In the QRT S06.02, EIOPA clearly states that according to the CIC code of the instrument only one of the following column (UNIT S2 PRICE or PERCENTAGE OF PAR SII VALUE" ) may be filled out.

According to intermediary guidelines and the second set of ITS  we understand that :

- Column UNIT SII PRICE must be filled out for asset category 3 and 4

- Column "PERCENTAGE OF PAR SII VALUE" (exprimées en %)  must only be fillet out for asset categories 1, 2, 5 and 6"

Extract from  intermediary guidelines amended with Q&A 08/2014

Yes A23A Amount in percentage of par value, clean price without accrued interest, for asset categories 1, 2, 5 and 6.

Not applicable for CIC categories 3, 4, 7, 8 and 9

So according to the previous text,s  all bonds instruments from Asset category 2 must be reported in column "PERCENTAGE OF PAR SII VALUE".

This makes sense for most part of the instruments, but some of our customers believe that it shouldn't be the case for "Convertible bonds", CIC CODE = *22

Indeed it seems that such instruments are only valuated and available according to the "prix unitaire converti" (solvency price)

So on, they expect for such instrument that EIOPA may review its guidelines in order to allow the column A23A to be filled out for CIC CODE=22.

We previously ask the ACPR on this topic and they quite agree with this approach despite they say that only the EIOPA may decide to review the definition and that it was too late for intermediary reporting.

Please can you assist us on this topic and tell us if our customers request seem justified?  And if you agree on which version of the QRT should we implement the correction?

EIOPA answer

This answer is also relevant for the future Solvency II (not only prep. phase).

EIOPA agrees that for some convertible bonds it may be more appropriate to report the unit price instead of the unit percentage of par amount. In fact, in the Final Report on public consultation No. 14/052 on the implementing technical standards on the templates for the submission of information to the supervisory authorities EIOPA has deleted the indication of specific CIC codes for this columns (C0370 and C0380) and it is the responsibility of the undertaking to assess which information is applicable as long as only one is reported.