S.36.02 — IGT — Derivatives Group

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S.36.02 — IGT — Derivatives PDF · reporting-explanations/EIOPA_Solvency_II/2.8.0/EIOPA_S.36.02_group.pdf

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S.36.02 — IGT — Derivatives

General comments:

This template relates to the information groups are requested to provide at least annually.

This template shall report all (significant, very significant and transactions required to be reported in all circumstances) intra-group transactions between entities in scope of group supervision related to derivatives. Significant intra-group transactions related to derivatives shall be reported where the carrying amount of the derivative exceeds the threshold. These include, but are not limited to:

Interest rate contracts, including swaps, forward agreements, futures and options;
Foreign exchange contracts, including swaps, forward agreements, futures and options;
Contracts of a nature similar to those in points 1(a) to (e) and 2(a) to (d) of this Annex concerning other reference items or indices.

This template shall include intragroup transactions that were:

in-force at the start of the reporting period.
incepted during the reporting period and outstanding at the reporting date.
incepted and expired/matured during the reporting period.

Where two or more transactions between entities of the group which, from an economic perspective, contribute to the same risk, or, serve the same purpose / objective or are temporally connected in a plan, they shall be considered as a single economic operation.

As such each transaction which is part of a single economic operation shall be reported whenever collectively they are at or above the corresponding threshold for significant intragroup transactions, even though individually the transactions fall below the threshold.

Any element added to significant intragroup transactions shall be reported as a separate intragroup transaction, even if the element in its own right falls below the significant threshold limit. For example, if an undertaking increases the initial loan amount to another related undertaking the addition to the loan shall be recorded as a separate item with its issue date as the date of the addition.

Where the transaction value is different for two transacting parties (e.g. a €10m transaction between A and B where A records €10m but B only receive €9.5m because of transactions costs, of say €0.5m has been expensed) the template shall record the maximum amount as the transaction amount, in this case €10m.

Indirect transactions shall be defined as any transaction shifting risk exposures between entities within the group including but not limited to transactions with special purpose vehicle, collective investment undertakings, ancillary entities or unregulated entities; or entities outside of the group but ultimately risk exposure is brought back or stays within the group. Where there is a chain of related intragroup transactions (e.g. A invests in B and B invests in C), this transaction shall be reported as an indirect transaction. Therefore A to C transaction shall be reported and the comments shall mention the intermediary step. In the case of a waterfall of transactions, e. g. if “A”-> “B” -> “C”-> “D” where both “B” and “C” are both in the group but unregulated entities, this transaction shall also be reported.

ITEM		INSTRUCTIONS
C0010	ID of intragroup transaction	Unique internal identification code for each intragroup transaction. It shall be consistent over time.
C0020	Investor/ buyer name	Name of the entity that is investing/buying the derivative, or the counterparty with the long position. For swaps the payer is the payer of the fixed rate that receives the floating rate.
C0030	Identification code of the investor / buyer	The unique identification code attached to the investor/buyer/transferee 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 group: 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 group, identification code shall be provided by the group. When allocating an identification code to each non-EEA
		or non-regulated undertaking, the group shall 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
C0031	Type of code of the investor / buyer	Type of ID Code used for the “Identification code of the investor / buyer” item. One of the options in the following closed list shall be used: 1 – LEI 2 – Specific code
NC0040	Sector of the investor / buyer	If the investor / buyer is part of financial sector within the meaning of Article 2 (8) of Directive 2002/87/EC, indicate: “banking sector”, “insurance and reinsurance sector” “investments services sector”.
		If the investor / buyer is not part of financial sector within the meaning of Article 2 (8) indicate: “other undertaking of the group”.

C0050	Issuer / Seller name	Name of the entity that is issuing/selling the derivative, or the counterparty with the short position. For swaps the receiver, receives the fixed rates and pays the floating rate.
C0060	Identification code of the issuer / seller	The unique identification code attached to the investor/buyer/transferee 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 group: 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 group, identification code shall be provided by the group.
		When allocating an identification code to each non-EEA or non-regulated undertaking, the group shall 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
C0061	Type of code of the issuer / seller	Type of ID Code used for the “Identification code of the issuer / seller” item. One of the options in the following closed list shall be used:
		1 – LEI
		2 – Specific code
NC0070	Financial sector of the issuer / seller	If the issuer / seller is part of financial sector within the meaning of Article 2 (8) of Directive 2002/87/EC, indicate: “banking sector”, “insurance and reinsurance sector” “investments services sector”.
		If the issuer / seller is not part of financial sector within the meaning of Article 2 (8) indicate: “other undertaking of the group”.
NC0080	Indirect transactions	If reported intragroup transaction is part of an indirect transaction (cf. General comments supra), report the “ID of intragroup transaction” (C0010) of the related transaction in the cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions. If the reported intragroup transaction is not part of an
		indirect transaction, indicate No.

NC0090	Single economic operation	If the reported intragroup transaction is part of single economic operation (cf. General comments supra), report the “ID of intragroup transaction” (C0010) of the related transaction in the cell. If more than two transactions are related, the ID code of the first related transaction needs to be reported as a reference to link all interconnected transactions
		If the reported intragroup transaction is not part of single economic operation, indicate No.
NC0100	ID Code of the instrument	This is the identification code of the instrument (capital, debt etc.) between the two counterparties identified 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 shall be consistent over time.
		This may be different from the intragroup transaction code provided in cell C0010.
NC0101	ID Code Type of the instrument	Type of ID Code used for the “ID Code of the instrument” 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

NC0110	Type of instrument	Identify the transaction type. The following close list shall be used:
		1 - Derivatives – futures
		2 - Derivatives – forwards
		3 - Derivatives – options
		4 - Derivatives – others
		5 - Guarantees – credit protection
		6 - Guarantees – others
		7 - Swaps
		8 - Others
		A repurchase agreement shall be considered as cash transaction plus forward contract.
NC0120	Type of protection	Identify the transaction type. The following close list shall be used:
		1 - credit default
		2 - interest rate
		3 - currency
		4 - others
NC0130	Purpose of the instrument	Describe use of derivative (micro / macro hedge, efficient portfolio management). Micro hedge refers to derivatives covering a single financial instrument, forecasted transaction or liability. Macro hedge refers to derivatives covering a set of financial instruments, forecasted transactions or liabilities. The following closed list shall be used:
		1 - Micro hedge
		2 - Macro hedge
		3 - Matching assets and liabilities cash-flows
		4 - Efficient portfolio management, other than “Matching assets and liabilities cash-flows”
		5 – Others
NC0140	Starting date	Identify the ISO 8601 (yyyy-mm-dd) code of the date of the transaction/trade of the derivative contract. For rolled contracts use the initial trade date.
NC0150	Maturity date	Identify the ISO 8601 (yyyy-mm-dd) code of the contractually defined date of close of the derivative

		contract, whether at maturity date, expiring date for options (European or American), etc.
NC0160	Currency of transaction	Identify the ISO 4217 alphabetic code of the currency in which the transaction took place.
NC0170	Notional amount	The amount covered or exposed to the derivative at the reporting date, i.e. the closing balance, reported in the reporting currency of the group. For futures and options, corresponds to contract size multiplied by the number of contracts. For swaps and forwards, corresponds to the contract amount. Where a transaction has matured/expired during the reporting period before the reporting date, the notional amount at the
NC0180	Carrying amount	reporting date shall be zero. Value of the derivative at the reporting date as reported in the balance sheet of the entity. Where a transaction has matured/expired during the reporting period before the reporting date, the carrying amount at the reporting date shall be the maximum carrying amount of the derivatives before the maturity of the transaction
NC0190	Value of collateral	Value of the collateral pledged on reporting date (zero if derivative has been closed) if applicable, reported in the reporting currency of the financial conglomerate.
NC0200	Identification code Asset / Liability underlying	ID Code of the asset or liability underlying the derivative contract. This item is to be provided for derivatives that have a single underlying instrument or index in the undertaking’s portfolio.
	the derivative	An index is considered a single instrument and shall be reported. Identification code of the instrument underlying the derivative using the following priority:
		o ISO 6166 code of ISIN when available o Other recognised codes (e.g.: CUSIP, Bloomberg Ticker, Reuters RIC) o Code attributed by the undertaking, when the options above are not available, and shall be consistent over time o “Multiple assets/liabilities”, if the underlying assets or liabilities are more than one

		If the underlying is an index, then the code of the index shall be reported.
NC0201	Type of code Asset / Liability	Type of ID Code used for the “Identification code Asset / Liability underlying the derivative” item. One of the options in the following closed list shall be used:
	underlying the	1 - ISO 6166 for ISIN code
	derivative	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. This option shall also be used for the cases of “Multiple assets/liabilities” and indexes
NC0210	Counterparty name for which credit	Name of the counterparty for which protection has been purchased for its default
	protection is purchased
NC0220	Swap delivered interest rate (for buyer)	Interest rate delivered under the swap contract (only for Interest rate swaps).
NC0230	Swap received interest rate (for buyer)	Interest rate received under the swap contract (only for Interest rate swaps).
NC0240	Swap delivered	Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps).

	currency (for buyer)
C0250	Swap received currency (for buyer)	Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps).
C0260	Revenues stemming from derivatives	Net revenues stemming from the investment or the purchase of derivatives. Following the IFRS based P&L, both realized and unrealized results are expected here. The amounts should be filed with their clean value (in comparison to QRT S. 09.01. SII). Interests will be reported in S.36.05 P&L.
C0270	Comments	Comments shall contain: a notification if the transaction has not been - performed at arm’s length any other relevant information regarding the - economic nature of the operation.