Question ID: 156
Regulation Reference: Guidelines on submission of information to NCAs (Preparatory phase)
Article: 35
Template: S.08.01
Status: Final
Date of submission: 27 Mar 2015
Question
Currency for Derivative Notional
A number of questions relating to the interaction of the currency and the derivative notional in A10 / A15 of S.08.01
1) What currency should the derivative notional be quoted in? Our interpretation is that the currency of the notional should be in the trade currency of the contract, rather than saying converting to the local reporting currency.
2) For a standard FX forward, doe sit matter which leg of the forward A15 is populated with? For example, consider an insurer holding a USD/EUR forward that has a reporting currency of GBP. Should the USD notional or EUR notional be used?
EIOPA answer
The notional amount of the derivative should be reported in the reporting currency and not in the trade currency.
Regarding the forward, in our view there is no “leg” so the notional amount (A15) should in this case be reported regarding the EUR currency. In a “USD/EUR” forward usually means that currency USD will be delivered/received at a price fixed in EUR. However please note that the notional amount should be reported in the reporting currency anyway (in this case GBP).