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We have a question regarding the S.37th QRTs (S.37.01, 37.02 & 37.03) -COMMISSION IMPLEMENTING REGULATION (EU) 2023/89 2023/894-: We assume, most of the S.37th-information can be derived from S.06.02. In case characteristics are not applicable to QRT S.06.02, we assume, those assets are not relevant for the S.37th QRTs (S.37.01, 37.02 & 37.03). For e.g., the element “country of issuer” is not applicable to CIC 9 and therefore has to be left blank in S.06.02. Another example: the element “issuer sector” is not applicable to some CIC 8 and to all CIC 9. In these cases, the characteristics for the transfer to the 37th QRTS are missing and cannot be derived from S.06.02. Therefore, we assume, as mentioned above, these assets are not to be reported in S.37th QRTs. Can you confirm this opinion?

European Insurance and Occupational Pensions Authority · Accepted Answer

The answer to this question has been slightly revised on 13/03/2025:S.37 should include all type of exposures and is therefore not limited by information in S.06. However, when specific asset characteristics are not applicable (e.g. country of issuer is not applicable) to the assets following the assessment for S.06 this will also impact the tables under S.37​. ***Old answer published until 13/03/2025S.37 should include all type of exposures and is therefore not limited by information in S.06. However, when specific asset characteristics are not applicable (e.g. country of issuer is not applicable) to the assets following the assessment for S.06 this will also impact the tables under S.37 (e.g. table S.37.02.04.03 exposure by country will not reflect this asset but the asset still needs to be included in for example S.37.01.04.01, if significant).​

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