EIOPA · 15
15
- Regulation
- Guidelines on submission of information to NCAs (Preparatory phase)
- Article
- 35
- Submitted
- 2014-01-14
- Answered
- 2019-10-25
Question
In Report AS-D2T we need to report information about closed derivatives. Can you please explain how we need to report the trigger value voor a CDS (Credit default swap). In general, the CDS will pay out if the underlying is in default. It is hard to express the word "default" in a (trigger) value. Can you please send me some information about this topic?
Answer
In fact, the relevant information for Credit Default Swaps is collected in item “Unwind trigger of contract” and in fact there is no “reference value” but an event that causes the contract to terminate, with a defined compensation paid, while during the contract’s life the protection buyer will pay a pre-determined fee.
As this is also applicable to the template S.08.01 (D2O), during the preparatory phase this clarification needs to be taken into account, e.g. this information is not to be reported for Credit Default Swaps.
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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