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 | ||
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision that holds the derivative. This item shall be filled in only when it relates to derivatives held by participating undertakings, insurance holding companies, mixed–financial holding companies and subsidiaries under deduction and aggregation method. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority: — Legal Entity Identifier (LEI) mandatory if existing; — Specific code in case of absence of LEI code. Specific code: — For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority; — For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used: 1 – LEI 2 – Specific code |
| 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 Transaction Identifiers | Identify the Trade IDs used in the trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council 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). 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 underlying 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 it 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 relative 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 shall own the security or the notional amount at the end of the derivatives contact and shall 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 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 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–TheCounter 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 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 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, 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 shall be reported. 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 |
| --- | --- | --- |
| 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 shall correspond to the entity name in LEI database. When not available, it shall correspond 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. In case ‘Multiple ECAI’ is reported in C0300 the most representative external rating shall be reported. |
| 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 the parent ECAI shall be reported (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). — 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). |
| 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 shall correspond to the entity name in the Legal Entity Identifier (LEI) database. When not available, it shall correspond 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 non-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 | The ISO 4217 alphabetic code of the currency of the derivative shall be identified, i.e. currency of the notional amount of the derivative (e.g. option to have having an underlying amount in USD, currency for which the notional amount is expressed contractually for FX swap). |
| C0371 | Currency of price | The ISO 4217 alphabetic code of the currency of the price of the derivative shall be identified, 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 the annual submission of information for groups.
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.
At group level, the template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the portfolios (i.e. net of IGT) within the scope of group supervision. The reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
- — Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;
- — Gains/income and losses of portfolios held undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported portfolio by portfolio, each by asset category;
- — Gains/income and losses of portfolios held by other related undertakings shall not be included;
Where method 2 is used exclusively, the reporting shall include the detailed list of the portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies and its subsidiaries and their profitability by asset category. The reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
- — Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;
- — Gains/income and losses of portfolios held by subsidiaries (EEA, equivalent non –EEA, non–equivalent non–EEA) shall be reported portfolio by portfolio, each by asset category;
- — Gains/income and losses of portfolios held by other related undertakings shall not be included;
Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the portfolios (i.e. net of IGT) within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the portfolios held by subsidiaries and their profitability by asset category.
The first part of the reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
- — Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;
- — Gains/income and losses of portfolios held undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported portfolio by portfolio, each by asset category;
- — Gains/income and losses of portfolios held by other related undertakings shall not be included;
The second part of the reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
- — Gains/income and losses of portfolios held by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported portfolio by portfolio, each by asset category;
- — Gains/income and losses of portfolios held by subsidiaries (EEA, equivalent non –EEA, non–equivalent non–EEA) shall be reported portfolio by portfolio, each by asset category;
- — Gains/income and losses of portfolios held by other related undertakings shall not be included.
Items shall be reported with positive values unless otherwise stated in the respective instructions.
| ITEM | INSTRUCTIONS | |
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision for which the return on investment relates to. This item shall be filled in only when it relates to the return on investment by asset category for assets held by subsidiaries consolidated under deduction and aggregation method. The cell shall be filled in only when it relates to the list portfolio by portfolio of assets, each reported by asset category, held by subsidiaries under method 2. When the cell is filled in, the portfolios held by subsidiaries under method 2 cannot be reconciled with template S.06.02. When the cell is blank, the portfolios held by the group can be reconciled with template S.06.02. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority: — Legal Entity Identifier (LEI) mandatory if existing; — Specific code in case of absence of LEI code. Specific code: — For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority; — For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used: 1 – LEI 2 – Specific code |
| 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, general (no split) and ring-fenced funds. Gains/income and losses regarding assets underlying life technical provisions shallbe 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 the annual submission of information for groups.
This template contains an item–by–item list of securities lending transactions and repurchase agreements (buyer and seller) contracts, 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. when method 1 as defined in Article 230 of Directive 2009/138/EC is used exclusively. When method 1 is used in combination with method 2 as defined in Article 233 of Directive 2009/138/EC or method 2 is used exclusively the ratio needs to be adjusted in order to capture the items of all entities included in the scope of template S.06.02.
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.
The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the repos and securities lending contracts net of intra–group transactions held within the scope of group supervision. The reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
- — The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
- — The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
- — The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.
Where method 2 is used exclusively, the reporting shall include the detailed list of the repos and securities lending contracts held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and its subsidiaries, regardless of the proportional share used. The reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
- — The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
- — The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item;
- — The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.
Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the repos and securities lending contracts, net of intra–group transactions, held within the scope of group supervision which must be reported and the other part of the reporting shall include the detailed list of the repos and securities lending contracts held by the participating undertakings, the insurance holding companies or mixed–financial holding companies and its subsidiaries, regardless of the proportional share used.
The first part of the reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
- — The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
- — The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
- — The repurchase agreements and securities lending contracts held by other related undertakings shall not be included.
The second part of the reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
- — The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis) by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies under method 2 shall be reported item by item;
- — The repurchase agreements and securities lending contracts held directly (i.e. not on a look–through basis)by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item;
- — The repurchase agreements and securities lending contracts held by other related undertakings under method 2 shall not be included.
| ITEM | INSTRUCTIONS | |
| C0010 | Legal name of the undertaking | Identify the legal name of the undertaking within the scope of group supervision that holds the repo and securities lending. This item shall be filled in only when it relates to the repos and securities lending contracts held by participating undertakings, insurance holding companies or mixed–financial holding companies and subsidiaries under deduction and aggregation method. |
| C0020 | Identification code of the undertaking | Identification code by this order of priority: — Legal Entity Identifier (LEI) mandatory if existing; — Specific code in case of absence of LEI code. Specific code: — For EEA regulated undertakings other than insurance and reinsurance undertakings within the scope of group supervision: identification code used in the local market, attributed by the undertaking’s competent supervisory authority; — For non–EEA undertakings and non–regulated undertakings within the scope of group supervision, identification code will be provided by the group. When allocating an identification code to each non–EEA or non–regulated undertaking, the group should comply with the following format in a consistent manner: identification code of the parent undertaking + ISO 3166–1 alpha–2 code of the country of the undertaking + 5 digits |
| C0030 | Type of code of the ID of the undertaking | Type of ID Code used for the ‘Identification code of the undertaking’ item. One of the options in the following closed list shall be used: 1 – LEI 2 – Specific code |
| 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). 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 categories 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 the annual submission of information for groups.
This template shall be reported annually 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 at the end of the reporting period. Collaterals are considered ‘held’ when the undertakings included in the scope described below or one of undertakings that are part of the group 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 in fact be also reported in S.03.01 in C0020/R0100 to R0130.
The template is applicable for method 1 (Accounting consolidation–based method), method 2 (Deduction and aggregation method) and a combination of methods 1 and 2.
Where method 1 is used exclusively, the reporting shall reflect the consolidated position of the assets held as collateral within the scope of group supervision net of intra–group transactions. The reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
- — The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
- — The assets held directly (i.e. not on a look–through basis) as collateral by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
- — The assets held as collateral by other related undertakings shall not be included.
Where method 2 is used exclusively, the reporting shall include the detailed list of the assets held as collateral by the participating undertakings, the insurance holding companies and subsidiaries, regardless of the proportional share used. The reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
- — The assets held directly (i.e. not on a look-through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies under method 2 shall be reported item by item;
- — The assets held directly (i.e. not on a look–through basis) as collateral by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
- — The assets held as collateral by other related undertakings shall not be included.
Where a combination of methods 1 and 2 is used, one part of the reporting shall reflect the consolidated position of the assets held as collateral within the scope of group supervision, net of intra–group transactions, which must be reported and the other part of the reporting shall include the detailed list of the assets held as collateral by the participating undertakings, the insurance holding companies or mixed–financial holding companies and subsidiaries, regardless of the proportional share used.
The first part of the reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall not be reported;
- — The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
- — The assets held directly (i.e. not on a look–through basis) as collateral by undertakings consolidated in accordance with Article 335, paragraph 1, (a), (b) and (c) of Delegated Regulation (EU) 2015/35 shall be reported item by item;
- — The assets held as collateral by other related undertakings shall not be included.
The second part of the reporting shall be made as follows:
- — Item ‘Legal name of the undertaking – C0010’ and ‘Identification code of the undertaking – C0020’ shall be reported;
- — The assets held directly (i.e. not on a look–through basis) as collateral by participating insurance and reinsurance undertakings or insurance holding companies or mixed–financial holding companies shall be reported item by item;
- — The assets held directly (i.e. not on a look–through basis) as collateral by insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are subsidiaries under method 2 (European Economic Area, equivalent non–European Economic Area and non–equivalent non–European Economic Area) shall be reported item by item by undertaking;
- — The assets held as collateral by other related undertakings under method 2 shall not be included.
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