Question ID: 1155
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: S.08.01
Status: Final
Date of submission: 24 May 2017
Question
FX Forwards and IRS Swap have two legs (payment and receivable) which we report the legs separately in the S0801 and S0802. The receive and payment amount will be nett. If it is positive this amount will be fill in the receivable legs and negative in the payable legs. Is it correct that we nett the amount for the profit and loss? Do you expect to see separate legs in the S0801 and S0802, due to receivable and payable legs?
EIOPA answer
Yes, it is possible to report the net between the "swap outflow amount" and "swap inflow amount" if this reflect what is contractually defined. The log (S.08.01 and S.08.02) says that in the cases where the settlement is made on a net basis then only one of the items C0200 and C0210 shall be reported.
Concerning "premium paid to date" and "premium received to date" CO140 and C0150 in S.08.02, these amounts should not be netted and both should be reported.
Concerning "profit and loss to date" (C0160) in S.08.02 this is by definition a profit or a loss, so there is no need to nett. In the log it is defined: "Amount of profit and loss arising from the derivative since inception, realised at the closing/maturing date.