EIOPA · 3309
Reporting by IORPs, Reporting Templates
- Regulation
- (EU) 2016/2341 - IORP II Directive
- Topic
- Reporting by IORPs, Reporting Templates
- Submitted
- 2025-03-31
- Answered
- 2025-05-08
Question
Concerning Information on Derivatives PF0801.24 C0440 Swap Delivered & C0450 Swap Received. Should C0440 & C0450 be filled for total return swaps, credit default swaps and swaptions? And if yes, how should these be reported? Especially when the fixed rate can be an index return. Can you please provide us with some examples.
Answer
On S.08.01 for the fields C0440 and C0450 there shall be a description of the pattern of the cashflows associated with the swap. This applies to any kind of swap. For example, in case of a swap Euribor+0.5% against 2.3% in USD, we indicate "Euribor+0.5%" in C0440 _Swap delivered and "2.3%;USD" in C0450_Swap received.
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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