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European Insurance and Occupational Pensions Authority
 

2356

Q&A

Question ID: 2356

Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities

Topic: Reporting Templates

Article: N/A

Template: S.08.01, S.08.02

Status: Final

Date of submission: 16 Nov 2021

Question

Following the release of EIOPA Q&A 2004, we have been analysing the trigger value we report for futures on the S0801 and S0802 QRTs. EIOPA 2004 has clarified that the trigger value reported ‘is the price of the future meaning the price at which the contract traded at origination and it does not change through time’. I am looking for further clarification on instances where a number of contracts of the same future, within the same fund, have been opened on different dates. On each of these dates the opening price is different. E.g. Future contract ‘A’ within Fund Y 1 contract opened on 1/9/21 @ price €10 1 contract opened on 3/9/21 @ price €12 1 contract opened on 4/9/21 @ price €13 In the trigger value field, should we report either: a) The string of opening values i.e. 10,12,13 b) The earliest opening value i.e. 10 c) The latest opening value i.e. 13

EIOPA answer

The case described in the question fits the following indication in the ITS ((EU) 2015/2450): "In the case of more than one trigger over time, report the next trigger occurring".

Therefore, what should be reported is the trigger value  of the contract which has the next triggering event (i.e. earliest expiration date).​