Question ID: 2229
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Disclosure Templates
Article: N/A
Template: S.26.01
Status: Final
Date of submission: 15 Dec 2020
Question
Shall the values of cell R0610/C0020 match R0620/C0020. The same question applies for R0610/C0030 and R0620/C0030 in QRT S.26.01.
Background of the question
The rule in the mapping specification for S.26.01. is ambiguous when it comes to the question above, as the formula is the same for R0610/C0020 and R0620/C0020: “This is the total value of the assets sensitive to currency increase/decrease risk before shock.” In our understanding, we interpret the “/” between increase and decrease in the following way: 1. row R0610 (increase): This is the total value of the assets sensitive to currency increase risk before shock. 2. row R0620 (decrease): This is the total value of the assets sensitive to currency decrease risk before shock. This would result in different values for cell R0610/C0020 and R0620/C0020. Therefore we would like to understand how you intended the rule to be implemented, as our Tool provider and us disagree on that point. If you need more information, please let me know.
EIOPA answer
Your understanding of the “/" between increase and decrease is correct:
1. Row R0610 (increase): This is the total value of the assets sensitive to currency increase risk before shock.
2. Row R0620 (decrease): This is the total value of the assets sensitive to currency decrease risk before shock.
In result, the values for cell R0610/C0020 and R0620/C0020 will usually differ.