Question ID: 152
Regulation Reference: Guidelines on submission of information to NCAs (Preparatory phase)
Article: 35
Status: Final
Date of submission: 10 Aug 2015
Question
Asset or Liability Underlying the Derivative:
In light of EIOPA’s response to question #103 regarding cell A9 of D2O (log file description being “This item is to be provided only for derivatives that have a single underlying instrument in the undertaking’s portfolio”), would EIOPA please clarify the significance here of “in the undertaking’s portfolio”:
Does this mean Portfolio as per the QRT Portfolio cell A1? (Life, Non-Life, Ring Fenced etc.)
So for example, if a derivative had a single underlying bond, do EIOPA wish to see cell A9 populated only where that bond is also held in its own right in the same “Portfolio” (Life, Non-Life, Ring Fenced Fund etc.) as the derivative?
How would this work where derivatives have an underlying index? Is this still to be populated with regard to Portfolio?
EIOPA answer
Cell A9 (C0090 in the Final Report on Reporting ITS) should only be filled in if in fact the insurance undertaking holds the underlying asset (single or multiple).
The reference to portfolio was not intended as meaning “portfolios under cell A1” but as the undertaking portfolio as a whole.
When derivatives relate to an underlying index then the cell should only be filled in if an asset explicitly dependent on that index is hold by the undertaking.