Question ID: 2535
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Disclosure Templates
Article: Disclosure Templates S.37.01 S.37.02 S.37.03, Taxonomy 2.8.0
Template: S.37.01
Status: Final
Date of submission: 29 Nov 2022
Question
Taxonomy 2.8.0. - S37.01
In this template, EIOPA asks in C0320 the amount of deductions according to article 187 of the Regulation 2015/35.
This article refers to market risk concentration. We feel this deduction is contrary to the objective of the template S 37 which seeks to obtain the actual concentration of the insurer or group based on on-and off-balance sheet exposures. the deduction is only relevant when calculating the capital requirements and that is not the objective of this template.
Taxonomy 2.8.0. - S37.02
In this remplate EIOPA asks for information based on currency, sector and country. In the section regarding sector reference is sought to the nace codes. However, on the liabiloity side of the balance sheet many exposures will be with policyholders being natural persons. How should these be reported in the template?
Taxonomy 2.8.0. - S37.03
In this template EIOPA refers to ratings rather than Credit Quality Steps. Why is this the case or is this an ommission. Not all ECAIS use the some codification.
The information asked in this template duplicates the informtion provided in template S06.02.
EIOPA answer
Taxonomy 2.8.0. - S37.01
The template aims to present the exposures which should be the starting point for the risk analysis. If the assumption is, that exposures mentioned in Article 187 are not connected with the actual risk (as not charged with the capital requirement) the analysis should be focused on the net risk. However, the template still provides the information about the exposures mentioned in Article 187, so in case supervisors have a reason to investigate such exposures more, they still have possibility to do it.
Taxonomy 2.8.0. - S37.02
The breakdown for the NACE codes is requested only for the exposures towards corporate entities. Policyholders who are natural person may be presented in a separate line for example “other".
Taxonomy 2.8.0. - S37.03
The approach from DA should be used. Please note that at this stage no changes are possible to be made in the ITS on reporting and disclosure. Any newly identified changes will be discussed in the next ITS amendments.