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European Insurance and Occupational Pensions Authority

834

Q&A

Question ID: 834

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

Article: 35

Status: Final

Date of submission: 26 Oct 2016

Question

Could you please clarify what do you expect to be the Trigger value (cell A21) for plain vanilla swaps (CIC D1)?

EIOPA answer

Please see answer to Q600.

For plain vanilla currency swaps (3rd and 4th position of CIC is "D2") the trigger value in the template S.08.01 (column C0390) is the exchange rate underlying the cash-flow swap (exchange rate given by the Swap delivered currency reported in C0410). For example, if the swap delivered currency i.e. (S.08.01, C0410) is GBP and the swap received currency is EUR as reported in (S.08.01, C0420), then the exchange rate to use is EUR/GBP).
The trigger value in the template S.08.02 (column C0330) is the exchange rate underlying the cash flow swap (exchange rate given by the Swap delivered currency reported in C0350).

For plain vanilla interest rate swap (3rd and 4th position of CIC is "D1") the trigger value in the template S.08.01 (column C0390) and in the template S.08.02 (column C0330) should be the identification of the interest rate generating each cash-flow (delivered rate and the received rate), like in the following two examples: "Euribor+2%/3%", "Euribor+2% / Libor+1%".

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