Question ID: 291
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: S.02.01
Status: Final
Date of submission: 06 Nov 2015
Question
I am writing regarding the calculation of the threshold value for the reporting of Securities Lending and Repos in report s.10.01 (Assets D5).
According to the guidelines we have available it should be reported only if the following criteria is met:
It shall be reported only when the value of the underlying securities on and off balance sheet involved in lending or repurchase agreements, with maturity date falling after the reporting reference date represent more than 5% of the total investments as reported in C0010/R0070 and C0010/RC0220 of S.02.01.
Please can you assist us in identifying which value C0010/RC0220 refers to as we cannot find any reference to cell RC0220 in the reporting template for S.02.01. Also, is it a correct interpretation that the calculation should be performed by dividing the value of the underlying securities involved in lending and repurchase agreements with the sum of C0010/R0070 and C0010/RC0220 of S.02.01?
EIOPA answer
Template S.10.01 shall be reported only when the value of the underlying securities on and off balance sheet involved in lending or repurchase agreements, with maturity date falling after the reporting reference date represent more than 5% of the total investments as reported in C0010/R0070 and C0010/R0220 of template S.02.01. (RC0220 is a mistake, it should read R0220)
R0070 corresponds to “Investments (other than assets held for index-linked and unit-linked contracts)” and R0220 corresponds to “Assets held for index-linked and unit-linked contracts”.
EIOPA confirms that the value of the underlying securities on and off balance sheet involved in lending or repurchase agreements should be divided by the sum of the values reported in C0010/R0070 and C0010/R0220 of template S.02.01.