Question ID: 738
Regulation Reference: Guidelines on recognition and valuation of assets and liabilities other than technical provisions
Article: 75
Status: Final
Date of submission: 31 Aug 2016
Question
EIOPA and the SII regulation is not specific on the treatment of Futures on the SII balance sheet. Further Guidance is needed. A specific CIC code is created for futures (CIC main category A). As futures consist of multiple elements (e.g. Var Margins, Maintenance margins, Margin Account, expectations on future movements) guidance is needed on the presentation on the balance sheet. E.g. Assuming a future value of 0 (as the result of daily clearing) inflates the Margin Account, which based on possible interpretation can be assumed a deposit? This would mean that all movents in the futures would solely be reflected in the Deposit (different CIC code?). Or does EIOPA expect to treat the complete value of the future as the total initial amount at inception?
IFRS is also not explicit in this, thus further specific guidance would be extremely welcome.
EIOPA answer
A future contract is a type of derivative. According to SII and IAS 39 Financial Instruments, paragraphs 46-47, it is to be valued at fair value and market-consistent value according to Art. 75 of Directive 2009/138/EU.