Solvency 2 : fund look-through update in QRT reports

09/05/2019

The EIOPA launched a consultation “on corrections and amendments to the implementing technical standards on reporting and disclosure”.

The full full version is here.

Some minor points, but an interesting field is added in the QRT S.06.02: C0292 – “SCR calculation approach for CIU”.

C0292SCR calculation approach for CIUOne of the options in the following closed list shall be used:

1- CIUs for which a full look through was applied for the purposes of SCR calculation;

2 - CIUs for which the “simplified” look through was applied on the basis of the target underlying asset allocation and for which the data groupings is used according to 84(3) of Delegated Regulation 2015/35

3 - CIUs for which the “simplified” look through was applied on the basis of the target underlying asset allocation and for which no data groupings is used according to 84(3) of Delegated Regulation 2015/35

4 - CIUs for which the “simplified” look through was applied on the basis of the last reported asset allocation and for which the data groupings is used according to 84(3) of Delegated Regulation 2015/35

5 - CIUs for which the “simplified” look through was applied on the basis of the last reported asset allocation and for which no data groupings is used according to 84(3) of Delegated Regulation 2015/35
6 - CIUs for which for the “equity risk type 2” was applied article 168(3) of Delegated Regulation 2015/35

9 – Not applicable

The options of this item shall reflect the approach taken for the SCR calculation. For the purposes of the look through required in template S.06.03, as the granularity required is high level, the look-through is required considering the thresholds defined in the general comments of that template.

EIOPA wants to monitor which mutual funds are – or not – looked-through.

This confirms our feeling that regulators will monitor more closely the look-through in the coming months.

 

As an example, the French regulator pointed out in 2018 that 12% of the 2 553 billions EUR AUM of the French insurance companies is not looked-through: link.

 

 

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