Question ID: 1332
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: S.26.01
Status: Final
Date of submission: 08 Oct 2019
Question
How should the effect of risk mitigating instruments be expressed in S.26.01? Let us take a currency hedge as an example: We have an exposure of 100 USD fully covered under the currency decrease scenario. It seems this can be reported in different ways within the current instructions and validations:
1: C0020 = 100, C0030 = 100, C0070 = 75, C0080 = 75
2: C0020 = 0, C0030 = 0, C0070 = 0, C0080 = 0
3. C0020 = 100, C0030 = 0, C0070 = 100, C0080 = 0
4: C0020 = 100, C0030 = 0, C0070 = 75, C0080 = -25
And probably others as well. Which approach should be used?
EIOPA answer
Assuming that the example is adressing a situation of technical provisions of 100 USD covered by assets in EUR, with a full currency hedge, the approach 1 should be used: 1: C0020 = 100, C0030 = 100, C0070 = 75, C0080 = 75.