Question ID: 1333
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: S.08.02
Status: Final
Date of submission: 01 Sep 2017
Question
In Solvency II S.08.02 we report the closing FX forward. What should we report in the column "Solvency II Value". We expect to fill in "0", because the value of the derivative on reporting date is 0, because the position is closed. Do you agree with it?
EIOPA answer
In C0230 of the template S.08.02 the value of the derivative should be calculated as defined by article 75 of the Directive 2009/138/EC at the trade (closing or sale) or maturity trade date, and not on reporting date. It can be positive, negative or zero. If the value is 0 then you should report 0.