EIOPA · 106
106
- Regulation
- Guidelines on submission of information to NCAs (Preparatory phase)
- Submitted
- 2014-08-21
- Answered
- 2019-10-31
Question
Derivative contracts are logged at our asset managers against generic counterparties, i.e. a contract with Goldman Sachs does not state which legal entity within the Goldman hierarchy that they are with. We have no easy way of identifying the contracting party and hence plan to map these legal entities to the ultimate parents, and report the name of the ultimate parent in cell A6 of D2O. Is this acceptable?
Answer
EIOPA believes that the counterparty should always be identified and reported. From a management point of view undertakings should understand fully which are their exposures. Also for the SCR calculation, at least for the market risk concentration and counterparty default risk modules, when considering the single name exposure, undertakings which belong to a group shall be treated as single name exposures, but there is also the need to identify the individual counterparties (which belong to a group) in order to compute the average credit quality step in the market risk concentration module. So this information is needed internally, at least to comply with SCR calculation if the undertaking is using the standard formula.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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