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European Insurance and Occupational Pensions Authority

24

Q&A

Question ID: 24

Regulation Reference: Guidelines on submission of information to NCAs (Preparatory phase)

Article: 35

Template: S.08.01

Status: Final

Date of submission: 25 Feb 2014

Question

1) In S.08.01 template for group or solo (old AS-D2O), it seems difficult to fill cell A20 for interest rate options such as CAP/FLOOR, since the notional amount is already reported in A15. Shall we let it empty for CAP/FLOOR instrument? 

2) In S.08.01 template for group or solo (old AS-D2O), for future contracts, can cell A15 (notional amount) contain a number of underlying assets? Or shall it contain an amount (ie multiplied by the agreed price?) 

EIOPA answer

1) Item A20 requests the contract dimension of each option contract. For interest rate options it should be reported the reference amount underlying each contract. One classic example is: the undertaking buys 3 contracts of the same option to sell 1.000.000 euros worth of bond A each. In this case the contract dimension is 1.000.000 and the notional amount is 3.000.000, reported in item A15.  For a CAP/FLOOR contract, the rational should be the same, i.e. the underlying amount of that you would be able to borrow per contract should be reported in contract dimension and the notional amount will be the contract dimension multiplied by the number of contracts reported in that line.
If the contract is a bespoke one, for example one contract with the option to sell 500.000 euros if a reference rate reaches a pre-defined value (trigger value, as defined in item A21), then the reference amount underlying the contract can be equal to the notional amount, and so item A20 can be equal to item A15 and both have to be reported.

2) It shall contain an amount calculated by multiplying the contract size by the number of contracts held by the undertaking. The way the contract size is defined varies according with the type of instrument. For futures on equities it is common to find the contract size defined as a function of the number of shares underlying the contract and the monetary value of a unit move in those underlying shares.