EIOPA · 1332
1332
- Regulation
- (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
- Article
- 35
- Submitted
- 2019-10-08
- Answered
- 2019-10-08
Question
How should the effect of risk mitigating instruments be expressed in S.26.01? Let us take a currency hedge as an example: We have an exposure of 100 USD fully covered under the currency decrease scenario. It seems this can be reported in different ways within the current instructions and validations:1: C0020 = 100, C0030 = 100, C0070 = 75, C0080 = 752: C0020 = 0, C0030 = 0, C0070 = 0, C0080 = 03. C0020 = 100, C0030 = 0, C0070 = 100, C0080 = 04: C0020 = 100, C0030 = 0, C0070 = 75, C0080 = -25And probably others as well. Which approach should be used?
Answer
Assuming that the example is adressing a situation of technical provisions of 100 USD covered by assets in EUR, with a full currency hedge, the approach 1 should be used: 1: C0020 = 100, C0030 = 100, C0070 = 75, C0080 = 75.
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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