Question ID: 875
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Template: S.08.01
Status: Final
Date of submission: 08 Dec 2016
Question
We have a question regarding field C0090 - Instrument underlying the derivative - QRTs S.08.01 and S.08.02.
In the implementing technical standard it is stated that this field should be provided only for these derivatives, for which the undertaking holds the underlying instrument of the derivative in its portfolio. We would like to ask whether it is possible to provide the underlying instrument of the derivative regardless of whether we hold direct positions on underlying instrument?
We consider the part of the field description „in the undertaikings’ portfolio” excessive, in particular because the next sentence of the description states that an index should always be provided.
Otherwise, could you explain what is the purpose of this condition in field description? – as we think it poses an additional burden that brings no major reporting benefits (fewer underlying instruments are being reported).
EIOPA answer
When using derivatives to cover risks, it is assumed that the underlying assets/liabilities which risk the derivative is covering is hold by the undertaking. This might be one asset/liability, more than one or an index if the undertaking invests in index products. The field is exactly to identify the cases where the asset is held.
We don't understand the burden to the companies in the cases where the asset/liability is not hold as in this case the item is not reported.