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    S.37.01 — Risk concentration – Exposure to Counterparties Group

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    S.37.01 — Risk concentration – Exposure to Counterparties

    General comments:

    This section relates to the at least annually submission of information for groups.

    This template shall include all significant risk concentrations between entities in scope of group supervision and third parties which can add up from the risk exposures mentioned in the template irrespective of the choice of calculation method or whether sectoral solvency rules have been used for the purposes of the group solvency calculation.

    The aim is to list the significant exposures (value of the exposures in each kind of instrument listed in the template) by single counterparty outside the scope of the group. If more than one entity of the group is involved, for each entity a separate line is necessary.

    It can be understood as the maximum possible exposure on a contractual basis and not necessarily be reflected on the balance sheet, on both gross basis and net basis taking into account any risk mitigation instruments or techniques. Thresholds are fixed by the group supervisor after consulting the group itself and the college.

    Data should be reported by legal entity.

    ItemINSTRUCTIONS
    C0010Name
    of
    the
    external
    counterparty    		This is the name of the external counterparty of the group.
    C0020Identification
    code of the
    external
    counterparty
    of the group    		The unique identification code attached to the
    investor/buyer/transferee by this order of priority:
    -
    Legal Entity Identifier (LEI);
    -
    Specific code
    Specific code:
    -
    For EEA external counterparty: identification code used
    in the local market, if external counterparty is regulated – the one attributed by the external counterparty ’s competent
    supervisory authority;
    -
    For non-EEA external counterparties, identification code
    shall be provided by the group. When allocating an
    identification code to each non-EEA or non-regulated
    counterparty, the group shall comply with the following
    format in a consistent manner:
    identification code of the group of the external counterparty
    + ISO 3166-1 alpha-2 code of the country of the external
    counterparty + 5 digits
    C0030ID code type
    of the external
    counterparty
    of the group    		Type of ID Code used for the “Identification code of the
    external counterparty” item. One of the options in the
    following closed list shall be used:
    1 – LEI
    2 – Specific code
    C0045Name
    of
    the
    group (in case
    of
    group
    of
    counterparties)    		Name of the group in the case more than one of the external
    counterparties belong to the same corporate group
    C0080RatingRating of the counterparty at the reporting reference date
    issued by the nominated credit assessment institution
    (ECAI).
    Where two or more credit assessments are available
    from nominated ECAIs and they correspond to different
    parameters for a rated item, the assessment generating the
    higher capital requirement shall be used;
    C0090Nominated
    ECAI    		Identify the credit assessment institution (ECAI) giving the
    external rating in C0050;
    C0100SectorIdentify the economic sector of the external counterparty
    based on the latest version of NACE code (the first level of
    hierarchy – the letter).
    C0040CountryIdentify the ISO Code (3166-1 alpha-2) of country from
    which the exposure comes from. If there is an issuer of for
    example an entity, this is the country where the headquarter
    of the entity issuer is located.
    C0110Entity
    of the
    group    		The name of the entity of the group involved in the
    exposures. It concerns all entities and for each entity a
    separate entry has to be reported. If more than one entity of
    the group
    is involved, for each entity a separate line is
    necessary.
    C0120ID code of the
    Entity
    of the
    group    		Identification code of the undertaking, using the following
    priority:
    – Legal Entity Identifier (LEI) mandatory if existing;
    – Specific code in case of absence of LEI code.
    When the undertaking uses the option ‘Specific code’ the
    following shall be considered:
    – 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
    C0125ID code Type
    of the Entity of
    the group    		Type of ID Code used for the “Identification code of the
    Entity of the group” item. One of the options in the following
    closed list shall be used:
    1 – LEI
    2 – Specific code
    C0180EquityThe total amount of the exposures in equity instruments
    toward the external counterparty. If more than one entity of
    the group is involved, for each entity a separate line is
    necessary.
    C0190BondsThe total amount of the exposures in bond instruments
    toward the external counterparty. If more than one entity of
    the group is involved, for each entity a separate line is
    necessary.
    In
    this
    cell
    the
    exposures
    for
    which
    the
    Exemptions are applicable (C0260) should be included.
    C0200Assets
    whose
    risks
    are
    mainly
    borne
    by
    the
    policyholders    		The total amount of exposures in assets whose risks are
    mainly borne by the policyholders toward the external
    counterparty. If more than one entity of the group is
    involved, for each entity a separate line is necessary. Look
    through approach should be used
    only when available.
    C0210DerivativesThe total amount of the exposures in derivatives toward the
    external counterparty. If more than one entity of the group is
    involved, for each entity a separate line is necessary. The
    derivatives shall be reported at their replacement cost If there
    is
    possibility
    of
    compensations
    among
    the
    different
    exposures the data may be provided in net values (i.e. long
    exposure+short exposure).
    C0230Loans
    and
    mortgages    		The total amount of the exposures in loans and mortgages
    toward the external counterparty. If more than one entity of
    the group is involved, for each entity a separate line is
    necessary
    C0240Guarantees
    and
    Commitments    		The total amount of the exposures (i.e. maximum actual
    exposure depending on the liability of the entity) in
    guarantees and commitments (including upaid tranches of
    loans) toward the external counterparty. If more than one
    entity of the group is involved, for each entity a separate line
    is necessary
    Guarantees issued by the entities of the group should be
    reported in this column, while guarantees where the group
    entities are beneficiaries should be reported as credit or
    insurance risk mitigation deduction (C0260) and in the
    indirect exposures (C0220).
    C0250Insurance
    policies    		The total amount of the exposure in the insurance policies
    (liability
    limit
    or
    sum
    insured
    depending
    which
    one
    represents the maximum possible exposure)
    C0260External
    reinsurance    		The total amount of the exposures in external reinsurance
    toward
    the
    external
    counterparty.
    In accordance
    with
    sectoral
    rules amount
    reported
    should
    be
    reinsurance
    recoverables If more than one entity of the group is involved,
    for each entity a separate line is necessary.
    C0270Others
    direct
    exposures    		The total amount of the exposures in other instruments
    toward the external counterparty. If more than one entity of
    the group is involved, for each entity a separate line is
    necessary. If there is possibility of compensation the net
    value may be presented.
    C0280Description of
    others    		Description of the other instruments that are reported in
    C0200
    C0290Indirect
    exposures    		Total amount of the exposures allocated to the guarantor or
    to the issuer of the collateral rather than to the immediate
    borrower. The protected reference original exposure (direct
    exposure) shall be deducted from the exposure to the original
    borrower in the columns of “Eligible credit risk mitigation
    techniques”.
    The
    indirect
    exposure
    shall
    increase
    the
    exposure to the guarantor or issuer of collateral via
    substitution effect.
    C0300Transactions
    where there is    		Total amount of exposure through transactions such as
    securitisation positions or exposures in the form of units or
    an exposure to
    underlying
    assets    		shares in collective investment undertakings (‘CIUs’) or
    through other transactions where there is an exposure to
    underlying assets,
    C0160CurrencyIdentify the ISO 4217 alphabetic code of the currency of the
    exposure
    C0150Total
    amount
    of
    the
    exposure    		Total exposure towards a single counterparty, where the
    asset and liabilities due from and to a single counterparty are
    netted off to define the total net maximum exposure, where
    possible. The Total exposure measures the market direction
    towards a single counterparty and is defined as: Long
    exposure + short exposure (in contrary to a gross maximum
    exposure which is not requested here (=long exposure +
    absolute value of short exposure)). No account shall be taken
    of any risk mitigation instruments or techniques when
    determining this item.
    C0310Credit
    or
    insurance risk
    mitigation
    technique    		Any deduction that come from the application of insurance
    or risk mitigation technique allowed such as reinsurance, the
    use of derivatives.
    With regard to insurance exposures, in case of non
    proportional reinsurance encompassing more than one
    counterparty,
    the
    deductions
    should
    be
    allocated
    proportionally or, alternatively, according to justifiable
    break-down agreed with the group supervisor.
    C0320ExemptionsAny deduction that come from the application of exemptions
    according to Article 187 of Delegated Regulation (EU)
    2015/35)
    C0330Amount of the
    exposures
    after Credit or
    insurance risk
    mitigation
    technique and
    exemptions    		Amount of the exposures after Credit or insurance risk
    mitigation technique and exemptions (net amount)