Question ID: 1100
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 24 Mar 2017
Question
Our understanding of the items to be considered for reporting for closed derivatives are as follows:
1. Derivatives that were open in the previous reporting period and got closed within the current reporting period
2. Derivatives that were purchased and sold within the current reporting period.
Please clarify our understanding.
EIOPA answer
S.08.02 contains an item-by-item list of closed derivatives held directly by the undertaking (i.e. not on a look-through basis), classifiable as asset categories A to F. When a contract is still open but has been reduced in size the closed portion shall be reported.
We confirm that in both cases you described the derivatives need to be reported.