Question ID: 1780
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: 09 Jan 2019
Question
We have a question regarding "the profit and loss to date (C0160)" in reporting template S.08.02. In the log it is defined:"Amount of profit and loss arising from the derivative since inception, realised at the closing/maturing date".
I have got a question about an Clearing interest Rate Swap which has been fully closed in Q1 and then will be re-open in Q2.
IRS Swap:
01/01 open position 10.000
15/03 close position 10.000
The position of the IRS has been fully closed as per 15/03.
For Q1 we report the profit and loss start from the period 01/01 - 15/03.
The same Clearing IRS Swap ID will be open:
15/04 open position 5.000
30/06 close position 2.500
What should be the profit and loss of the IRS Swap which to be reported for Q2, as partly position has been close in 30/06. Should we report the profit and loss from the period 01/01 - 30/06 or the profit and loss from 15/04 - 30/06 for this IRS Swap?
EIOPA answer
In Q2, the profit and loss from 15/04 - 30/06 for this IRS Swap for the closed position should be reported (i.e. for the 2.500 amount) in the transaction template S.08.02.
While the part which will remain open should be reported in the open derivatives template S.08.01. (i.e. for the remaining 2.500 amount).
The profit and loss for this part will be reported (in the transaction template) in the future in the quarter in which the position will be closed.