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    S.06.02 — List of assets Group

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    S.06.02 — List of assets

    General comments:

    This section relates to the quarterly and annual submission of information for groups.

    The asset categories referred to in this template are the ones defined in Annex IV — Assets Categories of this Regulation and references to Complementary Identification Code (‘CIC’) refer to Annex VI — CIC table of this Regulation.

    This template shall reflect the list of all assets included in the Balance-sheet classifiable as asset categories 0 to 9 of Annex IV — Assets Categories of this Regulation. In particular in case of securities lending and repurchase agreements the underlying securities that are kept in the Balance-sheet shall be reported in this template.

    This template contains an item-by-item list of assets held directly by the group (i.e. not on a look-through basis), classifiable as asset categories 0 to 9 (in case of unit-linked and index– linked products managed by the (re)insurance undertaking, the assets to be reported are also only the ones covered by asset categories 0 to 9, e.g. recoverables and liabilities related to these products shall not be reported), with the following exceptions:

    • a) Cash shall be reported in one row per currency, for each combination of items C0060, C0070, C0080, and C0090;
    • b) Transferable deposits (cash equivalents) and other deposits with maturity of less than one year shall be reported in one row per pair of bank and currency, for each combination of items C0060, C0070, C0080, C0090 and C0290;
    • c) Mortgages and loans to individuals, including loans on policies, shall be reported in two rows, one row regarding loans to administrative, management and supervisory body, for each combination of items C0060, C0070, C0080, C0090 and C0290 and another regarding loans to other natural persons, for each combination of items C0060, C0070, C0080, C0090 and C0290;
    • d) Deposits to cedants shall be reported in one single line, for each combination of items C0060, C0070, C0080 and C0090;
    • e) Plant and equipment for the own use of the undertaking shall be reported in one single line, for each combination of items C0060, C0070, C0080 and C0090.

    All reporting items shall be reported, except when otherwise stated in these instructions.

    Items C0110, C0120, C0121, C0122, C0130, C0140, , C0190, C0200, C0230, C0270, C0280, C0310, C0370, C0380 are not applicable to CIC 09 - Other investments.

    This template comprises two tables: Information on positions held and Information on assets.

    On the table Information on positions held, each asset shall be reported separately in as many lines as needed in order to properly fill in all non-monetary variables with the exception of item ‘Quantity’, 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.

    On the table Information on assets, each asset shall be reported separately, with one row for each asset, filling in all applicable variables requested in that table.

    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 net of intra-group transactions held. 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 by the participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies shall be reported item by item;
    • The assets held 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;
    • Participations in undertakings consolidated in accordance with Article 335, paragraph 1, (d), (e) and (f) of Delegated Regulation (EU) 2015/35 shall be reported in one row and identify it by using the available options in cell C0310.

    Where method 2 is used exclusively, the reporting shall include the detailed list of the assets held by the participating undertakings, the insurance holding companies and subsidiaries and one row for each non-controlled participation. The assets reported shall not take into account the proportional share used for group solvency calculation. 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 by the participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies shall be reported item by item;
    • The assets held 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;
    • Participations in insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are not subsidiaries (European Economic Area, equivalent non-European Economic Area and non-equivalent non-European Economic Area) shall be reported in one row for each participation;
    • The assets held by undertakings from the other financial sectors shall not be included.

    Where a combination of methods 1 and 2 is used, one part of the reporting reflects the consolidated position of the assets, 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 by the participating undertakings, the insurance holding companies or mixed-financial holding companies and subsidiaries and one row for each non-controlled participation, net of intra-group transactions and 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 by participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies shall be reported item by item;
    • The assets held 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;
    • Participations in undertakings consolidated in accordance with Article 335, paragraph 1, (d), (e) and (f) of Delegated Regulation (EU) 2015/35 shall be reported in one row and identify it by using the available options in cell C0310;
    • Participations in undertakings under method 2 shall be reported one row for each subsidiary and non-controlled participation held and identify it by using the available options in cell C0310.

    The second part of the reporting shall include the detailed list of the assets held by the participating undertakings, the insurance holding companies and subsidiaries and one row for each non-controlled participation, 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 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 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;
    • Participations in insurance and reinsurance undertakings, insurance holding companies, ancillary services undertakings and special purpose vehicle which are not subsidiaries (European Economic Area, equivalent non-European Economic Area and non-equivalent non-European Economic Area) shall be reported in one row for each participation;
    • The assets held by the undertakings from the other financial sectors shall not be included.

    The information regarding the external rating (C0320) and nominated External Credit Assessment Institutions (‘ECAI’) (C0330) may be limited (not reported) in the following circumstances:

    • a) through a decision of the national supervisory authority (‘NSA’) under Article 254(2) of the Directive 2009/138/EC; or
    • b) through a decision of the national supervisory authority in the cases where the insurance and reinsurance undertakings have in place outsourcing arrangements in the area of investments that lead to this specific information not being available directly to the undertaking.
    ITEMINSTRUCTIONS
    –——————–
    Information on positions held
    C0010Legal name of
    the undertaking    		Identify the legal name of the undertaking within the
    scope of group supervision that holds the asset.
    This item shall be filled in only when it relates to assets
    held by participating undertakings, insurance holding
    companies, mixed-financial holding companies and
    subsidiaries under deduction and aggregation method.
    C0020Identification
    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
    C0030Type 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
    C0040Asset ID CodeAsset ID code using the following priority:
    – ISO 6166 code of ISIN when available
    – Other recognised codes (e.g.: CUSIP, Bloomberg
    Ticker, Reuters RIC)
    – Code attributed by the undertaking, when the
    options above are not available. This code must be
    unique and kept consistent over time.
    When the same Asset ID Code needs to be reported for
    one asset that is issued in 2 or more different currencies, it
    is necessary to specify the Asset ID code and the ISO
    4217 alphabetic code of the currency, as in the following
    example: ‘code+EUR’
    C0050Asset ID Code
    Type    		Type of ID Code used for the ‘Asset ID Code’ item. One
    of the options in the following closed list shall be used:
    1 — ISO 6166 for ISIN code
    2 — CUSIP (The Committee on Uniform Securities
    Identification Procedures number assigned by the CUSIP
    Service Bureau for U.S. and Canadian companies)
    3 — SEDOL (Stock Exchange Daily Official List for the
    London Stock Exchange)
    4 — WKN (Wertpapier Kenn-Nummer, the alphanumeric
    German identification number)
    5 — Bloomberg Ticker (Bloomberg letters code that
    identify a company’s securities)
    6 — BBGID (The Bloomberg Global ID)
    7 — Reuters RIC (Reuters instrument code)
    8 — FIGI (Financial Instrument Global Identifier)
    9 — Other code by members of the Association of
    National Numbering Agencies
    99 — Code attributed by the undertaking
    When the same Asset ID Code needs to be reported for
    one asset that is issued in 2 or more different currencies
    and the code in C0040 is defined by Asset ID code and the
    ISO 4217 alphabetic code of the currency, the Asset ID
    Code Type shall refer to option
    99 and the option of the
    original Asset ID Code, as in the following example for
    which the code reported was ISIN code + currency:
    ‘99/1’.
    C0060PortfolioDistinction between life, non-life, shareholder’s funds,
    other internal funds, general (no split) and ring-fenced
    funds.
    Underlying assets of life technical provisions shall be
    assigned to life portfolio and underlying assets of non-life
    technical provisions shall be assigned to non-life portfolio
    (by applying the available most precise split).
    One of the options in the following closed list shall be
    used:
    1 — Life
    2 — Non-life
    3 — Ring fenced funds
    4 — Other internal funds
    5 — Shareholders’ funds
    6 — General
    The split is not mandatory, unless otherwise required by
    the national supervisory authority,
    except for identifying
    ring fenced funds, but shall be reported if the undertaking
    uses it internally. When an undertaking does not apply a
    split ‘general’ shall be used.
    C0070Fund numberApplicable to assets held in ring fenced funds or other
    internal funds defined at national level, in particular
    regarding funds (asset portfolios) supporting life products.
    Number or code which is attributed by the undertaking,
    corresponding to the unique number or code assigned to
    each fund. This number or code has to be consistent over
    time and shall be used to identify the same funds in other
    templates (e.g. in S.08.01). It shall not be re-used for a
    different fund.
    The fund number is not mandatory, unless otherwise
    required by the national supervisory authority.
    C0080Matching
    portfolio
    number    		Number or code which is attributed by the undertaking,
    corresponding to the unique number or code assigned to
    each matching adjustment portfolio as prescribed in
    Article 77b(1)(a) of Directive 2009/138/EC. This number
    or code has to be consistent over time
    and shall be used to
    identify the matching adjustment portfolio in other
    templates. It shall not be re-used for a different matching
    adjustment portfolio.
    C0090Asset 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
    C0100Asset pledged
    as collateral    		Identify assets kept in the undertaking’s balance-sheet that
    are pledged as collateral. For partially pledged assets two
    rows for each asset shall be reported, one for the pledged
    amount and another for the remaining part. One of the
    options in the following closed list shall be used for the
    asset:
    1 — Assets in the balance sheet that are collateral pledged
    2 — Collateral for reinsurance accepted
    3 — Collateral for securities borrowed
    4 — Repos
    9 — Not collateral
    C0110Country of
    custody    		ISO 3166–1 alpha–2 code of the country where
    undertaking assets are held in custody. For identifying
    international custodians, such as Euroclear, the country of
    custody will be the one where the custody service was
    contractually defined.
    In case of the same asset being held in custody in more
    than one country, each asset shall be reported separately in
    as many rows as needed in order to properly identify all
    countries of custody.
    This item is not applicable for CIC category 8 — Mortgages and Loans, CIC 71, CIC 75 and for CIC 95 – Plant and equipment.
    Regarding CIC Category 9, excluding CIC 95 — Plant
    and equipment (for own use), the country of custody
    corresponds to the issuer country, which is assessed by the
    address of the property.
    C0120CustodianName of the financial institution that is the custodian.
    In case of the same asset being held in custody in more
    than one custodian, each asset shall be reported separately
    in as many rows as needed in order to properly identify all
    custodians.
    For assets stored in-house, the insurance undertaking shall
    be reported as the custodian.
    When available, this item corresponds to the entity name
    in the LEI database. When this is not available
    corresponds to the legal name.
    This item is not applicable for CIC category 8 — Mortgages and Loans, CIC 71, CIC 75, CIC 09 and for
    CIC 9 — Property and to any other assets that due to their
    nature are not held in custody.
    For assets where there is no custodian or when this item is
    not applicable, report “No custodian”.
    C0121Code of
    custodian    		Identification of the custodian code using the LEI if
    available.
    If none is available this item shall not be reported.
    C0122Type of code of
    custodian    		Identification of the type of code used for the “Code of
    custodian” item. One of the options in the following
    closed list shall be used:
    1 – LEI
    9 – None
    C0130QuantityNumber of assets, for relevant assets.
    This item shall not be reported if item Par amount
    (C0140) is reported.
    This item is not applicable for CIC 71 and 09 and CIC
    category 9 -
    Property.
    C0140Par amountAmount outstanding measured at par amount, for all assets
    where this item is relevant, and at nominal amount for
    CIC = 72, 73, 74, 75, 79 and CIC Category 8 – Mortgages
    and Loans. This item is not applicable for CIC 71, 09 and
    CIC category 9 -
    Property. This item shall not be reported
    if item Quantity (C0130) is reported.
    C0145Long-term
    equity
    investment    		Only applicable to CIC categories 3 – Equity and 4 – Collective Investment Undertakings.
    Identify if an equity or collective investment undertaking is
    classified under the provisions of Art. 171a. of Delegated
    Regulation (EU) 2015/35. One of the options in the
    following closed list shall be used:
    1 -
    Yes
    2 – No
    9 – Not applicable
    C0150Valuation
    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 2015/35
    C0160Acquisition
    value    		Total acquisition value for assets held, clean value without
    accrued interest. Not applicable to CIC categories 7 – Cash and deposits and 8 -
    Mortgages and Loans.
    C0170Total Solvency
    II amount    		Value calculated as defined by Article 75 of the Directive
    2009/138/EC, which corresponds to:
    – the multiplication of ‘Par amount’ (principal
    amount outstanding measured at par amount or
    nominal amount) by ‘Unit percentage of par
    amount Solvency II price’ plus ‘Accrued interest’,
    for assets where the first two items are relevant;
    – the multiplication of ‘Quantity’ by ‘Unit Solvency
    II price’, for assets where these two items are
    relevant (plus ‘Accrued interest’ if applicable);
    – Solvency
    II
    value
    of
    the
    asset
    for
    assets
    classifiable under CIC 71 and CIC category 9 -
    Property.
    C0180Accrued
    interest    		Quantify the amount of accrued interest after the last
    coupon date for interest bearing assets. Note that this
    value is also part of item Total Solvency II amount.
    ITEMINSTRUCTIONS
    Information
    on assets
    C0040Asset ID CodeAsset ID code using the following priority:
    – ISO 6166 code of ISIN when available
    – Other recognised codes (e.g.: CUSIP, Bloomberg
    Ticker, Reuters RIC)
    – Code attributed by the undertaking, when the
    options above are not available. This code must be
    unique and kept consistent over time.
    When the same Asset ID Code needs to be reported for one
    asset that is issued in 2 or more different currencies, it is
    necessary to specify the Asset ID code and the ISO 4217
    alphabetic code of the currency, as in the following
    example: ‘code+EUR’
    C0050Asset ID Code
    Type    		Type of ID Code used for the ‘Asset ID Code’ item. One of
    the options in the following closed list shall be used:
    1 — ISO 6166 for ISIN code
    2 — CUSIP (The Committee on Uniform Securities
    Identification Procedures number assigned by the CUSIP
    Service Bureau for U.S. and Canadian companies)
    3 — SEDOL (Stock Exchange Daily Official List for the
    London Stock Exchange)
    4 — WKN (Wertpapier Kenn-Nummer, the alphanumeric
    German identification number)
    5 — Bloomberg Ticker (Bloomberg letters code that
    identify a company’s securities)
    6 — BBGID (The Bloomberg Global ID)
    7 — Reuters RIC (Reuters instrument code)
    8 — FIGI (Financial Instrument Global Identifier)
    9 — Other code by members of the Association of National
    Numbering Agencies
    99 — Code attributed by the undertaking
    When the same Asset ID Code needs to be reported for one
    asset that is issued in 2 or more different currencies and the
    code in C0040 is defined by Asset ID code and the ISO
    4217 alphabetic code of the currency, the Asset ID Code
    Type shall refer to option
    9 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’.
    C0190Item TitleIdentify the reported item by filling the name of the asset (or
    the address in case of property), with the detail settled by
    the undertaking.
    The following shall be considered:
    – Regarding CIC 87 and CIC 88, this item shall
    contain ‘Loans to AMSB members’ i.e. loans to the
    Administrative, Management and Supervisory Body
    (‘AMSB’) or ‘Loans to other natural persons’,
    according to its nature, as those assets are not
    required to be individualised. Loans to other than
    natural persons shall be reported line-by-line.
    – This item is not applicable for CIC 95 — Plant and
    equipment (for own use) as those assets are not
    required to be individualised, CIC 71 and CIC 75
    (unless
    required
    by
    the
    national
    supervisory
    authority).
    – For property the country ISO Alpha-2 + postal code
    + city + street name + street number) of the property
    held
    or
    the
    latitude
    &
    longitude
    or
    the
    CRESTA/NUTS region of the property investment
    shall be reported: administrative boundaries (e.g.
    province or county boundaries, e.g. NUTS3 level)
    or merged postal code areas (e.g. first-two-digit
    postal code areas, similar to CRESTA 2019[2] low
    resolution zones)
    C0200Issuer NameName of the issuer, defined as the entity that issues assets to
    investors.
    When available, this item corresponds to the entity name in
    the LEI database. When this is not available corresponds to
    the legal name.
    The following shall be considered:
    – Regarding
    CIC
    category
    4
    — Collective
    Investments Undertakings, the issuer name is the
    name of the fund manager (entity). The authorised
    management company who can and is responsible
    for managing the fund is the one to be reported
    regardless if some activities have been outsourced,
    including the actual management of the portfolio,
    i.e. the decision on buying/selling;
    – Regarding CIC category 7 — Cash and deposits
    (excluding CIC 71 and CIC 75), the issuer name is
    the name of the depositary entity;
    – Regarding CIC 87 and CIC 88, this item shall
    contain ‘Loans to AMSB members’ or ‘Loans to
    other natural persons’, according to its nature, as
    those assets are not required to be individualised;
    – Regarding CIC category 8 — Mortgages and Loans,
    other than CIC 87 and CIC 88 the information shall
    relate to the borrower;
    This item is not applicable for CIC 71, CIC 75 and
    CIC category 9 — Property.
    C0210Issuer CodeIdentification of the issuer using the Legal Entity Identifier
    (LEI) if available.
    If none is available this item shall not be reported.
    The following shall be considered:
    – Regarding
    CIC
    category
    4
    — Collective
    Investments Undertakings, the issuer code is the
    code of the fund manager (entity). The authorised
    management company who can and is responsible
    for managing the fund is the one to be reported
    regardless if some activities have been outsourced,
    including the actual management of the portfolio,
    i.e. the decision on buying/selling;
    – Regarding CIC category 7 — Cash and deposits
    (excluding CIC 71 and CIC 75), the issuer code is
    the code of the depositary entity
    – Regarding CIC category 8 — Mortgages and Loans,
    other than CIC 87 and CIC 88 the information shall
    relate to the borrower;
    – This item is not applicable for CIC 71, CIC 75 and
    CIC category 9 — Property;
    This item is not applicable to CIC 87 and CIC 88.
    C0220Type of issuer
    code    		Identification of the type of code used for the ‘Issuer Code’
    item. One of the options in the following closed list shall be
    used:
    1 — LEI
    9 — None
    This item is not applicable to CIC 87 and CIC 88.
    This item is not applicable for CIC 71, CIC 75 and CIC
    category 9 — Property.
    C0230Issuer SectorIdentify the economic sector of issuer based on the latest
    version of the Statistical classification of economic
    activities in the European Community (‘NACE’) code (as
    published in an EC Regulation). For NACE sections A to N
    full four-digit reporting of the NACE codes is required, i.e.
    the letter identifying the Section followed by the 4 digits
    code for the class shall be used (e.g. ‘K6411’). For the
    remaining sections the letter reference of the NACE code
    identifying the Section shall be used as a minimum
    for
    identifying sectors (e.g. ‘P’ or ‘P8501’ would be
    acceptable).
    The following shall be considered:
    – Regarding
    CIC
    category
    4
    — Collective
    Investments Undertakings, the issuer sector is the
    sector of the fund manager;
    – Regarding CIC category 7 — Cash and deposits
    (excluding CIC 71 and CIC 75), the issuer sector is
    the sector of the depositary entity
    – Regarding CIC category 8 — Mortgages and Loans,
    other than CIC 87 and CIC 88 the information shall
    relate to the borrower;
    – This item is not applicable for CIC 71, CIC 75, CIC
    09 and CIC category 9 — Property;
    – This item is not applicable to CIC 87 and CIC 88.
    C0240Issuer GroupName of issuer’s ultimate parent entity. For collective
    investment undertakings the ultimate parent of the fund
    manager (entity) shall be reported.
    When available, this item corresponds to the entity name in
    the LEI database. When this is not available corresponds to
    the legal name.
    The following shall be considered:
    – Regarding
    CIC
    category
    4
    — Collective
    Investments Undertakings, the ultimate parent of the
    fund manager (entity) shall be reported;
    – Regarding CIC category 7 — Cash and deposits
    (excluding CIC 71 and CIC 75), the group relation
    relates to the depositary entity
    – Regarding CIC category 8 — Mortgages and Loans,
    other than CIC 87 and CIC 88 the group relation
    relates to the borrower;
    – This item is not applicable for CIC CIC 87 and CIC
    88;
    – This item is not applicable for CIC 71, CIC 75, CIC
    09 and CIC category 9 — Property
    ;
    – This item is not applicable for bonds issued by:
    – a central government,
    – a local government,
    – a government agency,
    – a central bank,
    – the group/entity itself,
    – a supranational organisation (as long as no issuer
    group exists).
    C0250Issuer GroupIssuer group’s identification using the LEI if available.
    CodeIf none is available, this item shall not be reported.
    The following shall be considered:
    – Regarding
    CIC
    category
    4
    — Collective
    Investments Undertakings, the ultimate parent of the
    fund manager (entity) shall be reported;
    – Regarding CIC category 7 — Cash and deposits
    (excluding CIC 71 and CIC 75), the group relation
    relates to the depositary entity
    – Regarding CIC category 8 — Mortgages and Loans,
    other than CIC 87 and CIC 88 the group relation
    relates to the borrower;
    – This item is not applicable for CIC 87 and CIC 88;
    – This item is not applicable for CIC 71, CIC 75, CIC
    09 and CIC category 9 — Property
    ;
    – This item is not applicable for bonds issued by:
    – a central government,
    – a local government,
    – a government agency,
    – a central bank,
    – the group/entity itself,
    – a supranational organisation (as long as no issuer
    group exists).
    C0260Type 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
    C0270Issuer CountryISO 3166–1 alpha–2 code of the country of localisation of
    the issuer.
    The localisation of the issuer is assessed by the address of
    the entity issuing the asset.
    The following shall be considered:
    – Regarding
    CIC
    category
    4
    — Collective
    Investments Undertakings, the issuer country is the
    country of the fund manager (entity);
    – Regarding CIC category 7 — Cash and deposits
    (excluding CIC 71 and CIC 75), the issuer country
    is the country of the depositary entity
    – Regarding CIC 8 — Mortgages and Loans, other
    than CIC 87 and CIC 88 the information shall relate
    to the borrower;
    – This item is not applicable to CIC 87 and CIC 88;
    – This item is not applicable for CIC 71, CIC 75, CIC
    09 and CIC category 9 — Property.
    One of the options shall be used:
    – ISO 3166–1 alpha–2 code;
    – XA:
    Supranational
    issuers
    (public
    institutions
    established by a commitment between national
    states, e.g. issued by a multilateral development
    bank as referred to in paragraph 2 of Article 117 of
    Regulation (EU) No 575/2013 or issued by an
    international organisation referred to in Article 118
    of Regulation (EU) No 575/2013, with exemption of
    ‘European Union Institutions’);
    – EU: European Union Institutions (as defined in
    C0280CurrencyArticle 13 of the Treaty on European Union.
    Identify the ISO 4217 alphabetic code of the currency of the
    issue.
    The following shall be considered:
    – This item is not applicable for CIC 87 and CIC 88,
    as those assets are not required to be individualised),
    CIC 75, CIC 09 and for CIC 95 — Plant and
    equipment (for own use) for the same reason;
    – Regarding CIC Category 9 -
    Property, excluding
    CIC 95 — Plant and equipment (for own use), the
    currency corresponds to the currency in which the
    investment was made.
    C0290CICComplementary 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.
    The parent undertaking shall check and ensure that the CIC
    code used for the same security from different undertakings
    is the same in the group reporting.
    C0293Bail-in rulesIdentify if the asset is subject to bail-in rules, in line with
    Articles 43 and 44 of Directive 2014/59/EU (the Bank
    Recovery and Resolution Directive -
    BRRD).
    One of the options in the following closed list shall be used:
    1 – Yes;
    2 – No;
    9 – Not applicable.
    C0294Regional
    Governments
    and Local
    Authorities
    (RGLA)    		Identify assets issued or guaranteed by Regional
    Governments and Local Authorities (RGLA) listed and not
    listed in the Implementing Regulation (EU) 2015/2011,
    regarding assets classifiable with CIC 13 and 14.
    One of the options in the following closed list shall be used:
    1 – Listed in Implementing Regulation(EU) 2015/2011;
    2 – Not listed in Implementing Regulation(EU) 2015/2011;
    9 – Not applicable.
    C0295Crypto-assetsIdentify assets linked to crypto-assets.
    Crypto-asset means a digital representation of value or
    rights which may be transferred and stored electronically,
    using distributed ledger technology or similar technology.
    One of the options in the following closed list shall be used:
    1 – Electronic money token -
    a type of crypto-asset the main
    purpose of which is to be used as a means of exchange and
    that purports to maintain a stable value by referring to the
    value of a fiat currency that is legal tender;
    2 – Asset-referenced token -
    a type of crypto-asset that
    purports to maintain a stable value by referring to the value
    of several fiat currencies that are legal tender, one or several
    commodities or one or several crypto-assets, or a
    combination of such assets;
    3 – Utility token -
    a type of crypto-asset which is intended
    to provide digital access to a good or service, available on
    DLT, and is only accepted by the issuer of that token;
    4 – Other crypto-assets;
    5 – No.
    C0296Property typeIdentify property type, according to ESRB
    Recommendation of 21 March 2019 amending
    Recommendation ESRB/2016/14 on closing real estate data
    gaps.
    One of the options in the following closed list shall be used:
    1 -
    Residential, e.g. multi-household premises;
    2 -
    Retail, e.g. hotels, restaurants, shopping malls;
    3 -
    Offices, e.g. a property primarily used as professional or
    business offices;
    4 -
    Industrial, e.g. property used for the purposes of
    production, distribution and logistics;
    5 -
    Other types of commercial property;
    9 – Not applicable.
    If a property has a mixed use, it shall be considered as
    different properties (based for example on the surface areas
    dedicated to each use) whenever it is feasible to make such
    breakdown; otherwise, the property can be classified
    according to its dominant
    use.
    This item is only applicable to CIC category 9 -
    Property
    C0297Property
    location    		Identify property location, according to ESRB
    Recommendation of 21 March 2019 amending
    Recommendation ESRB/2016/14 on closing real estate data
    gaps.
    One of the options in the following closed list shall be used:
    1 -
    Prime;
    2 – Non-prime;
    9 – Not applicable.
    This item is only applicable to CIC category 9 -
    Property
    C0300Infrastructure
    investment    		Identify if the asset is an infrastructure investment as
    defined in Article 1 (55a) and (55b) of Delegated
    Regulation (EU) 2015/35.
    One of the options in the following closed list shall be used:
    1 — Not an infrastructure investment
    2 — Infrastructure non-qualifying: Government Guarantee
    (Government, Central bank, Regional government or local
    authority)
    3 — Infrastructure non-qualifying: Government Supported
    including Public Finance initiative (Government, Central
    bank, Regional government or local authority)
    4 — Infrastructure non-qualifying: Supranational
    Guarantee/Supported (ECB, Multilateral development bank,
    International organisation)
    9 — Infrastructure non-qualifying: Other non-qualifying
    infrastructure loans or investments, not classified under the
    above categories
    12 — Infrastructure qualifying: Government Guarantee
    (Government, Central bank, Regional government or local
    authority)
    13 — Infrastructure qualifying: Government Supported
    including Public Finance initiative (Government, Central
    bank, Regional government or local authority)
    14 — Infrastructure qualifying: Supranational
    Guarantee/Supported (ECB, Multilateral development bank,
    International organisation)
    19 — Infrastructure qualifying: Other qualifying
    infrastructure investments, not classified in the above
    categories.
    20 — European Long-Term Investment Fund (ELTIF
    investing in infrastructure assets and ELTIF investing in
    other — non infrastructure — assets)
    C0310Holdings in
    related
    undertakings,
    including
    participations    		Only applicable to CIC categories 3 -
    Equity and 4 -
    Collective Investment Undertakings.
    Identify if an equity and other share is a participation.
    One of the options in the following closed list shall be used:
    1 – Not a participation
    2 — Non-controlled participation in a related insurance and
    reinsurance undertaking under method 1
    3 — Non-controlled participation in related insurance and
    reinsurance undertaking under method 2
    4 — Participation in other financial sector
    5 — Subsidiary under method 2
    6 — Participation in other strategic related undertaking
    under method 1
    7 — Participation in other non-strategic related undertaking
    under method 1
    8 — Other participations (e.g. participation in other
    undertakings under method 2)
    C0320External ratingApplicable at least to CIC categories 1 -
    Government bonds,
    2 – Corporate bonds, 5 -
    Structured notes, 6 -
    Collateralised
    securities, CIC 87 and CIC 88, where available.
    This is the issue rating of the asset at the reporting reference
    date as provided by the nominated credit assessment
    institution (ECAI).
    If an issue rating is not available, the item shall be left
    blank.
    In case ‘Multiple ECAI’ is reported in C0330 report the
    most representative external rating.
    C0330Nominated
    ECAI    		Identify the credit assessment institution (ECAI) giving the
    external rating in C0320, by using the name of the ECAI as
    published on ESMA’s website. In case of ratings issued by
    subsidiaries of the ECAI please report the parent ECAI (the
    reference is made to ESMA list of credit rating agencies
    registered or certified in accordance with Regulation (EC)
    No 1060/2009 on credit rating agencies).
    Applicable at least to CIC categories 1 -
    Government bonds,
    2 – Corporate bonds, 5 -
    Structured notes, 6 -
    Collateralised
    securities and 8 -
    Mortgages and Loans, (other than CIC 87
    and CIC 88), where available.
    This item shall be reported where External rating (C0320)
    is reported. In case ‘No ECAI has been nominated and a
    simplification is used to calculate the SCR’, the External
    rating (C0320) shall be left blank and in Credit quality step
    (C0340) one of the following options shall be used: 2a; 3a
    or 3b.
    C0340Credit quality
    step    		Applicable to any asset for which Credit quality step needs
    to be attributed for the purpose of SCR calculation.
    Identify the credit quality step attributed to the asset, as
    defined by Article 109a(1) of Directive 2009/138/EC, by
    applying the mapping table prescribed in Implementing
    Regulation (EU) 2016/1800.
    The credit quality step shall in particular reflect any
    readjustments to the credit quality made internally by the
    undertakings that use the standard formula.
    This item is not applicable to assets for which undertakings
    using internal model use internal ratings. If undertakings
    using internal model do not use internal rating, this item
    shall be reported.
    One of the options in the following closed list shall be used:
    0 – Credit quality step 0
    1 – Credit quality step 1
    2 – Credit quality step 2
    2a – Credit quality step 2 due to the application of
    Article 176a of Delegated Regulation (EC) No
    2015/35 for unrated bonds and loans
    3 – Credit quality step 3
    3a – Credit quality step 3 due to the application of
    simplified
    calculation
    under
    Article
    105a
    of
    Delegated Regulation (EC) No 2015/35
    3b – Credit quality step 3 due to the application of
    Article 176a of Delegated Regulation (EC) No
    2015/35 for unrated bonds and loans
    4 – Credit quality step 4
    5 – Credit quality step 5
    6 – Credit quality step 6
    9 – No rating available
    C0350Internal ratingApplicable at least to CIC categories 1-
    Government bonds,
    2 – Corporate bonds, 5 -
    Structured notes, 6 -
    Collateralised
    securities and 8 -
    Mortgages and Loans, (other than CIC 87
    and CIC 88), where available.
    Internal rating of assets for undertakings using internal
    ratings.
    For undertakings applying a matching adjustment the item
    shall be reported to the extent that the internal ratings are
    used to calculate the fundamental spread referred to in
    Article 77(c)(2).
    C0360DurationOnly applies to CIC categories 1 – Government bonds, 2 – Corporate bonds, 4 – Collective Investments Undertakings
    (when applicable, e.g. for collective investment undertaking
    mainly invested in bonds), 5 – Structured notes and 6 – Collateralised securities
    Asset duration, defined as the ‘residual modified duration’
    (modified duration calculated based on the remaining time
    for maturity of the security, counted from the reporting
    reference date). For assets without fixed maturity the first
    call date shall be used but the probability of the call option
    being exercised shall be taken into account. The duration
    shall be calculated based on economic value.
    C0370Unit Solvency
    II price    		Amount in reporting currency for the asset, if relevant.
    This item shall be reported if a ‘quantity’ (C0130) has been
    provided in the first part of the template (‘Information on
    positions held’).
    This item shall not be reported if item Unit percentage of
    par amount Solvency II price (C0380) is reported.
    C0380Unit percentage
    of par amount
    Solvency II
    price    		Amount in percentage of par value, clean price without
    accrued interest, for the asset, if relevant.
    This item shall be reported if a ‘par amount’ information
    (C0140) has been provided in the first part of the template
    (‘Information on positions held’) except for CIC 71 and CIC
    category 9 -
    Property.
    This item shall not be reported if item Unit Solvency II
    price (C0370) is reported.
    C0390Maturity dateOnly applicable for CIC categories 1 – Government bonds,
    2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised
    securities, and 8 – Mortgages and Loans, CIC 74 and CIC
    79.
    Identify the ISO 8601 (yyyy-mm-dd) code of the maturity
    date.
    It corresponds always to the maturity date, even for callable
    securities.
    The following shall be considered:
    –For CIC 87 and CIC 88, the weighted (based on the
    loan amount) remaining maturity is to be reported.