S.07.01 — Structured products Group
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S.07.01 — Structured products
General comments:
This section relates to the 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 CIC codes refer to Annex VI — CIC table of this Regulation.
Structured products are defined as assets falling into the asset categories 5 (Structured notes) and 6 (Collateralised securities).
This template shall only be reported when the amount of structured products, measured as the ratio between assets classified as asset categories 5 (Structured notes) and 6 (Collateralised securities) as defined in Annex IV — Asset Categories of this Regulation and the sum of item C0010/R0070 and C0010/R0220 of template S.02.01, is higher than 5 % 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.
In some cases the types of structured products (C0070) identify the derivative embedded in the structured product. In this case this classification shall be used when the structured product has the referred derivative embedded.
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 structured notes and collateralised securities net of intra-group transactions held within the scope of group supervision in its portfolio. 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 structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies shall be reported item by item;
- The structured products 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;
- The structured products held by other related undertakings shall not be included.
Where method 2 is used exclusively, the reporting shall include the detailed list of the structured notes and collateralised securities held by the participating undertakings, the insurance holding companies or mixed-financial holding companies and subsidiaries, and 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 structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies shall be reported item by item
The structured products 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;
The structured products held by other related undertakings 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 structured notes and collateralised securities, 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 structured notes and collateralised securities held 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 structured products held directly by participating insurance and reinsurance undertakings or insurance holding companies or mixed-financial holding companies shall be reported item by item;
- The structured products 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;
- The structured products 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 structured products held directly 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 structured products 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;
- The structured products 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 structured product. This item shall be filled in only when it relates to structured products 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 | Asset ID Code | The Identification code of the structured product, as reported in S.06.02 using the following priority: |
| – ISO 6166 ISIN when available | ||
| – Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC) | ||
| – Code attributed by the undertaking, when the options above are not available. The code used shall be kept consistent over time and shall not be reused for other product. | ||
| When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies, it is necessary to specify the Asset ID code and the ISO 4217 alphabetic code of the currency, as in the following example: ‘code+EUR’ |
| C0050 | Asset ID Code type | Type of ID Code used for the ‘Asset ID Code’ item. One of the options in the following closed list shall be used: |
|---|---|---|
| 1 — ISO/6166 for ISIN | ||
| 2 — CUSIP (The Committee on Uniform Securities Identification Procedures number assigned by the CUSIP Service Bureau for U.S. and Canadian companies) | ||
| 3 — SEDOL (Stock Exchange Daily Official List for the London Stock Exchange) | ||
| 4 — WKN (Wertpapier Kenn-Nummer, the alphanumeric German identification number) | ||
| 5 — Bloomberg Ticker (Bloomberg letters code that identify a company’s securities) | ||
| 6 — BBGID (The Bloomberg Global ID) | ||
| 7 — Reuters RIC (Reuters instrument code) | ||
| 8 — FIGI (Financial Instrument Global Identifier) | ||
| 9 — Other code by members of the Association of National Numbering Agencies | ||
| 99 — Code attributed by the undertaking | ||
| When the same Asset ID Code needs to be reported for one asset that is issued in 2 or more different currencies and the code in C0040 is defined by Asset ID code and the ISO 4217 alphabetic code of the currency, the Asset ID Code Type shall refer to option 99 and the option of the original Asset ID Code, as in the following example for which the code reported was ISIN code + currency: ‘99/1’. | ||
| C0060 | Collateral type | Identify the type of collateral, using the assets categories defined in Annex IV — Assets Categories. One of the options in the following closed list shall be used: |
| 1 — Government bonds | ||
| 2 — Corporate bonds | ||
| 3 — Equity | ||
| 4 — Collective Investment Undertakings | ||
| 5 — Structured notes | ||
| 6 — Collateralised securities | ||
| 7 — Cash and deposits | ||
| 8 — Mortgages and loans | ||
| 9 — Properties | ||
| 0 — Other investments | ||
|---|---|---|
| 10 — No collateral | ||
| When more than one category of collateral exists for one | ||
| single structured product, the most representative one shall be reported. | ||
| C0070 | Type of structured product | Identify the type of structure of the product. One of the options in the following closed list shall be used: |
| 1 — Credit linked notes | ||
| Security or deposit with an embedded credit derivative (e.g. credit default swaps or credit default options) | ||
| 2 — Constant maturity swaps | ||
| (security with an embedded interest rate swap (‘IRS’), where the floating interest portion is reset periodically according to a fixed maturity market rate.) | ||
| 3 — Asset backed securities | ||
| (security that has an asset as collateral.) | ||
| 4 — Mortgage backed securities | ||
| (security that has real estate as collateral.) | ||
| 5 — Commercial mortgage backed securities | ||
| (security that has real estate as collateral such as retail properties, office properties, industrial properties, multifamily housing and hotels.) | ||
| 6 — Collateralised debt obligations | ||
| (structured debt security backed by a portfolio consisting of secured or unsecured bonds issued by corporate or sovereign obligators, or secured or unsecured loans made to corporate commercial and industrial loan costumers of lending banks.) | ||
| 7 — Collateralised loan obligations | ||
| (security that has as underlying a trust of a portfolio of loans where the cash-flows from the security are derived from the portfolio.) | ||
| 8 — Collateralised mortgage obligations | ||
| (investment-grade security backed by a pool of bonds, loans and other assets.) | ||
| 9 — Interest rate-linked notes and deposits | ||
| 10 — Equity-linked and Equity Index Linked notes and deposits |
| 11 — FX and commodity-linked notes and deposits | ||
|---|---|---|
| 12 — Hybrid linked notes and deposits | ||
| (it includes real estate and equity securities) | ||
| 13 — Market-linked notes and deposits | ||
| 14 — Insurance-linked notes and deposits, including notes covering Catastrophe and Weather Risk as well as Mortality Risk | ||
| 99 — Others not covered by the previous options | ||
| C0080 | Capital protection | Identify whether the product has capital protection. One of the options in the following closed list shall be used: |
| 1 — Full capital protection | ||
| 2 — Partial capital protection | ||
| 3 — No capital protection | ||
| C0090 | Underlying security / | Describe the type of underlying. One of the options in the following closed list shall be used: |
| index / | 1 — Equity and Funds (a selected group or basket of equities) | |
| portfolio | 2 — Currency (a selected group or basket of currencies) | |
| 3 — Interest rate and yields (bond indices, yield curves, differences in prevailing interest rates on shorter and longer – term maturities, credit spreads, inflation rates and other interest rate or yield benchmarks) | ||
| 4 — Commodities (a selected, basic good or group of goods) | ||
| 5 — Index (performance of a selected index) 6 — Multi (allowing for a combination of the possible types listed above) | ||
| 9 — Others not covered by the previous options (e.g. other economic indicators) | ||
| C0100 | Callable or Putable | Identify whether the product has call and/or put features, or both, if applicable. One of the options in the following closed list shall be used: |
| 1 — Call by the buyer | ||
| 2 — Call by the seller | ||
| 3 — Put by the buyer | ||
| 4 — Put by the seller | ||
| 5 — Any combination of the previous options |
| 6 — Not applicable | ||
|---|---|---|
| C0110 | Synthetic structured product | Identify if it is a structured products without any transfer of assets (e.g. products that will not give rise to any delivery of assets, except cash, if an adverse / favourable event occurs). One of the options in the following closed list shall be used: 1 — Structured product without any transfer of asset 2 — Structured product with transfer of asset |
| C0120 | Prepayment structured product | Identify if it is a structured products which have the possibility of prepayment, considered as an early unscheduled return of principal. One of the options in the following closed list shall be used: 1 — Prepayment structured product 2 — Not a prepayment structured product |
| C0130 | Collateral value | Total amount of collateral attached to the structured product despite the nature of the collateral. In case of collateralisation on a portfolio basis, only the value referred to the single contract must be reported and not the total. |
| C0140 | Collateral portfolio | This item informs if the collateral to the structured product covers only one structured product or more than one structured product that is held by the undertaking. Net positions refer to the positions held on structured products. One of the options in the following closed list shall be used: 1 — Collateral calculated on the basis of net positions resulting from a set of contracts 2 — Collateral calculated on the basis of a single contract 10 — No collateral |
| C0150 | Fixed annual return | Identify the coupon (reported as a decimal), if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). |
| C0160 | Variable annual return | Identify variable rate of return if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). It is most commonly identified as a benchmark market rate plus a spread, or as dependent on the performance of a portfolio or index (underlying dependent) or more complex returns set by the path of the underlying asset’s price (path dependent), among others. When needed this item may be reported as a string to reflect how the return is calculated. |
| C0170 | Loss given default | The percentage (reported as a decimal,) of the invested amount that will not be recovered following default, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). |
|---|---|---|
| If information is not defined in the contract this item shall not be reported. This item is not applicable for non-credit structured product. | ||
| C0180 | Attachment point | The contractually defined loss percentage (reported as a decimal) above which the losses affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non – credit structured product. |
| C0190 | Detachment point | The contractually defined loss percentage (reported as a decimal) above which the losses seize to affect the structured product, if applicable, for CIC categories 5 (Structured notes) and 6 (Collateralised securities). This item is not applicable for non-credit structured product. |