Question ID: 3278
Regulation Reference: (EU) 2023/894 - ITS with regard to the templates for the submission of information necessary for supervision
Topic: Reporting Templates
Template: S.09.01
Status: Final
Date of submission: 04 Mar 2025
Question
Please can you advise how P&L generated from (1) Repo and (2) Reverse Repo should be reported in S.09.01, assuming the Repo and Reverse Repo both counterpart is ECB.
Background of the question
In our opinion, Repo is an asset where Reverse Repo is a liability. Hence, P&L only reported for Repo but not Reverse Repo for S.09.01
EIOPA answer
It has to be noted that template S.09.01 contains information on gains/income and losses by asset category. i.e., no item– by–item reporting is required.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of the Commission Implementing Regulation 2023/894 and references to CIC codes refer to Annex VI – CIC table of this Regulation.
Therefore, for contracts (repurchase agreements (buyer and seller) that are still open at the reference date the Solvency II Value shall be reported under C0110 - Unrealized gains and losses.
According to Article 187(3) point (a) of Delegated Regulation (EU) 2015/35 the risk factor for exposures to the ECB are 0%, e.g. the Solvency II value of a repo will therefore not change because of the counterparty risk.
The value of the repo shall be determined in accordance with Article 75 of Directive 2009/138/EC rules for valuation of contracts