Question ID: 293
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: 06 Nov 2015
Question
We have a question regarding the reporting template for s.08.02 (Assets D2T). We are unsure how to interpret Solvency II value (C0230 (A28)) for this report. In the template this value is defined as the value of the derivative as of the trade (closing or sale) or maturity date. Using this definition, we need to understand as per which point in time the value should be derived. When a position is closed, should we use the gain/loss arising from the close as the Solvency II value as this will be the actual value of the derivative at that point in time ?
In that case, the Solvency II value will be identical to the Profit and loss to date (C0160 (A18)) unless there have been cash flows during the term of the derivative contract. Is this how we should interpret this reporting item?
EIOPA answer
In cell C0230 the value of the derivative calculated as defined by article 75 of the Directive 2009/138/EC as of the trade (closing or sale) or maturity trade date should be reported. It can be positive, negative or zero. This should be the Solvency II value at the maturity date of selling date of the derivative.
In cell C0160 the amount of profit and loss arising from the derivative since inception, realised at the closing/maturing date should be reported. It corresponds to the difference between the value (price) at sale date and the value (price) at acquisition date.
This amount could be positive (profit) or negative (loss). This should be the difference between Solvency II value at the maturity date of selling date of the derivative and acquisition price.
The nature of the amounts and how they are calculated vary according to the derivative contract in question.