Question ID: 2225
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: N/A
Template: S.02.01
Status: Final
Date of submission: 27 Nov 2020
Question
We have a follow-on question further to 2015-2450 Q&A No. 870 whereby it was advised that cash collaterals held in other institutions, as open positions in relation to derivatives e.g. margin calls, FX Forwards collateral calls and currency swaps, are to be classified under R0380 Receivables (trade, not insurance). As these collateral cash asset/liability balances may vary throughout the life of the instrument being subject to market conditions, should they be booked in R0380 Receivables (trade, not insurance) or would it be more appropriate to book in R0420 Any other assets? In addition, where the above scenario is reversed and we are in receipt of cash collateral from a counterparty how should we report the liability in the SII balance sheet? Given that our cash collateral is received from financial institutions such as Citibank and JP Morgan, we think this can be reported in either R0800 Financial liabilities owed to credit institutions, R0810 Financial liabilities other than debts owed to credit institutions , R0840 Payables (trade not insurance), or even R0880 Any other liabilities. Please advise on the appropriate reporting classification for the S.02.01?
Background of the question
To seek clarity on where cash collateral on derivatives should be reported in the S.02.01 in situations where we have balances that are “out of the money” i.e. Asset balance or “in the money” i.e. Liability balance.
EIOPA answer
For the first part of the question:
In this operation the insurer is the buyer of the repo (cedant of the cash funds):
In S.02.01:
- The asset received is not recognised in the Balance Sheet
- A credit recognised in the asset side instead of the money and should be reported as Receivables (trade, not insurance) (R0380)
For the second part of the question:
In this operation, the insurer is the seller of the repo (receiver of the cash funds) In S.02.01:
- The asset ceded remains in the Balance Sheet.
- The cash received is reported as cash and cash equivalents (R0410) and on the liability side as Debts owed to credit institutions (R0800) or Financial liabilities other than debts owed to credit institutions (R0810) depending on whether the counterparty is a credit institution (in which case R0800) or not (in which case R0810).