LegalizeCommission Implementing Regulation (EU) 2023/894 of 4 April 2023 laying down implementing technical standards for the application of Directive 2009/138/EC of the European Parliament and the Council with regard to the templates for the submission by insurance and reinsurance undertakings to their supervisory authorities of information necessary for their supervision and repealing Implementing Regulation (EU) 2015/2450 (Text with EEA relevance)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| ITEM | INSTRUCTIONS | |
| Information on positions held | Information on positions held | Information on positions held |
| C0040 | Asset ID Code | Asset ID code using the following priority: — ISO 6166 code of ISIN when available — Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC) — Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time. When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used: 1 – ISO 6166 for ISIN code 2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies) 3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange) 4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number) 5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities) 6 – BBGID (The Bloomberg Global ID) 7 – Reuters RIC (Reuters instrument code) 8 – FIGI (Financial Instrument Global Identifier) 9 – Other code by members of the Association of National Numbering Agencies 99 – Code attributed by the undertaking When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0060 | Portfolio | Distinction between life, non–life, shareholder’s funds, other internal funds, general (no split) and ring-fenced funds. Underlying assets of life technical provisions shall be assigned to life portfolio and underlying assets of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split). One of the options in the following closed list shall be used: 1 – Life 2 – Non–life 3 – Ring fenced funds 4 – Other internal funds 5 – Shareholders’ funds 6 – General The split is not mandatory, unless otherwise required by the national supervisory authority, except for identifying ring fenced funds, but shall be reported if the undertaking uses it internally. When an undertaking does not apply a split ‘general’ shall be used. |
| C0070 | Fund number | Applicable to assets held in ring fenced funds or other internal funds defined at national level, in particular regarding funds (asset portfolios) supporting life products. Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.08.01, S.14.01). It shall not be re–used for a different fund. The fund number is not mandatory, unless otherwise required by the national supervisory authority. |
| C0080 | Matching portfolio number | Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each matching adjustment portfolio as prescribed in Article 77b(1)(a) of Directive 2009/138/EC. This number or code has to be consistent over time and shall be used to identify the matching adjustment portfolio in other templates. It shall not be re–used for a different matching adjustment portfolio. |
| C0090 | Asset held in unit linked and index linked contracts | Identify the assets that are held by unit linked and index linked contracts. One of the options in the following closed list shall be used: 1 – Unit–linked or index–linked 2 – Neither unit–linked nor index–linked |
| C0100 | Asset pledged as collateral | Identify assets kept in the undertaking’s balance–sheet that are pledged as collateral. For partially pledged assets two rows for each asset shall be reported, one for the pledged amount and another for the remaining part. One of the options in the following closed list shall be used for the asset: 1 – Assets in the balance sheet that are collateral pledged 2 – Collateral for reinsurance accepted 3 – Collateral for securities borrowed 4 – Repos 9 – Not collateral |
| C0110 | Country of custody | ISO 3166–1 alpha–2 code of the country where undertaking assets are held in custody. For identifying international custodians, such as Euroclear, the country of custody will be the one where the custody service was contractually defined. In case of the same asset being held in custody in more than one country, each asset shall be reported separately in as many rows as needed in order to properly identify all countries of custody. This item is not applicable for CIC category 8 – Mortgages and Loans, CIC 71, CIC 75 and for CIC 95 – Plant and equipment. Regarding CIC Category 9, excluding CIC 95 – Plant and equipment (for own use), the country of custody corresponds to the issuer country, which is assessed by the address of the property. |
| C0120 | Custodian | Name of the financial institution that is the custodian. In case of the same asset being held in custody in more than one custodian, each asset shall be reported separately in as many rows as needed in order to properly identify all custodians. For assets stored in-house, the insurance undertaking shall be reported as the custodian. When available, this item corresponds to the entity name in the LEI database. When this is not available it corresponds to the legal name. This item is not applicable for CIC category 8 – Mortgages and Loans, CIC 71, CIC 75, CIC 09 and for CIC category 9 – Property and to any other asset that, due to their nature, are not held in custody. For assets where there is no custodian or when this item is not applicable, ‘No custodian’ shall be reported. |
| C0121 | Code of custodian | Identification of the custodian code using the LEI if available. If none is available this item shall not be reported. |
| C0122 | Type of code of custodian | Identification of the type of code used for the ‘Code of custodian’ item. One of the options in the following closed list shall be used: 1 – LEI 9 – None |
| C0130 | Quantity | Number of assets, for relevant assets. This item shall not be reported if item Par amount (C0140) is reported. This item is not applicable for CIC 71 and 09 and CIC category 9 – Property. |
| C0140 | Par amount | Amount outstanding measured at par amount, for all assets where this item is relevant, and at nominal amount for CIC 72, 73, 74, 75, 79 and CIC Category 8 – Mortgages and Loans. This item is not applicable for CIC 71, 09 and CIC category 9 – Property. This item shall not be reported if item Quantity (C0130) is reported. |
| C0145 | Long-term equity investment | Only applicable to CIC categories 3 – Equity and 4 – Collective Investment Undertakings. Identify if an equity or collective investment undertaking is classified under the provisions of Art. 171a. of Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used: 1 – Yes 2 – No 9 – Not applicable |
| C0150 | Valuation method | Identify the valuation method used when valuing assets. One of the options in the following closed list shall be used: 1 – quoted market price in active markets for the same assets 2 – quoted market price in active markets for similar assets 3 – alternative valuation methods 4 – adjusted equity methods (applicable for the valuation of participations) 5 – IFRS equity methods (applicable for the valuation of participations) 6 – Market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35 |
| C0160 | Acquisition value | Total acquisition value for assets held, clean value without accrued interest. Not applicable to CIC categories 7 – Cash and deposits and 8 – Mortgages and Loans. |
| C0170 | Total Solvency II amount | Value calculated as defined by Article 75 of Directive 2009/138/EC, which corresponds to: — the multiplication of ‘Par amount’ (principal amount outstanding measured at par amount or nominal amount) by ‘Unit percentage of par amount Solvency II price’ plus ‘Accrued interest’, for assets where the first two items are relevant; — the multiplication of ‘Quantity’ by ‘Unit Solvency II price’, for assets where these two items are relevant (plus ‘Accrued interest’ if applicable); — Solvency II value of the asset for assets classifiable under CIC 71 and CIC category 9 – Property. |
| C0180 | Accrued interest | Quantify the amount of accrued interest after the last coupon date for interest bearing assets. Note that this value is also part of item Total Solvency II amount. |
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| ITEM | INSTRUCTION | |
| Information on assets | Information on assets | Information on assets |
| C0040 | Asset ID Code | Asset ID code using the following priority: — ISO 6166 code of ISIN when available — Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC) — Code attributed by the undertaking, when the options above are not available. This code must be unique and kept consistent over time. When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code Type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used: 1 – ISO 6166 for ISIN code 2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies) 3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange) 4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number) 5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities) 6 – BBGID (The Bloomberg Global ID) 7 – Reuters RIC (Reuters instrument code) 8 – FIGI (Financial Instrument Global Identifier) 9 – Other code by members of the Association of National Numbering Agencies 99 – Code attributed by the undertaking When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0190 | Item Title | Identify the reported item by filling the name of the asset (or the address in case of property), with the detail settled by the undertaking. The following shall be considered: — Regarding CIC 87 and CIC 88, this item shall contain ‘Loans to AMSB members’ i.e. loans to the Administrative, Management and Supervisory Body (‘AMSB’) or ‘Loans to other natural persons’, according to its nature, as those assets are not required to be individualised. Loans to other than natural persons shall be reported line–by–line. — This item is not applicable for CIC 95 – Plant and equipment (for own use) as those assets are not required to be individualised, CIC 71, and CIC 75, unless required by the national supervisory authority. — For property the country ISO Alpha-2 + postal code + city + street name + street number) of the property held or the latitude & longitude or the CRESTA/NUTS region of the property investment shall be reported: administrative boundaries (e.g. province or county boundaries, e.g. NUTS3 level) or merged postal code areas (e.g. first-two-digit postal code areas, similar to CRESTA 2019[2] low resolution zones). |
| C0200 | Issuer Name | Name of the issuer, defined as the entity that issues assets to investors. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name. The following shall be considered: — Regarding CIC category 4 – Collective Investments Undertakings, the issuer name is the name of the fund manager (entity). The authorised management company who can be responsible and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling; — Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer name is the name of the depositary entity; — Regarding CIC 87 and CIC 88, this item shall contain ‘Loans to AMSB members’ or ‘Loans to other natural persons’, according to its nature, as those assets are not required to be individualised; — Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower; — This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0210 | Issuer Code | Identification of the issuer code using the Legal Entity Identifier (LEI) if available. If none is available this item shall not be reported. The following shall be considered: — Regarding CIC category 4 – Collective Investments Undertakings, the issuer code is the code of the fund manager (entity). The authorised management company who can be responsible and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling; — Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer code is the code of the depositary entity — Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower; — This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property; — This item is not applicable to CIC 87 and CIC 88. |
| C0220 | Type of issuer code | Identification of the type of code used for the ‘Issuer Code’ item. One of the options in the following closed list shall be used: 1 – LEI 9 – None This item is not applicable to CIC 87 and CIC 88. This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0230 | Issuer Sector | Identify the economic sector of issuer based on the latest version of the Statistical classification of economic activities in the European Community (‘NACE’) code (as published in an EC Regulation). For NACE sections A to N full four-digit reporting of the NACE codes is required, i.e. the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’). For the remaining sections the letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘P’ or ‘P8501’ would be acceptable). The following shall be considered: — Regarding CIC category 4 – Collective Investments Undertakings, the issuer sector is the sector of the fund manager; — Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer sector is the sector of the depositary entity; — Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower; — This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property; — This item is not applicable to CIC 87 and CIC 88. |
| C0240 | Issuer Group | Name of issuer’s ultimate parent entity. For collective investment undertakings the ultimate parent of the fund manager (entity) shall be reported. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name. The following shall be considered: — Regarding CIC category 4 – Collective Investments Undertakings, the ultimate parent of the fund manager (entity) shall be reported; — Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entity — Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the group relation relates to the borrower; — This item is not applicable for CIC 87 and CIC 88; — This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property; — This item is not applicable for bonds issued by: — a central government, — a local government, — a government agency, — a central bank, — the group/entity itself, — a supranational organisation (as long as no issuer group exists). |
| C0250 | Issuer Group Code | Issuer group’s identification using the LEI if available. If none is available, this item shall not be reported. The following shall be considered: — Regarding CIC category 4 – Collective Investments Undertakings, the ultimate parent of the fund manager (entity) shall be reported; — Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entity; — Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the group relation relates to the borrower; — This item is not applicable for CIC 87 and CIC 88; — This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property; — This item is not applicable for bonds issued by: — a central government — a local government, — a government agency, — a central bank, — the group/entity itself, — a supranational organization (as long as no issuer group exists). |
| C0260 | Type of issuer group code | Identification of the code used for the ‘Issuer Group Code’ item. One of the options in the following closed list shall be used: 1 – LEI 9 – None |
| C0270 | Issuer Country | ISO 3166–1 alpha–2 code of the country of localisation of the issuer. The localisation of the issuer is assessed by the address of the entity issuing the asset. The following shall be considered: — Regarding CIC category 4 – Collective Investments Undertakings, the issuer country is the country of the fund manager (entity); — Regarding CIC category 7 – Cash and deposits (excluding CIC 71 and CIC 75), the issuer country is the country of the depositary entity; — Regarding CIC category 8 – Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower; — This item is not applicable to CIC 87 and CIC 88; — This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 – Property. One of the options shall be used: — ISO 3166–1 alpha–2 code; — XA: Supranational issuers (public institutions established by a commitment between national states, e.g. securities issued by a multilateral development bank as referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or securities issued by an international organisation referred to in Article 118 of Regulation (EU) No 575/2013, with exemption of European Union Institutions); — EU: European Union Institutions (as defined in Article 13 of the Treaty on European Union. |
| C0280 | Currency | Identify the ISO 4217 alphabetic code of the currency of the issue. The following shall be considered: — This item is not applicable for CIC 87 and CIC 88, as those assets are not required to be individualised), CIC 75, CIC 09 and for CIC 95 Plant and equipment (for own use) for the same reason; — Regarding CIC Category 9 – Property, excluding CIC 95 Plant and equipment (for own use), the currency corresponds to the currency in which the investment was made. |
| C0290 | CIC | Complementary Identification Code used to classify assets, as set out in Annex VI – CIC Table of this Regulation. When classifying an asset using the CIC table, undertakings shall take into consideration the most representative risk to which the asset is exposed to. |
| C0292 | SCR calculation approach for CIU | One of the options in the following closed list shall be used: 1 - CIUs for which a full look-through was applied for the purposes of SCR calculation in accordance with Article 84(1) of Delegated Regulation (EU) 2015/35; 2 - CIUs for which the ‘simplified’ look-through was applied on the basis of the target underlying asset allocation or last reported asset allocation and for which the data groupings are used in accordance with Article 84(3) of Delegated Regulation (EU) 2015/35; 3 - CIUs for which the ‘simplified’ look-through was applied on the basis of the target underlying asset allocation or last reported asset allocation and for which no data groupings are used in accordance with Article 84(3) of Delegated Regulation (EU) 2015/35; 4 - CIUs for which for the ‘equity risk type 2’ was applied in accordance with Article 168(3) of Delegated Regulation (EU) 2015/35; 9 - Not applicable. The look-through options of this item shall reflect the approach taken for the SCR calculation. For the purposes of reporting the information on look-through required in template S.06.03 the look-through information is required considering the thresholds defined in the general comments of that template. This item is only applicable to CIC category 4 – Collective Investment Undertakings. |
| C0293 | Bail-in rules | Identify if the asset is subject to bail-in rules, in line with Articles 43 and 44 of Directive 2014/59/EU (the Bank Recovery and Resolution Directive – BRRD). One of the options in the following closed list shall be used: 1 – Yes; 2 – No; 9 – Not applicable. |
| C0294 | Regional Governments and Local Authorities (RGLA) | Identify assets issued or guaranteed by Regional Governments and Local Authorities (RGLA) listed and not listed in the Implementing Regulation (EU) 2015/2011, regarding assets classifiable with CIC 13 and 14. One of the options in the following closed list shall be used: 1 – Listed in Implementing Regulation (EU) 2015/2011; 2 – Not listed in Implementing Regulation (EU) 2015/2011; 9 – Not applicable. |
| C0295 | Crypto-assets | Identify assets linked to crypto-assets. Crypto-asset means a digital representation of value or rights which may be transferred and stored electronically, using distributed ledger technology or similar technology. One of the options in the following closed list shall be used: 1 – Electronic money token – a type of crypto-asset the main purpose of which is to be used as a means of exchange and that purports to maintain a stable value by referring to the value of a fiat currency that is legal tender; 2 – Asset-referenced token – a type of crypto-asset that purports to maintain a stable value by referring to the value of several fiat currencies that are legal tender, one or several commodities or one or several crypto-assets, or a combination of such assets; 3 - Utility token – a type of crypto-asset which is intended to provide digital access to a good or service, available on DLT, and is only accepted by the issuer of that token; 4 – Other crypto-assets 5 – No. |
| C0296 | Property type | Identify property type, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps. One of the options in the following closed list shall be used: 1 – Residential, e.g. multi-household premises; 2 – Retail, e.g. hotels, restaurants, shopping malls; 3 – Offices, e.g. a property primarily used as professional or business offices; 4 – Industrial, e.g. property used for the purposes of production, distribution and logistics; 5 – Other types of commercial property; 9 – Not applicable. If a property has a mixed use, it shall be considered as different properties (based for example on the surface areas dedicated to each use) whenever it is feasible to make such breakdown, otherwise, the property can be classified according to its dominant use. This item is only applicable to CIC category 9 – Property |
| C0297 | Property location | Identify property location, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps. One of the options in the following closed list shall be used: 1 – Prime; 2 – Non-prime; 9 – Not applicable. This item is only applicable to CIC category 9 – Property |
| C0300 | Infrastructure investment | Identify if the asset is an infrastructure investment as defined in Article 1(55a) and (55b) of Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used: 1 – Not an infrastructure investment; 2 – Infrastructure non-qualifying: Government Guarantee (Government, Central bank, Regional government or local authority); 3 – Infrastructure non-qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority); 4 – Infrastructure non-qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation); 9 – Infrastructure non-qualifying: Other non-qualifying infrastructure loans or investments, not classified under the above categories; 12 – Infrastructure qualifying: Government Guarantee (Government, Central bank, Regional government or local authority); 13 – Infrastructure qualifying: Government Supported including Public Finance initiative (Government, Central bank, Regional government or local authority); 14 – Infrastructure qualifying: Supranational Guarantee/Supported (ECB, Multilateral development bank, International organisation); 19 – Infrastructure qualifying: Other qualifying infrastructure investments, not classified in the above categories; 20 – European Long-Term Investment Fund (ELTIF investing in infrastructure assets and ELTIF investing in other – non infrastructure – assets). |
| C0310 | Holdings in related undertakings, including participations | Only applicable to CIC categories 3 – Equity and 4 – Collective Investment Undertakings. Identify if an equity and other share is a participation. One of the options in the following closed list shall be used: 1 – Not a participation; 2 – Is a participation in which the look though approach in accordance with Article 84 of Delegated Regulation (EU) 2015/35 is applied; 3 – Is a participation in which the look though approach in accordance with Article 84 of Delegated Regulation (EU) 2015/35 is not applied. |
| C0320 | External rating | Applicable at least to CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, CIC 87 and CIC 88, where available. This is the issue rating of the asset at the reporting reference date as provided by the nominated credit assessment institution (ECAI). If an issue rating is not available, the item shall be left blank. |
| C0330 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0320, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is made to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 on credit rating agencies). Applicable at least to CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities and 8 – Mortgages and Loans, (other than CIC 87 and CIC 88), where available. This item shall be reported where External rating (C0320) is reported. In case ‘No ECAI has been nominated and a simplification is used to calculate the SCR’, the External rating (C0320) shall be left blank and in Credit quality step (C0340) one of the following options shall be used: 2a; 3a or 3b. |
| C0340 | Credit quality step | Applicable to any asset for which Credit quality step needs to be attributed for the purpose of SCR calculation. Identify the credit quality step attributed to the asset, as defined by Article 109a(1) of Directive 2009/138/EC, by applying the mapping table prescribed in Implementing Regulation (EU) 2016/1800. The credit quality step shall in particular reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula. This item is not applicable to assets for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported. One of the options in the following closed list shall be used: 0 – Credit quality step 0; 1 – Credit quality step 1; 2 – Credit quality step 2; 2a – Credit quality step 2 due to the application of Article 176a of Delegated Regulation (EU) 2015/35 for unrated bonds and loans; 3 – Credit quality step 3; 3a – Credit quality step 3 due to the application of the simplified calculation under Article 105a of Delegated Regulation (EU) 2015/35; 3b – Credit quality step 3 due to the application of Article 176a of Delegated Regulation (EU) 2015/35 for unrated bonds and loans; 4 – Credit quality step 4; 5 – Credit quality step 5; 6 – Credit quality step 6; 9 – No rating available. |
| C0350 | Internal rating | Applicable at least to CIC categories 1- Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities and 8 – Mortgages and Loans, (other than CIC 87 and CIC 88), where available. Internal rating of assets for undertakings using internal ratings. For undertakings applying a matching adjustment the item shall be reported to the extent that the internal ratings are used to calculate the fundamental spread referred to in Article 77c(2) of Directive 2009/138/EC. |
| C0360 | Duration | Only applicable to CIC categories 1 – Government bonds, 2 – Corporate bonds, 4 – Collective Investments Undertakings (when applicable, e.g. for collective investment undertaking mainly invested in bonds), 5 – Structured notes and 6 – Collateralised securities. Asset duration, defined as the ‘residual modified duration’ (modified duration calculated based on the remaining time for maturity of the security, counted from the reporting reference date). For assets without fixed maturity the first call date shall be used but the probability of the call option being exercised shall be taken into account. The duration shall be calculated based on economic value. |
| C0370 | Unit Solvency II price | Amount in reporting currency for the asset, if relevant. This item shall be reported if a ‘quantity’ (C0130) has been provided in the first part of the template (‘Information on positions held’). This item shall not be reported if item Unit percentage of par amount Solvency II price (C0380) is reported. |
| C0380 | Unit percentage of par amount Solvency II price | Amount in percentage of par value, clean price without accrued interest, for the asset, if relevant. This item shall be reported if a ‘par amount’ information (C0140) has been provided in the first part of the template (‘Information on positions held’) except for CIC 71 and CIC category 9 – Property. This item shall not be reported if item Unit Solvency II price (C0370) is reported. |
| C0390 | Maturity date | Only applicable for CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, and 8 – Mortgages and Loans, CIC 74 and CIC 79. Identify the ISO 8601 (yyyy–mm–dd) code of the maturity date. It corresponds always to the maturity date, even for callable securities. The following shall be considered: — For perpetual securities use ‘9999–12–31’; — For CIC 87 and CIC 88, the weighted (based on the loan amount) remaining maturity is to be reported. |
S.06.03 – Collective investment undertakings – look–through approach
General comments:
This section relates to quarterly and annual submission of information for individual entities.
This template contains information on the look through of collective investment undertakings or investments packaged as funds, including when they are participations, by underlying asset category, country of issue and currency. Considering proportionality and specific instructions of the template, the look through shall be performed until the asset categories, countries and currencies are identified. In case of funds of funds the look–through shall follow the same approach.
The template shall include information corresponding to 100 % of the value invested in collective investment undertakings. However, for the identification of countries the look–through shall be implemented in order to identify the exposures of 90 % of the total value of the funds minus the amounts relating to CIC 8 and 9, and for the identification of currencies the look–through shall be implemented in order to identify the exposures of 90 % of the total value of the funds. Undertakings shall ensure that the 10 % not identified by country is diversified across geographical areas, for example that not more than 5 % is in one single country. The look-through shall be applied by undertakings starting from the major, considering the amount invested, to the lowest single fund and the approach shall be kept consistent over time.
Quarterly information shall only be reported when the ratio of collective investments undertakings held by the undertaking to total investments, measured as the ratio between item C0010/R0180 of template S.02.01 plus collective investments undertakings included in item C0010/R0220 of template S.02.01 plus collective investments undertakings included in item C0010/R0090 and the sum of item C0010/R0070 and C0010/RC0220 of template S.02.01, is higher than 30 %.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
| ITEM | INSTRUCTIONS | |
| C0010 | Collective Investments Undertaking ID Code | Asset ID code using the following priority: — ISO 6166 code of ISIN when available — Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC) — Code attributed by the undertaking, when the options above are not available, and must be consistent over time |
| C0020 | Collective Investments Undertaking ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used: 1 – ISO/6166 for ISIN 2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies) 3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange) 4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number) 5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities) 6 – BBGID (The Bloomberg Global ID) 7 – Reuters RIC (Reuters instrument code) 8 – FIGI (Financial Instrument Global Identifier) 9 – Other code by members of the Association of National Numbering Agencies 99 – Code attributed by the undertaking |
| C0030 | Underlying asset category | Identify the assets categories, receivables and derivatives within the collective investment undertaking. One of the options in the following closed list shall be used: 1 – Government bonds 2 – Corporate bonds 3L – Listed equity 3X – Unlisted equity 4 – Collective Investment Undertakings 5 – Structured notes 6 – Collateralised securities 7 – Cash and deposits 8 – Mortgages and loans 9 – Properties 0 – Other investments (including receivables) A – Futures B-Call Options C – Put Options D – Swaps E – Forwards F – Credit derivatives L – Liabilities Category ‘4 – Collective Investment Undertakings’ shall be used only for non–material residual values for both ‘funds of funds’ and any other fund. |
| C0040 | Country of issue | Breakdown of each asset category identified in C0030 by issuer country. Identify the country of localisation of the issuer. The localisation of the issuer is assessed by the address of the entity issuing the asset. One of the options shall be used: — ISO 3166–1 alpha–2 code — XA: Supranational issuers — EU: European Union Institutions — AA: aggregated countries due to application of threshold This item is not applicable to Categories 7, 8 and 9 as reported in C0030. |
| C0050 | Currency | Identify whether the currency of the asset category is the reporting currency or a foreign currency. All other currencies than the reporting currency are referred to as foreign currencies. One of the options in the following closed list shall be used: 1 — Reporting currency 2 — Foreign currency 3 — Aggregated currencies due to application of threshold |
| C0060 | Total amount | Total amount invested by asset category, country and currency through collective investment undertakings. For liabilities a positive amount shall be reported, unless the item is a derivative liability. For derivatives the Total amount can be positive (if an asset) or negative (if a liability). |
S.06.04 – Climate change-related risks to investments
General comments:
This template shall be reported in case of regular reporting even if no KPI is provided. In case no KPI is reported a justification is necessary to be provided in R0040/C0010 and/or R0050/C0010.
This section relates to annual submission of information for individual entities.
This template contains information on the share of investments exposed to climate change-related transition and physical risk. As an input to computing the share of investments exposed to transition risk, undertakings are required to report four-digit level NACE codes for NACE sections A to N in the List of assets S.06.02. For physical risk, undertakings are required to report in a standardised manner on the location of properties in the List of assets S.06.02.
| R0010/C0010 | Climate change-related transition risk – KPI | Proportion of the Solvency II value of investments exposed to transition risk, in relation to total of investments. Undertakings may use their own methodology to compute the KPI. The identification of investments exposed to transition risk shall be consistent with the classification made and reported through the four-digit level NACE codes for NACE sections A to N, as prescribed in S.06.02. |
| R0020/C0010 | Climate change-related physical risk – KPI | Proportion of the Solvency II value of property exposed to physical risk, in relation to total of property. Undertakings can use their own methodology to compute the KPI. The identification of properties exposed to physical risk should be consistent with the identification made, in C0190 Item Title in S.06.02. |
| R0030/C0010 | Justification for not reporting climate change-related transition risk – KPI | Explanation of why the KPI on climate change-related transition risk was not reported (e.g. not material). |
| R0040/C0010 | Justification for not reporting climate change-related physical risk – KPI | Explanation of why the KPI on climate change-related physical risk was not reported (e.g. not material). |
S.07.01 – Structured products
General comments:
This section relates to annual submission of information for individual entities.
The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation.
This template contains an item–by–item list of structured products held directly by the undertaking in its portfolio (i.e. not on a look–through basis). Structured products are defined as assets falling into the asset categories 5 (Structured notes) and 6 (Collateralised securities).
This template shall only be reported when the amount of structured products, measured as the ratio between assets classified as asset categories 5 (Structured notes) and 6 (Collateralised securities) as defined in Annex IV – Asset Categories of this Regulation and the sum of item C0010/R0070 and C0010/R0220 of template S.02.01, is higher than 5 %.
In some cases the types of structured products (C0070) identify the derivative embedded in the structured product. In this case this classification shall be used when the structured product has the referred derivative embedded.
| ITEM | INSTRUCTIONS | |
| C0040 | Asset ID Code | The Identification code of the structured product, as reported in S.06.02. using the following priority: — ISO 6166 ISIN when available — Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC) — Code attributed by the undertaking, when the options above are not available. The code used shall be kept consistent over time and shall not be reused for other product. When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code + EUR’ |
| C0050 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used: 1 – ISO/6166 for ISIN 2 – CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies) 3 – SEDOL (Stock Exchange Daily Official List for the London Stock Exchange) 4 – WKN (Wertpapier Kenn–Nummer, the alphanumeric German identification number) 5 – Bloomberg Ticker (Bloomberg letters code that identify a company’s securities) 6 – BBGID (The Bloomberg Global ID) 7 – Reuters RIC (Reuters instrument code) 8 – FIGI (Financial Instrument Global Identifier) 9 – Other code by members of the Association of National Numbering Agencies 99 – Code attributed by the undertaking When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. |
| C0060 | Collateral type | Identify the type of collateral, using the assets categories defined in Annex IV – Assets Categories. One of the options in the following closed list shall be used: 1 – Government bonds 2 – Corporate bonds 3 – Equity 4 – Collective Investment Undertakings 5 – Structured notes 6 – Collateralised securities 7 – Cash and deposits 8 – Mortgages and loans 9 – Properties 0 – Other investments 10 – No collateral When more than one category of collateral exists for one single structured product, the most representative one shall be reported. |
| C0070 | Type of structured product | Identify the type of structure of the product. One of the options in the following closed list shall be used: 1 – Credit linked notes Security or deposit with an embedded credit derivative (e.g. credit default swaps or credit default options) 2 – Constant maturity swaps (security with an embedded interest rate swap (‘IRS’), where the floating interest portion is reset periodically according to a fixed maturity market rate.) 3 – Asset backed securities (security that has an asset as collateral.) 4 – Mortgage backed securities (security that has real estate as collateral.) 5 – Commercial mortgage backed securities (security that has real estate as collateral such as retail properties, office properties, industrial properties, multifamily housing and hotels.) 6 – Collateralised debt obligations (structured debt security backed by a portfolio consisting of secured or unsecured bonds issued by corporate or sovereign obligators, or secured or unsecured loans made to corporate commercial and industrial loan costumers of lending banks.) 7 – Collateralised loan obligations (security that has as underlying a trust of a portfolio of loans where the cash–flows from the security are derived from the portfolio.) 8 – Collateralised mortgage obligations (investment–grade security backed by a pool of bonds, loans and other assets.) 9 – Interest rate–linked notes and deposits 10 – Equity–linked and Equity Index Linked notes and deposits 11 – FX and commodity–linked notes and deposits 12 – Hybrid linked notes and deposits (it includes real estate and equity securities) 13 – Market–linked notes and deposits 14 – Insurance–linked notes and deposits, including notes covering Catastrophe and Weather Risk as well as Mortality Risk 99 – Others not covered by the previous options |
| C0080 | Capital protection | Identify whether the product has capital protection. One of the options in the following closed list shall be used: 1 – Full capital protection 2 – Partial capital protection 3 – No capital protection |
| C0090 | Underlying security/index/portfolio | Describe the type of underlying. One of the options in the following closed list shall be used: 1 – Equity and Funds (a selected group or basket of equities) 2 – Currency (a selected group or basket of currencies) 3 – Interest rate and yields (bond indices, yield curves, differences in prevailing interest rates on shorter and longer–term maturities, credit spreads, inflation rates and other benchmarks related to interest rates or yield) 4 – Commodities (a selected, basic good or group of goods) 5 – Index (performance of a selected index) 6 – Multi (allowing for a combination of the possible types listed above) 9 – Others not covered by the previous options (e.g. other economic indicators) |
| C0100 | Callable or Putable | Identify whether the product has call and/or put features, or both, if applicable. One of the options in the following closed list shall be used: 1 – Call by the buyer 2 – Call by the seller 3 – Put by the buyer 4 – Put by the seller 5 – Any combination of the previous options 6 – Not applicable |
| C0110 | Synthetic structured product | Identify if it is a structured products without any transfer of assets (e.g. products that will not give rise to any delivery of assets, except cash, if an adverse/favourable event occurs). One of the options in the following closed list shall be used: 1 – Structured product without any transfer of asset 2 – Structured product with transfer of asset |
| C0120 | Prepayment structured product | Identify if it is a structured products which have the possibility of prepayment, considered as an early unscheduled return of principal. One of the options in the following closed list shall be used: 1 – Prepayment structured product 2 – Not a prepayment structured product |
| C0130 | Collateral value | Total amount of collateral attached to the structured product despite the nature of the collateral. In case of collateralisation on a portfolio basis, only the value referred to the single contract must be reported and not the total. |
| C0140 | Collateral portfolio | This item informs if the collateral to the structured product covers only one structured product or more than one structured product that is held by the undertaking. Net positions refer to the positions held on structured products. One of the options in the following closed list shall be used: 1 – Collateral calculated on the basis of net positions resulting from a set of contracts 2 – Collateral calculated on the basis of a single contract 10 – No collateral |
| C0150 | Fixed annual return | Identify the coupon (reported as a decimal), if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). |
| C0160 | Variable annual return | Identify variable rate of return, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). It is most commonly identified as a benchmark market rate plus a spread, or as dependent on the performance of a portfolio or index (underlying dependent) or more complex returns set by the path of the underlying asset’s price (path dependent), among others. When needed this item may be reported as a string to reflect how the return is calculated. |
| C0170 | Loss given default | The percentage (reported as a decimal) of the invested amount that will not be recovered following default, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). If information is not defined in the contract this item shall not be reported. This item is not applicable for non–credit structured product. |
| C0180 | Attachment point | The contractually defined loss percentage (reported as a decimal) above which the losses affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product. |
| C0190 | Detachment point | The contractually defined loss percentage (reported as a decimal) above which the losses seize to affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non–credit structured product. |
S.08.01 – Open derivatives
General comments:
This section relates to quarterly and annual submission of information for individual entities.
The derivatives categories referred to in this template are the ones defined in Annex IV – Assets Categories of this Regulation and references to CIC codes refer to Annex VI – CIC table of this Regulation. This template contains an item–by–item list of derivatives held directly by the undertaking (i.e. not on a look–through basis), classifiable as asset categories A to F.
This template covers derivatives traded on a stock exchange or equivalent centralised market, as well as derivatives traded over-the-counter.
When a derivative is traded on a stock exchange or equivalent centralised market, the counterparty is that a stock exchange or equivalent centralised market and not the end-counterparty, as is the case for derivatives traded over-the-counter.
Derivatives are considered assets if their Solvency II value is positive or zero. They are considered liabilities if their Solvency II value is negative. Both derivatives considered as assets or considered as liabilities shall be included.
Information shall include all derivatives contracts that existed during the reporting period and were not closed prior to the reporting reference date.
If there are frequent trades on the same derivative, resulting in multiple open positions, the derivative can be reported on an aggregated or net basis, as long as all the relevant characteristics are common and following the specific instruction for each relevant item.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
A derivative is a financial instrument or other contract with all three of the following characteristics:
- a) Its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index of prices or rates, credit rating or credit index, or other variable, provided in the case of a non–financial variable that the variable is not specific to a party to the contract (sometimes called the ‘underlying’).
- b) It requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be expected to have a similar response to changes in market factors.
- c) It is settled at a future date.
This template comprises two tables: Information on positions held and Information on derivatives.
On the table Information on positions held, each derivative shall be reported separately in as many rows as needed in order to properly fill in all non-monetary variables, requested in that table. If for the same derivative two values can be attributed to one variable, then this derivative needs to be reported in more than one line.
In particular, for derivatives that have more than a pair of currencies, it shall be split into the pair components and reported in different rows.
On the table Information on derivative, each derivative shall be reported separately, with one row for each derivative, filling in all variables requested in that table.
The information regarding the External rating (C0290) and Nominated ECAI (C0300) may be limited (not reported) in the following circumstances:
- a) through a decision of the national supervisory authority under Article 35(6) and (7) of Directive 2009/138/EC; or
- b) through a decision of the national supervisory authority in the cases where the insurance and reinsurance undertakings have in place outsourcing arrangements in the area of investments that lead to this specific information not being available directly to the undertaking.
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