Question ID: 1338
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: 26 Sep 2017
Question
In S.08.02.C0090 the immediate instrument underlying a swaption is the swap that would be created if the swaption is exercised.
If the view is to place the immediate underlying instrument, then this would be blank as the swap does not yet exist (and is OTC to complicate matters).
If the view is to seek the deepest underlying asset, then the index of the swap received upon exercise could be reported. Indexes are also expected to be reported all the time (for other simpler cases). We would appreciate clarification.
EIOPA answer
This item is to be provided only for derivatives that have a single or multiple underlying instruments in the undertakings' portfolio. If the underlying isn't in the undertakings' portfolio then this item is not applicable.
However, when possible, the relevant underlying asset should be identified. In the case referred, if the undertaking owns a portfolio replicating the index underlying the swap under the swaption, then the index needs to be reported in C0090.