Question
Where we hold repurchase agreements and reverse repurchase agreements to replicate the returns from a government bond total return swap (TRS) we treat them as a TRS (i.e. a derivative) for IFRS reporting based on the economic reality of the holding. As such, we propose to treat similarly under SII reporting and report them in D2o – would you agree?
If so, which of the Solvency II fields in D20 would be applicable to complete for these assets?
EIOPA answer
This answer is also relevant for the future Solvency II (not only prep. phase).
We believe the contracts should be reported as repos and reverse repos in the template S.10.01 and not as total return swaps in S.08.01. This is the same rational for any other type if replication strategy achieved through the usage of derivatives.