1022

Question

Swap outflow amount/Swap inflow amount,
Regarding IRS Swap which is in USD currency and has a reporting currency in EURO. The Swap in- and outflow of this IRS Swap is paid in USD.  Which date of the FX rate (USD/EUR) should we use for the reporting of the S.08.01. Should we take the date of the FX rate (USD/EUR) as per Solvency reporting date or the payment date of the Swap in- and outflow.

European Insurance and Occupational Pensions Authority · Accepted Answer

"Article 3 of the Reporting ITS should be considered:
"3.When expressing the value of any asset or liability denominated in a currency other than the reporting currency, the value shall be converted into the reporting currency as if the conversion had taken place at the closing rate on the last day for which the appropriate rate is available in the reporting period to which the asset or liability relates.
4. When expressing the value of any income or expense, the value shall be converted into the reporting currency using such basis of conversion as that used for accounting purposes."
In this case the paragraph 4 applies and the payment date of the Swap in- and outflow should be used."

1022

Question

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