amount Solvency II price (C0380) is reported.
C0380    Unit percentage of par amount Solvency II price    Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant.
This item shall be reported if a "par amount" information (C0140) has been provided in the first part of the template ("Information on positions held") except for CIC category 71 and 9.
This item shall not be reported if item Unit Solvency II price (C0370) is reported.
 
This implies that C0380 is not applicable for CIC 9, but there is no corresponding statement for C0370.
 
Our position is that for the asset in question, i.e. CIC XT95, we should populate both Quantity C0130 and Unit Solvency II price C0370, in addition to C0170 Total Solvency II amount. Could you confirm that this interpretation is correct? If not, could you confirm that the Annex II documentation will be amended to make the correct position clear?

In addition, could you specify in what situations (if any) we should populate C0170 Total SII value, but should not populate any of C0130, C0140, C0370 or C0380?