Question ID: 2123
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: NA
Template: S.06.02
Status: Final
Date of submission: 23 Mar 2020
Question
Ich hätte eine Detailfrage hinsichtlich der CIC Code Klassifizierung in der List of Assets. Diverse Geldmarktfondsanbieter investieren in Asset Backed Commercial Papers (ABCPs), jedoch ist uns hier eine unterschiedliche CIC Code Klassifizierung aufgefallen – entweder 6 (Collateralised securities) oder 23 (Commercial Paper). Im VAG Kontext gibt es dann auch Abweichungen hinsichtlich der Einordnung als ABS bzw. Schuldverschreibung. Haben Sie Erfahrungen mit der Einordnung dieser Papiere gemacht?
EIOPA answer
Financial instruments qualifying as "Asset backed securities" or "Mortgage backed securities" shall be classified as CIC 6 ("Collateralised securities"). Therefore, the "asset backed commercial papers" are to be classified as CIC 6 and not as CIC 23.
For PF.06.02 only direct exposure in asset backed commercial papers is relevant, not indirect exposure via mutual funds (including money market funds).
Exposure to asset backed commercial papers held indirectly (= via mutual funds / collective investment undertakings) is to be reported in PF.06.03 (look-through). In this case, "6 - Collateralised securities" should be reported as "underlying asset category" (C0030).