Question ID: 2789
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Article: N/A
Template: S.06.04
Status: Final
Date of submission: 11 Sep 2023
Question
I am in the process of documenting the requirements for the new S.06.04 report. Is there any guidance as to how we can calculate the two values for our funds? For R0010 we have the value at risk in $mil for each underlying instrument in the fund For R0020, we have the Expected Direct Loss for each underlying instrument in the fund How do we do the roll up and calculation to get to the value for the fund for R0010 and R0020 for the S.06.04 report please or where we could find this? What should the format of the values be in the S0604 fields R0010/C0010 Climate change-related transition risk KPI and R0020/C0010 Climate change-related physical risk KPI on the S0604 - maybe an example of what the values should be formatted and look like?
Background of the question
Trying to set up the new S.06.04 templates and source the data
EIOPA answer
To compute the value for the KPI on climate change-related transition risk (R0010) and physical risk (R0020), undertakings can apply their own methodologies for performing the risk assessment, using reasonable proxies and assumptions. Potential approaches for conducting a materiality assessment of the risk are included in the Application guidance on running climate change materiality assessment and using climate change scenarios in the ORSA (europa.eu)
As both R0010 and R0020 in S.06.04 represent a percentage of the Solvency II value of investments exposed to specific risk, in relation to total of investments EIOPA expects the format to be in decimal values.