April 2016 Solvency II Information Note 9 Lookthrough of Collective Investment Undertakings in template S.06.03
Introduction This information note sets out the Central Bank of Ireland s (CBI) position regarding the completion of template S.06.03 in respect of Collective Investment Undertakings (CIUs) by (re)insurance undertakings experiencing difficulty in providing the level of detail sought by the ITS on Supervisory Reporting 1 (ITS). It has been developed recognising that an EIOPA Q&A response to a query regarding the template anticipates that specific situations might be discussed with the National Supervisory Authority (more details on this Q&A are included in Appendix I). Please note that the CBI does not intend to provide guidance for industry with respect to what constitutes CIUs for the purposes of correctly disclosing such assets within template S.06.03. Nor does it intend to provide guidance on what materiality might mean in the context of disclosing CIUs within CIUs. Further information on both CIUs and on how undertakings might apply materiality in terms of regulatory reporting is provided in the Delegated Regulations 2 and the ITS and undertakings are advised to consider that information, by reference to their own investment portfolio, when completing their look through templates. Undertakings should also note that the information disclosed in all supervisory reporting must comply with the general principles applying to supervisory reporting as set out in Regulation 34 of S.I. No. 485 of 2015. In particular, the information must be reliable and complete in all material respects. Central Bank of Ireland Position with regard to the completion of template S.06.03 The CBI considers that all undertakings should make every effort to provide a full look through of their CIUs as set out in the Regulations when completing template S.06.03. However, where an undertaking can demonstrate that every effort has been made and that notwithstanding these efforts they assess that their completion of the template would not meet expectations as set out in the Regulations, they should proceed as follows: 1. For quarter 1 2016 reporting, which for most undertakings is due by late May 2016, affected undertakings may complete the template using best available data; 2. When they submit their quarter 1 2016 supervisory reporting they should also provide a narrative submission to their supervisory team, which has undergone the same internal governance and approval process as the template to which it relates and which contains: o Full details, including evidence, of: The problems they have experienced regarding the completion of template S.06.03 including reasons for same and efforts made to resolve the problems; The proportion of their total investments affected by these problems; The approach they have taken to the completion of the template for quarter 1 2016; o A proposal outlining how they plan to address the problems being experienced in such a way as to ensure that the undertaking is fully compliant with relevant Solvency II requirements including requirements related to the Prudent Person Principle and supervisory reporting from quarter 2 2016. 3. The narrative submission should be provided in PDF format directly to the undertaking s supervisory team. Where no such submission is made, the CBI will work on the basis that the 1 COMMISSION IMPLEMENTING REGULATION (EU) 2015/2450 of 2 December 2015 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council 2 COMMISSION DELEGATED REGULATIONS (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II)
undertaking has assessed that it has provided a fully compliant look through of all CIUs within the quarter 1 template; 4. The undertaking s supervisory team will consider the submission and revert to the undertaking bilaterally.
Appendix 1 EIOPA Q&A regarding template S.06.03 Question: It is stated in general comments, that the S.06.03 annex relates to quarterly and annual submission of information for groups and it should contain all collective investment undertakings in the undertaking's portfolio at the reporting date, and for each collective investment undertakings its assets should be grouped into underlying asset categories, taking also into consideration country of issue and currency and a look through approach. We would like to ask whether it is possible to exclude from the report these collective investment undertakings, for which the highest risk margins (type II equities) have been applied in MCR/SCR calculation. EIOPA s response: It should be noted that template S.06.03 does not only serve SCR supervision, but serves also the supervision of the prudent person principle for which a risk based approach is needed. By default all collective investment undertakings or investments packaged as funds have to be subject to look-through as described in the instructions document. Specific situations might be discussed with the National Supervisory Authority.
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