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 | Derivative ID Code | Derivative 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 |
| C0041 | Unique Transactions Identifier | Identify the Trade IDs used in the trade reports to trade repositories according to Regulation (EU) No 648/2012 on OTC derivatives, central counterparties and trade repositories. As many Trade IDs as needed to build the position being reported should be reported in this item. The trade IDs shall be reported separated by commas. This item shall be reported with ‘No ID’ when the derivative not in the scope of Regulation (EU) No 648/2012. |
| C0050 | Derivative ID Code type | Type of ID Code used for the ‘Derivative 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 |
| C0060 | Portfolio | Distinction between life, non–life, shareholder’s funds, general (no split) and ring-fenced funds. Underlying derivatives of life technical provisions shall be assigned to life portfolio and underlying derivatives 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 fund 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 derivatives 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.06.02, S.14.01). It shall not be re–used for a different fund. |
| C0080 | Derivatives held in unit linked and index linked contracts | Identify the derivatives 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 |
| C0090 | Instrument underlying the derivative | ID Code of the instrument (asset or liability) underlying the derivative contract. This item is to be provided only for derivatives that have a single or multiple underlying instruments in the undertakings’ portfolio. An index is considered a single instrument and shall be reported. Identification code of the instrument underlying the derivative 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 for the underling instrument when the options above are not available and must be unique and consistent over time for that instrument; — ‘Multiple assets/liabilities’, if the underlying assets or liabilities are more than one. If the underlying instrument is an index, then the code of the index shall be reported. |
| C0100 | Type of code of asset or liability underlying the derivative | Type of ID Code used for the ‘Instrument underlying the derivative’ 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 in case that none of the above options are available. This option shall also be used for the cases of ‘Multiple assets/liabilities’ and indexes |
| C0110 | Use of derivative | Describe the use of the derivative (micro/macro hedge, efficient portfolio management). Micro hedge refers to derivatives covering a single financial instrument (asset or liability), forecasted transaction or other liability. Macro hedge refers to derivatives covering a set of financial instruments (assets or liabilities), forecasted transactions or other liabilities. Efficient portfolio management refers usually to operations where the manager wishes to improve a portfolio’ income by exchanging a (lower) cash–flow pattern by another with a higher value, using a derivative or set of derivatives, without changing the asset’ portfolio composition, having a lower investment amount and less transaction costs. One of the options in the following closed list shall be used: 1 – Micro hedge 2 – Macro hedge 3 – Matching assets and liabilities cash–flows used in the context of matching adjustment portfolios 4 – Efficient portfolio management, other than ‘Matching assets and liabilities cash–flows used in the context of matching adjustment portfolios’ |
| C0131 | Notional amount of the derivative | The amount covered or exposed to the derivative, reported in the original currency. For futures and options corresponds to contract size multiplied by the trigger value and by the number of contracts reported in that line. For swaps and forwards it corresponds to the contract amount of the contracts reported in that line. When the trigger value corresponds to a range, the average value of the range shall be used. The notional amount refers to the amount that is being hedged/invested (when not covering risks). If several trades occur, it shall be the net amount at the reporting date. |
| C0140 | Buyer/Seller | Only for futures and options, swaps and credit derivatives contracts. Identify whether the derivative contract was bought or sold. The buyer and seller position for swaps is defined relatively to the security or notional amount and the swap flows. A seller of a swap owns the security or notional amount at the contract inception and agrees to deliver during the contract term that security or notional amount, including any other outflows related to the contract, when applicable. A buyer of a swap will own the security or the notional amount at the end of the derivatives contact and will receive during the contract term that security or notional amount, including any other inflows related to the contract, when applicable. One of the options in the following closed list shall be used, with the exception of Interest Rate Swaps: 1 – Buyer 2 – Seller For interest rate swaps one of the options in the following closed list shall be use: 3 – FX–FL: Deliver fixed–for–floating 4 – FX–FX: Deliver fixed–for–fixed 5 – FL–FX: Deliver floating–for–fixed 6 – FL–FL: Deliver floating–for–floating |
| C0150 | Premium paid to date | The payment made (if bought), for options and also up–front and periodical premium amounts paid for swaps, since the moment the undertaking entered into the derivative contract. |
| C0160 | Premium received to date | The payment received (if sold), for options and also up–front and periodical premium amounts received for swaps, since the moment the undertaking entered into the derivative contract. |
| C0170 | Number of contracts | Number of similar derivative contracts reported in the line. It shall be the number of contracts entered into. For Over–The–Counter derivatives, e.g., one swap contract, ‘1’ shall be reported, if ten swaps with the same characteristics, ‘10’ shall be reported. The number of contracts can be non-integer, when there is a need to split contracts. The number of contracts shall be the ones outstanding at the reporting date. |
| C0180 | Contract size | Number of underlying assets in the contract (e.g. for equity futures it is the number of equities to be delivered per derivative contract at maturity, for bond futures it is the reference amount underlying each contract). The way the contract size is defined varies according with the type of instrument. For futures on equities it is common to find the contract size defined as a function of the number of shares underlying the contract. For futures on bonds, it is the bond nominal amount underlying the contract. Only applicable for futures and options. |
| C0190 | Maximum loss under unwinding event | Maximum amount of loss if an unwinding event occurs. Applicable to CIC category F. Where a credit derivative is 100 % collateralised, the maximum loss under an unwinding event is zero. |
| C0200 | Swap outflow amount | Amount delivered under the swap contract (other than premiums), during the reporting period. Corresponds to interest paid for IRS and amounts delivered for currency swaps, credit swaps, total return swaps and other swaps. In the cases where the settlement is made on a net basis then only one of the items C0200 and C0210 shall be reported. |
| C0210 | Swap inflow amount | Amount received under the swap contract (other than premiums), during the reporting period. Corresponds to interest received for IRS and amounts received for currency swaps, credit swaps, total return swaps and other swaps. In the cases where the settlement is made on a net basis then only one of the items C0200 and C0210 shall be reported. |
| C0220 | Initial date | Identify the ISO 8601 (yyyy–mm–dd) code of the date when obligations under the contract come into effect. When various dates occur for the same derivative, report only the one regarding the first trade date of the derivative and only one row for each derivative (no different rows for each trade) reflecting the total amount invested in that derivative considering the different dates of trade. In case of novation, the novation date becomes the trade date for that derivative. |
| C0230 | Duration | Derivative duration, defined as the residual modified duration, for derivatives for which a duration measure is applicable. Calculated as the net duration between in and out flows from the derivative, when applicable. |
| C0240 | Solvency II value | Value of the derivative as of the reporting date calculated as defined by Article 75 of Directive 2009/138/EC. It can be positive, negative or zero. |
| C0250 | Valuation method | Identify the valuation method used when valuing derivatives. One of the options in the following closed list shall be used: 1 – quoted market price in active markets for the same assets or liabilities 2 – quoted market price in active markets for similar assets or liabilities 3 – alternative valuation methods 6 – market valuation according to Article 9(4) of Delegated Regulation (EU) 2015/35 |
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| ITEM | INSTRUCTIONS | |
| Information on derivatives | Information on derivatives | Information on derivatives |
| C0040 | Derivative ID Code | Derivative 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 |
| C0050 | Derivative ID Code type | Type of ID Code used for the ‘Derivative 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 |
| C0260 | Counterparty Name | Name of the counterparty of the derivative. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name. The following shall be considered: — Name of the exchange market for exchanged traded derivatives; or — Name of Central Counterparty (‘CCP’) for Over–The–Counter derivatives where they are cleared through a CCP; or — Name of the contractual counterparty for the other Over–The–Counter derivatives. |
| C0270 | Counterparty Code | Identification code of the counterparty using the following priority: — LEI, when available — Code attributed by the undertaking, when LEI is not available, which shall be consistent over time This item is applicable to all counterparties, including for derivatives cleared through a central counterparty, in which case the Counterparty code refers to that central counterparty. |
| C0280 | Type of counterparty code | Identification of the code used for the ‘Counterparty Code’ item. One of the options in the following closed list shall be used: 1 – LEI 2 – Specific code |
| C0290 | External rating | Only applicable to Over–The–Counter derivatives. The rating of the counterparty of the derivative at the reporting reference date as provided by the nominated credit assessment institution (ECAI). This item is not applicable to derivatives for which undertakings using internal model use internal ratings. If undertakings using internal model do not use internal rating, this item shall be reported. If an issuer rating is not available, the item shall be left blank. |
| C0300 | Nominated ECAI | Identify the credit assessment institution (ECAI) giving the external rating in C0290, 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 to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies). — This item shall be reported when External rating (C0290) is reported. |
| C0310 | Credit quality step | Identify the credit quality step attributed to the counterparty of the derivative, as defined by Article 109a(1) of Directive 2009/138/EC. The credit quality step shall reflect any readjustments to the credit quality made internally by the undertakings that use the standard formula. This item is not applicable to derivatives 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 3 – Credit quality step 3 4 – Credit quality step 4 5 – Credit quality step 5 6 – Credit quality step 6 9 – No rating available |
| C0320 | Internal rating | Internal rating of derivatives for undertakings using internal ratings. For undertakings applying a matching adjustment the internal rating 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. |
| C0330 | Counterparty group | Only applicable to Over–The–Counter derivatives, regarding contractual counterparties other than an exchange market and Central Counterparty (CCP). Name of the ultimate parent entity of counterparty. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name. |
| C0340 | Counterparty group code | Only applicable to Over–The–Counter derivatives, regarding contractual counterparties other than an exchange market and Central Counterparty (CCP). Identification code of the counterparty using the following priority: — LEI, when available — Code attributed by the undertaking, when LEI is not available, which shall be consistent over time When not applicable, this item shall not be reported. |
| C0350 | Type of counterparty group code | Identification of the code used for the ‘Counterparty group Code’ item. One of the options in the following closed list shall be used: 1 – LEI 2 – Specific code |
| C0360 | Contract name | Name of the derivative contract. |
| C0370 | Currency | Identify the ISO 4217 alphabetic code of the currency of the derivative, i.e., currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD, currency for which the notional amount is expressed contractually for FX swap, etc.). |
| C0371 | Currency of price | The ISO 4217 alphabetic code of the currency of the price of the derivative shall be identify, i.e. currency of the amount exchanged against the notional amount of the derivative. For example, if the undertaking is paying (or receiving) currency A for the notional amount (currency B), the currency of the price is A. The currency of the notional amount is B, reported in (C0370). |
| C0380 | CIC | Complementary Identification Code used to classify assets, as set out in Annex – VI CIC Table of this Regulation. When classifying derivatives using the CIC table, undertakings shall take into consideration the most representative risk to which the derivative is exposed to. |
| C0390 | Trigger value | Reference price for futures, strike price for options (for bonds, price shall be a percentage of the par amount), currency exchange rate or interest rate for forwards, etc. Not applicable to CIC D3 – Interest rate and currency swaps. For CIC F1 – Credit default swaps it shall not be completed if not possible. In the case of more than one trigger over time, report the next trigger occurring. When the derivative has a range of trigger values, report the set separated by comma ‘,’ if the range is not continuous and report the range separated by ‘–’ if it is continuous. |
| C0400 | Unwind trigger of contract | The event that causes the unwinding of the contract, out of the regular expiration or term conditions, shall be identified. One of the options in the following closed list shall be used: 1 – Bankruptcy of the underlying or reference entity 2 – Adverse fall in value of the underlying reference asset 3 – Adverse change in credit rating of the underlying assets or entity 4 – Novation, i.e. the act of replacing an obligation under the derivative with a new obligation, or replacing a party of the derivative with a new party 5 – Multiple events or a combination of events 6 – Other events not covered by the previous options 9 – No unwind trigger |
| C0430 | Maturity date | Identify the contractually defined ISO 8601 (yyyy–mm–dd) code of the date of close of the derivative contract, whether at maturity date, expiring date for options (European or American), etc. |
| C0440 | Swap delivered | Identify what the undertaking delivers under the swap contract (E.g. Euribor + 0,5 %; 2,3 %; EUR). |
| C0450 | Swap received | Identify what the undertaking receives under the swap contract (E.g. Euribor + 0,5 %; 2,3 %; EUR). |
S.09.01 – Information on gains/income and losses in the period
General comments:
This section relates to annual submission of information for individual entities.
This template contains information on gains/income and losses by asset category (including derivatives). i.e., no item–by–item reporting is required. The asset categories considered in this template are the ones defined in Annex IV – Assets Categories.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
| ITEM | INSTRUCTIONS | |
| C0040 | Asset category | Identify the asset categories present in the portfolio. Use the categories defined in Annex IV – Assets Categories. |
| C0050 | Portfolio | Distinction between life, non–life, shareholder’s funds, other internal funds, general (no split) and ring-fenced funds. Gains/income and losses regarding assets underlying life technical provisions shall be assigned to life portfolio and gains/income and losses regarding assets underlying 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. |
| C0060 | 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 |
| C0070 | Dividends | Amount of dividends earned over the reporting period, i.e. dividends received less the right to receive a dividend already recognised at the beginning of the reporting period, plus the right to receive a dividend recognised at the end of the reporting period. Applicable to dividend paying assets such as equity, preferred securities and collective investment undertakings. Includes also dividends received from assets that have been sold or matured. |
| C0080 | Interest | Amount of interest earned, i.e. interest received less accrued interest at the start of the period plus accrued interest at the end of the reporting period. Includes interest received when the asset is sold/matured or when the coupon is received. Applicable to coupon and interest paying assets such as bonds, loans and deposits. |
| C0090 | Rent | Amount of rent earned i.e. rent received less accrued rent at the start of the period plus accrued rent at the end of the reporting period. Includes also rents received when the asset is sold or matured. Only applicable to properties, regardless of the function. |
| C0100 | Net gains and losses | Net gains and losses resulting from assets sold or matured during the reporting period. The gains and losses are calculated as the difference between selling or maturity value and the value according to Article 75 of Directive 2009/138/EC at the end of the prior reporting year (or, in case of assets acquired during the reporting period, the acquisition value). The net value can be positive, negative or zero. This calculation shall be performed without interest accrued. |
| C0110 | Unrealised gains and losses | Unrealised gains and losses resulting from assets not sold nor matured during the reporting period. The unrealised gains and losses are calculated as the difference between the value according to Article 75 of Directive 2009/138/EC at the end of the reporting year end and the value according to Article 75 of Directive 2009/138/EC at the end of the prior reporting year (or, in case of assets acquired during the reporting period, the acquisition value). The net value can be positive, negative or zero. This calculation shall be performed without interest accrued. |
S.10.01 – Securities lending and repos
General comments:
This section relates to annual submission of information for individual entities.
This template contains an item–by–item list of securities lending transactions and repurchase agreements (buyer and seller) contracts, held directly by the undertaking (i.e. not on a look–through basis), which also include the liquidity swaps referred to in Article 309(2)(f) of Delegated Regulation (EU) 2015/35.
It shall be reported only when the value of the underlying securities on and off-balance sheet involved in lending or repurchase agreements, with maturity date falling after the reporting reference date represent more than 5 % of the total investments as reported in C0010/R0070 and C0010/R0220 of template S.02.01.
All contracts that are on the balance sheet or off-balance sheet shall be reported. The information shall include all contracts in the reporting period regardless of whether they were open or closed at the reporting date. For contracts which are part of a roll–over strategy, where they substantially are the same transaction, only open positions shall be reported.
A repurchase agreement (repo) is defined as the sale of securities together with an agreement for the seller to buy back the securities at a later date. Securities lending is defined as the lending of securities by one party to another, which requires that the borrower provides the lender with collateral.
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.
Each repo and securities lending contract shall be reported in as many rows as needed to provide the information requested. If for one item one option fits one part of the instrument being reported and a different option fits the other part, then the contract needs to be unbundled unless is stated otherwise in the instructions.
| ITEM | INSTRUCTIONS | |
| C0040 | Portfolio | Distinction between life, non–life, shareholder’s 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 fund 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. For assets held off–balance sheet this item shall not be reported. |
| C0050 | Fund number | Applicable to assets held in ring fenced funds or other internal funds, defined according to national markets, 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.06.02, 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. |
| C0060 | Asset category | Identify the asset category of the underlying asset lent/provided as part of a securities lending transactions or repurchase agreements. Use the categories defined in Annex IV – Assets Categories of this Regulation. |
| C0070 | Counterparty Name | Name of the counterparty of the contract. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name. |
| C0080 | Counterparty code | Identification code of the counterparty using the Legal Entity Identifier (LEI) if available. If none is available, this item shall not be reported. |
| C0090 | Type of counterparty code | Identification of the code used for the ‘Counterparty Code’ item. One of the options in the following closed list shall be used: 1 – LEI 9 – None |
| C0100 | Counterparty asset category | Identify the most significant asset category borrowed/received as part of a securities lending transactions or repurchase agreements. Use the asset categories defined in Annex IV – Assets Categories of this Regulation. |
| C0110 | Asset held in unit–linked and index–linked contracts | Identify if the underlying asset identified in C0060 is 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 |
| C0120 | Position in the contract | Identify whether the undertaking is a buyer or seller in the repo or a lender or borrower in the securities lending. One of the options in the following closed list shall be used: 1 – Buyer in a repo 2 – Seller in a repo 3 – Lender in a securities lending 4 – Borrower in a securities lending |
| C0130 | Near leg amount | Represents the following amounts: — Buyer in a repo: amount received at the contract inception — Seller in a repo: amount ceded at the contract inception — Lender in a securities lending: amount received as guarantee at the contract inception — Borrower in a securities lending: amount or market value of the securities received at the contract inception |
| C0140 | Far leg amount | This item is only applicable for repos and represents the following amounts: — Buyer in a repo: amount ceded at the contract maturity — Seller in a repo: amount received at the contract maturity |
| C0150 | Start date | Identify the ISO 8601 (yyyy–mm–dd) code of the contract start date. The contract start date refers to the date when obligations under the contract come into effect. |
| C0160 | Maturity date | Identify the ISO 8601 (yyyy–mm–dd) code of the contract closing date. Even if the contract is on an open call basis, there is usually a date when the contract expires. In these cases this date must be reported if no call occurs before. An agreement is considered closed when it has matured, a call occurs or the agreement is cancelled. For contracts with no defined maturity date report ‘9999–12–31’. |
| C0170 | Solvency II Value | This item is only applicable for contracts that are still open at the reporting date. Value of the repo or securities lending contract, following Article 75 of Directive 2009/138/EC rules for valuation of contracts. This value can be positive, negative or zero. |
S.11.01 – Assets held as collateral
General comments:
This section relates to annual submission of information for individual entities.
This template shall be reported annually only when the ratio of the value of assets held as collateral to total balance sheet exceeds 10 %.
The pool of assets that secure the investment (e.g. the pool of asset that are a collateral for covered bonds) shall not be reported in this template. The collateral covering reinsurance receivables shall be reported in S.11.01 template.
This template contains an item–by–item list of off–balance sheet assets held as collateral for covering balance sheet assets held directly by the undertaking (i.e. not on a look–through basis) at the end of the reporting period. Collaterals are considered ‘held’ when the undertaking has the ‘right of direct access to the collateral’, so the collateral has been committed to the entity and it is individually identifiable.
It consists of detailed information from the perspective of the assets held as collateral and not from the perspective of the collateral arrangement.
If there is a pool of collaterals or a collateral arrangement comprising multiple assets, as many rows as the assets in the pool or arrangement shall be reported.
This template comprises two tables: Information on positions held and Information on assets.
On the table Information on positions held, each asset held as collateral shall be reported separately in as many rows as needed in order to properly fill in all variables requested in that table. If for the same asset two values can be attributed to one variable, then this asset needs to be reported in more than one line. Real estate held as collateral of the mortgages related to individuals shall be reported in one single line.
On the table Information on assets, each asset held as collateral shall be reported separately, with one row for each asset, filling in all variables requested in that table.
All items except items ‘Type of asset for which the collateral is held’ (C0140), ‘Name of the counterparty pledging the collateral’ (C0060) and ‘Name of the group of the counterparty pledging the collateral’ (C0070) relate to information on the assets held as collateral. Item C0140 relates to the asset on the balance sheet for which the collateral is held while items C0060 and C0070 relate to the counterparty pledging the collateral.
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.
Template S.11.01 includes the off-balance sheet assets held as collateral for covering balance sheet assets held directly by the undertaking and these amounts shall also be reported in S.03.01 in C0020/R0100 to R0130.
| 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, and must be 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 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 | Name of the counterparty pledging the collateral | The name of the counterpart that is pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name. When the assets on the balance sheet for which the collateral is held are loans on policies, ‘Policyholder’ shall be reported. |
| C0070 | Name of the group of the counterparty pledging the collateral | Identify the economic group of the counterpart pledging the collateral. When available, this item corresponds to the entity name in the LEI database. When this is not available corresponds to the legal name. This item is not applicable when the assets on the balance sheet for which the collateral is held are loans on policies. |
| C0080 | 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 collateral with 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 issuer country is assessed by the address of the property. |
| C0090 | Quantity | Number of assets, for all assets if relevant. This item shall not be reported if item Par amount (C0100) is reported. |
| C0100 | 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 8. This item is not applicable for CIC category 71 and 9. This item shall not be reported if item Quantity (C0090) is reported. |
| C0110 | 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 |
| C0120 | Total 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; — Solvency II value of the asset for assets classifiable under asset categories 71 and 9. |
| C0130 | Accrued interest | Quantify the amount of accrued interest after the last coupon date for interest bearing securities. Note that this value is also part of item Total amount. |
| C0140 | Type of asset for which the collateral is held | Identify the type of asset for which the collateral is held. One of the options in the following closed list shall be used: 1 – Government bonds 2 – Corporate bonds 3 – Equities 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) X – Derivatives E.g. option ‘0 – Other investments’ shall be chosen for the collateral covering Reinsurance receivables |
| --- | --- | --- |
| ITEM | INSTRUCTIONS | |
| 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, and must be 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 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’. |
| C0150 | 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 category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons, 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. 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 — When the collateral comprises insurance policies (regarding loans collateralised by insurance policies) those policies do not need to be individualised and this item is not applicable. — 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). |
| C0160 | Issuer Name | Name of the issuer, defined as the entity that issues assets to investors, representing part of its capital, part of its debt, derivatives, etc. When available, this item corresponds to the entity name in the LEI database. When 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; — 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 category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons, 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 8 – Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower; This item is not applicable for CIC 71, CIC 75 and – CIC category 9 – Property. |
| C0170 | Issuer Code | Identification code of the issuer code using the LEI if available. The following shall be considered: — Regarding CIC category 4 – Collective Investments Undertakings, the issuer code is the code of the fund manager; — 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 mortgage and loans to natural persons 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 category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons. |
| C0180 | Type of issuer code | Identification of the 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 category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons. This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0190 | Issuer Sector | Identify the economic sector of issuer based on the latest version of 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 mortgage and loans to natural persons 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 category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons. |
| C0200 | Issuer Group Name | Name of issuer’s ultimate parent entity. When available, this item corresponds to the entity name in the LEI database. When not available, corresponds to the legal name. The following shall be considered: — Regarding CIC category 4 – Collective Investments Undertakings, the group relation relates to the fund manager; — 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 mortgage and loans to natural persons the group relation relates to the borrower; — This item is not applicable for CIC category 8 – Mortgages and Loans (for mortgages and loans to natural persons) — This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0210 | Issuer Group Code | Issuer group identification code 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 group relation relates to the fund manager; — 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 mortgage and loans to natural persons the group relation relates to the borrower; — This item is not applicable for CIC category 8 – Mortgages and Loans (for mortgages and loans to natural persons) This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0220 | 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 This item is not applicable to CIC category 8 – Mortgages and Loans, when relating to mortgage and loans to natural persons. This item is not applicable for CIC 71, CIC 75 and CIC category 9 – Property. |
| C0230 | 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 is relative to the fund manager; — 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 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 — EU: European Union Institutions |
| C0240 | 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 category 8 – Mortgages and Loans (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 75 and for CIC 95 – Plant and equipment (for own use) for the same reason. — Regarding CIC category 9, excluding CIC 95 – Plant and equipment (for own use), the currency corresponds to the currency in which the investment was made. |
| C0250 | 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. |
| C0260 | Unit price | Unit price of the asset, if relevant. This item shall not be reported if item Unit percentage of par amount Solvency II price (C0270) is reported. |
| C0270 | 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 (C0100) has been provided in the first part of the template (‘Information on positions held’) except for CIC category 71 and 9. This item shall not be reported if item Unit Solvency II price (C0260) is reported. |
| C0280 | Maturity date | Only applicable for CIC categories 1, 2, 5, 6 and 8, and CIC 74 and CIC 79. Identify the ISO 8601 (yyyy–mm–dd) code of the maturity date. Corresponds always to the maturity date, even for callable securities. The following shall be considered: — For perpetual securities use ‘9999–12–31’ — For CIC category 8, regarding loans and mortgages to individuals, the weighted (based on the loan amount) remaining maturity is to be reported. |
S.12.01 – Life and Health SLT Technical Provisions
General comments:
This section relates to quarterly and annual submission of information for individual entities, ring fenced–funds, matching adjustment portfolios and remaining part.
Undertakings may apply appropriate approximations in the calculation of the technical provisions as referred to in Article 21 of Delegated Regulation (EU) 2015/35. In addition, Article 59 of Delegated Regulation (EU) 2015/35 may be applied to calculate the risk margin during the financial year.
Line of business for life obligations: The lines of business, referred to in Article 80 of Directive 2009/138/EC, as defined in Annex I to Delegated Regulation (EU) 2015/35. The segmentation shall reflect the nature of the risks underlying the contract (substance), rather than the legal form of the contract (form). By default, where an insurance or reinsurance contract covers risks across the lines of business undertakings shall, where possible, unbundled the obligations into the appropriate lines of business (Article 55 of Delegated Regulation (EU) 2015/35).
Lines of business ‘Index–linked and unit–linked insurance’, ‘Other life insurance’ and ‘Health insurance’ are split between ‘Contracts without options and guarantees’ and ‘Contracts with options or guarantees’. For this split the following shall be considered:
- — ‘Contracts without options and guarantees’ shall include the amounts related to contracts without any financial guarantees or contractual options, meaning that the technical provision calculation does not reflect the amount of any financial guarantees or contractual options. Contracts with non–material contractual options or financial guarantees that are not reflected in the technical provisions calculation shall also be reported in this column;
- — ‘Contracts with options or guarantees’ shall include contracts that have either financial guarantees, contractual options, or both as far as the technical provision calculation reflect the existence of those financial guarantees or contractual options.
The information reported shall be gross of reinsurance as information on Recoverables from reinsurance/SPV and Finite reinsurance is requested in specific rows.
All references to surrender values shall not be applicable to the reinsurance business.
The information to be reported between R0010 and R0100 shall be after the volatility adjustment, the matching adjustment and the transitional adjustment to the relevant risk-free interest rate term structure if applied but shall not include the transitional deduction to technical provisions. The amount of transitional deduction to technical provisions is requested separately between rows R0110 and R0130.
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