Question ID: 2050
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: 35
Status: Final
Date of submission: 07 Nov 2019
Question
If the look-through approach had been used, the Total Solvency II amount of the daughter asset would have been calculated by multiplication of “par amount” by “Unit percentage of par amount Solvency II price” plus the accrued interest.
But we would like to know if we have understood this right how to report the values of the funds with the nonlook-through approach. When the unit price of the fund includes the accrued interest, the Solvency II value is calculated by C0130 (Quantity) *C0370 (Unit Solvency II price). Shouldn’t the accrued interest (C0180) be then empty, otherwise the validation fails? Is this a proper way to report the values of the funds? Or should we use the clean price instead and report the accrued interest in the column C0180?
EIOPA answer
Yes. In cases in which the unit price of the fund includes the accrued interest (because it is not possible to have the clean unit price) the Solvency II value is calculated by C0130 (Quantity) *C0370 (Unit Solvency II price). As, in this case, the Unit Solvency II price is dirty (i.e. already includes the accrued interest) the accrued interest (C0180) has to be left empty. There is no validation on the accrued interest cell; the validation is on the Solvency II value.
Instead in cases in which the clean price of the fund is available then the clean price should be used and the accrued interest should be reported in the column C0180.