Question ID: 687
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 23 Apr 2018
Question
In a currency forward contract, if the two currencies involved are foreign currencies, shall we create 2 lines for a currency forward contract (one with C0310 = the purchased currency and C0130 = "Buyer", and a second one with C0310 = the sold currency and C0130 = "Seller")?
EIOPA answer
In this case, and also in the case of currency forward contract involving the reporting currency the following should be reported:
- C0120 should identify the nominal amount
- C0310 should identify the currency of the nominal amount, currency being fixed (the long currency)
- C0330 should identify the currency which is shorted and the forward exchange rate. The "trigger value" should be reported as the price of the currency purchased (long) in terms of the currency sold (short), namely 0,6959 GBP in the example below. In the example below USD is the long currency and USD|GBP = 0,6959 means that 0,6959 GBP are needed to buy 1 USD, i.e. it is the price of a USD in terms of GBP.
For example, in a forward contract USD|GBP, 1 000 000 USD, exchange rate USD|GBP = 0,6959:
- C0120: 1000000 (if the reporting currency of the insurer is EUR this amount needs to be reported in the templates after being converted from USD to EUR with the exchange rate at the reporting reference date)
- C0310: USD
- C0330: GBP 0,6959
Please note that C0130 (buyer/seller) is not applicable to forwards.