Question ID: 443
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 10 Dec 2015
Question
I would like to ask you the following regarding QRT spread risk inputs:
Should cell A14 (i.e. Initial absolute values before shock - Assets) includes also the value of assets that are subjet to spread risk by their nature (e.g. and most typically central government bonds denominated and funded in the currency of that member state) but the risk charge is in fact 0% (i.e. no capital requirement for these kind of bonds).
With other words, if my portfolio includes 100 EUR central government bonds denominated and funded in the currency of that member state, am I obliged to include this value into the A14 cell or not?
EIOPA answer
It has been clarified in the instructions of S.26s that only the amounts “sensitive to the risk” should be filled in in both assets and liabilities.
If sensitive to risk, even if capital charge is zero the amount should be reported.