29-09-2011 Reporting derivatives in K201 statement

Analyses of the quarterly investment statements K201 shows uncertainty among pension funds about how to enter a number of commonly-used derivatives. There is in any case no uniformity in the entries on this statement; funds report the same derivatives in different ways. DNB has updated the FAQ with examples of how a number of derivatives should be reported in K201. The examples cover interest rate swaps and swaptions, inflation swaps, credit default swaps, share options, (commodities) forwards and futures and currency derivatives. The current instructions for the statements allow for several (correct) ways of reporting derivatives. Using the examples described in the list of FAQs about pension statements, DNB seeks to achieve uniformity in the submitted reports. DNB asks pension funds to take note of these examples and to report derivatives in line with them where possible. The examples can be found under the response to Question C1 about the delta and rho equivalents in de list of FAQs about pension statements.