Question ID: 575
Regulation Reference: Guidelines on reporting and public disclosure
Article: 35, 188
Template: S.26.01
Status: Final
Date of submission: 18 Mar 2016
Question
We have reviewed the the currency risk part of LOG File of the SCR QRT for market risk (S.26.01) together with the corresponding article of the Delegated Act (Article 188 - Currency risk). We believe there is room for interpretation, and therefore would greatly appreciate clarification on the following points:
1) R0600/C0020: This cell is not defined in the LOG file, although it is not crossed out in the QRT.
Question:
Shall it be crossed-out like R0600/C0030? If not, a) could you provide the relationship with cells R0610-R620/C0020? b) should R0600-C0030 be required fields as well?
2) R0610-R0620/C0020: Initial absolute values before shock. Assets: This is the total value of the assets sensitive to currency increase/decrease risk, before shock.
R0610-R0620/C0030: Initial absolute values before shock. Liabilities: This is the total value of the assets sensitive to currency increase/decrease risk, before shock.
R0610-R0620/C0040: Initial absolute values after shock. Assets: This is the total value of the assets sensitive to currency increase/decrease risk, after shock.
R0610-R0620/C0050: Initial absolute values after shock. Liabilities: This is the total value of the assets sensitive to currency increase/decrease risk, after shock.
Question: In cells R0610-R0620/C0020-C0050, shall we report:
a) the total value of assets/liabilities sensitive to currency risk, as defined in the QRT guidelines, or,
b) the total value of assets/liabilities which triggers an SCR as a result of an increase/decrease shock?
The reason for this question is: If we follow definition a) we believe we get an inconsistency in the QRT table; if we follow definition b) there is no inconsistency anymore, but we believe we deviate from the QRT specifications.
The reason for this question is: If we follow definition a) we believe we get an inconsistency in the QRT table; if we follow definition b) there is no inconsistency anymore, but we believe we deviate from the QRT specifications.
EIOPA answer
In fact R0600/C0020 should be crossed out in the template (this will be amended).
Amounts before and after shock shall be filled in with the amount of assets and liabilities sensitive to that shock. For the liabilities the assessment shall be done at the most granular level available between contract and homogeneous risk group. This means that if a contract/HRG is sensitive to a shock the amount of liabilities associated to that contract/HRG shall be reported as amount sensitive to that shock.
If assets or liabilities are not sensitive to the shock the cells should be reported with zero.
From the option described it is option a). If sensitive to risk, even if capital charge is zero the amount should be reported.
It is important that the amounts reported under columns before and after shock are consistent.
Please see also Q&A 443 from file "Answers to questions on the Final report on the ITS on the templates for the submission of information to the supervisory authorities (CP-14-052)"
Q&A on regulation