122

Question

In the interim templates issued, there are two fields that were added i.e. Total Par Amount and Percentage Par Solvency II Value. The explanatory notes did not cover what these two fields relate to. From the description of the fields, one could deduce that "Total Par Amount" refers to the par value of the debt securities, for example government/corporate bonds and if that is the case this amount would have been included in the quantity column. Percentage Par Solvency II Value could be taken to refer to Total Par Amount divided by Solvency II Amount.
Could you please provide further guidance on what is required for these fields and if the definition provided above are correct, does it mean that the respective amounts should be removed from the quantity.If the quantity amount is removed, then how does the formula "Quantityxunit price+accrued interest" work?

European Insurance and Occupational Pensions Authority · Accepted Answer

For modelling reasons the former item "Quantity" was divided into items "Quantity" and "Par amount". 
Par amount means the invested amount measured at par amount, for assets categories 1, 2, 5, 6, and 8, and at nominal amount for CIC = 72, 73 and 74.Not applicable for CIC categories 3, 4, 7 (excluding CIC = 72, 73 and 74) and 9.
Quantity means the number of assets, for assets categories 3 and 4.Not applicable for CIC categories 1, 2, 5, 6, 7, 8 and 9.
Only one of the two should be reported.

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