Question ID: 2372
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: 35 of SII Directive
Template: S.06.03
Status: Final
Date of submission: 13 Dec 2021
Question
Q1. When applying 39% equity type 1 capital charge for EUR denominated funds that meet unleveraged closed-ended AIF definition domiciled in the EU as per 168 c) on (...) (ii) units or shares of such funds where the look-through approach is not possible for all exposures within the alternative investment fund, how do we have to correctly reflect it in S.06.03 ?
Q2. Is it sufficient to reflect this item under CIC 3*, and the country and currency being those of the fund's domicile? Same questions for the "leveraged AIFs" for which look through is not neccessary as suggested in Question 1212 bullet point 3 and they belong to type2 equities from the perspective of SCR calculation? How should those be correctly included in S.06.03?
EIOPA answer
Q1. It is important to distinguish between:
For reporting purposes Commission Implementing Regulation (EU) 2015/2450 requires undertakings and groups to report the look-through of collective investment undertaking and other investments packaged as funds by underlying asset category, country of issue and currency. For S.06.03. the look through shall be performed, under consideration of the thresholds described in the ITS on reporting.
For funds where the look-through approach is not possible for the purpose of SCR calculation and that are therefore classified as type 2 equity, the template S.06.03 still needs to be reported based on the best available data.
Q2. No, the CIC classification needs to be done independently from the applied look-through approach. An AIF needs to be classified, given the guidance of the ITS on reporting, as CIC Category 4*. The CIC classification should not be changed to reflect cases where the look-through is not applied for the purpose of SCR calculation.