Commission Implementing Regulation (EU) 2015/2450Show full title

S.06.02 — List of assets U.K.

General comments:

This section relates to quarterly and annual submission of information for individual entities.

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 undertaking (i.e. not on a look–through basis), classifiable as asset categories 0 to 9 (in case of unit–linked and index–linked product 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 this 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.

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

[F1 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.]

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2016/1868 of 20 October 2016 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

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 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 35 (6) and (7) 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.

	ITEM	INSTRUCTIONS
Information on positions held
C0040	Asset ID Code	Asset 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’
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 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 [F1 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	Portfolio	Distinction between life, non–life, shareholder's funds, other internal funds, general (no split) and ring fenced funds. 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, 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 assets held in ring fenced funds or other internal funds (defined according to national markets). Number which is attributed by the undertaking, corresponding to the unique number assigned to each fund. This number has to be consistent over time and shall be used to identify the funds in other templates. It shall not be re–used for a different fund.
C0080	Matching portfolio number	Number which is attributed by the undertaking, corresponding to the unique number assigned to each matching adjustment portfolio as prescribed in Article 77b(1)(a) of Directive 2009/138/EC. This number 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.
C0090	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
C0100	Asset 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 pledged part of 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
C0110	Country of custody	[F1 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. [F2 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 issuer country is assessed by the address of the property.
C0120	Custodian	Name 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. When available, this item corresponds to the entity name in the LEI database. When this is not available it corresponds to the legal name. [F2 This item is not applicable for CIC category 8 — Mortgages and Loans, CIC 71, CIC 75 and for CIC category 9 — Property.]
C0130	Quantity	Number of assets, for relevant assets. This item shall not be reported if item Par amount (C0140) is reported. [F3 This item is not applicable for CIC category 71 and 9.]
C0140	Par amount	[F1 Amount 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 8. This item is not applicable for CIC category 71 and 9. This item shall not be reported if item Quantity (C0130) is reported.]
C0150	Valuation 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 (EU) 2015/35
C0160	Acquisition value	Total acquisition value for assets held, clean value without accrued interest. Not applicable to CIC categories 7 and 8.
C0170	Total Solvency II amount	[F1 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; [F4 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 asset categories 71 and 9.]
C0180	Accrued interest	Quantify the amount of accrued interest after the last coupon date for interest bearing [F4 assets]. Note that this value is also part of item Total Solvency II amount.

Textual Amendments

F2 Substituted by Commission Implementing Regulation (EU) 2018/1844 of 23 November 2018 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F3 Inserted by Commission Implementing Regulation (EU) 2018/1844 of 23 November 2018 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F4 Substituted by Commission Implementing Regulation (EU) 2017/2189 of 24 November 2017 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

	ITEM	INSTRUCTION
Information on assets
C0040	Asset ID Code	Asset 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’
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 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) [F4 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: ‘[F4 99/1]’.
C0190	Item Title	Identify 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 category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons, 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.
C0200	Issuer Name	Name 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; 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 category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons, 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 8 — Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower; This item is not applicable for CIC 71, CIC 75 and CIC category 9 — Property.
C0210	Issuer Code	Identification of the issuer code 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; 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 8 — Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower; This item is not applicable for CIC 71, CIC 75and CIC category 9 — Property; This item is not applicable to CIC category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons.
C0220	Type 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 category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons. This item is not applicable for CIC 71, CIC 75 and CIC category 9 — Property.
C0230	Issuer Sector	Identify 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). The letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘A’ or ‘A0111’ would be acceptable) except for the NACE relating to Financial and Insurance activities, for which the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’). 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 8 — Mortgages and Loans, other than mortgage and loans to natural persons the information shall relate to the borrower; This item is not applicable for CIC 71, CIC 75and CIC category 9 — Property; This item is not applicable to CIC category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons.
C0240	Issuer Group	Name of issuer's ultimate parent entity. For collective investment undertakings the group relation relates to the fund manager. 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 group relation relates to the fund manager; Regarding CIC category 7 — Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entity Regarding CIC 8 — Mortgages and Loans, other than mortgage and loans to natural persons the group relation relates to the borrower; This item is not applicable for CIC category 8 — Mortgages and Loans (for mortgages and loans to natural persons) This item is not applicable for CIC 71, CIC 75 and CIC category 9 — Property.
C0250	Issuer Group Code	Issuer group's identification 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 group relation relates to the fund manager; Regarding CIC category 7 — Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entity Regarding CIC 8 — Mortgages and Loans, other than mortgage and loans to natural persons the group relation relates to the borrower; This item is not applicable for CIC category 8 — Mortgages and Loans (for mortgages and loans to natural persons) This item is not applicable for CIC 71, CIC 75 and CIC category 9 — Property.
C0260	Type 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 This item is not applicable to CIC category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons. This item is not applicable for CIC 71, CIC 75 and CIC category 9 — Property.
C0270	Issuer Country	ISO 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 is relative to the fund manager; 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 mortgage and loans to natural persons 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 category 8 — Mortgages and Loans, when relating to mortgage and loans to natural persons. One of the options shall be used: ISO 3166–1 alpha–2 code XA: Supranational issuers EU: European Union Institutions
C0280	Currency	Identify the ISO 4217 alphabetic code of the currency of the issue. The following shall be considered: This item is not applicable for CIC category 8 — Mortgages and Loans (for mortgages and loans to natural persons, as those assets are not required to be individualised), CIC 75 and for CIC 95 Plant and equipment (for own use) for the same reason; Regarding CIC Category 9, excluding CIC 95 Plant and equipment (for own use), the currency corresponds to the currency in which the investment was made.
C0290	CIC	Complementary 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.
[F5 C0292	SCR calculation approach for CIU	One of the options in the following closed list shall be used: 1- CIUs for which a full look-through was applied for the purposes of SCR calculation in accordance with Article 84(1) of Delegated Regulation (EC) No 2015/35; 2- CIUs for which the ‘ simplified ’ look-through was applied on the basis of the target underlying asset allocation or last reported asset allocation and for which the data groupings is used in accordance with Article 84(3) of Delegated Regulation (EC) No 2015/35; 3- CIUs for which the ‘ simplified ’ look-through was applied on the basis of the target underlying asset allocation or last reported asset allocation and for which no data groupings is used in accordance with Article 84(3) of Delegated Regulation (EC) No 2015/35; 4- CIUs for which for the ‘ equity risk type 2 ’ was applied in accordance with Article 168(3) of Delegated Regulation (EC) No 2015/35; 9- Not applicable The look-through options of this item shall reflect the approach taken for the SCR calculation. For the purposes of reporting the information on look-through required in template S.06.03 the look-through information is required considering the thresholds defined in the general comments of that template. This item is only applicable to CIC category 4.]
[F1 C0300	Infrastructure investment	Identify if the asset is an infrastructure investment as defined in article 1 (55a) and (55b) of Commission 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)]
C0310	Holdings in related undertakings, including participations	Only applicable to asset categories 3 and 4. Identify if an equity and other share is a participation. One of the options in the following closed list shall be used: 1 – [F6 Not a participation 2 – Is a participation in which the look though approach in accordance with Article 84 of Delegated Regulation (EU) 2015/35 is applied 3 – Is a participation in which the look though approach in accordance with Article 84 of Delegated Regulation (EU) 2015/35 is not applied]
C0320	External rating	[F4 Applicable at least to CIC categories 1, 2, 5, 6 and 8 (Mortgages and Loans, other than mortgages and loans to natural persons), 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.]
C0330	Nominated ECAI	[F4 Identify the credit assessment institution (ECAI) giving the external rating in C0320, by using the following closed list. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies). In case a new Credit Rating Agency is registered or certified by ESMA and while the closed list is not up-dated please report ‘Other nominated ECAI’. Applicable at least to CIC categories 1, 2, 5, 6 and 8 (Mortgages and Loans, other than mortgages and loans to natural persons), where available.] — [F6 Euler Hermes Rating GmbH (LEI code: 391200QXGLWHK9VK6V27) — Japan Credit Rating Agency Ltd (LEI code: 35380002378CEGMRVW86) — BCRA-Credit Rating Agency AD (LEI code: 747800Z0IC3P66HTQ142) — Creditreform Rating AG (LEI code: 391200PHL11KDUTTST66) — Scope Ratings GmbH (LEI code: 391200WU1EZUQFHDWE91) — ICAP Group SA (LEI code: 2138008U6LKT8VG2UK85) — GBB-Rating Gesellschaft für Bonitätsbeurteilung GmbH (LEI code: 391200OLWXCTKPADVV72) — ASSEKURATA Assekuranz Rating-Agentur GmbH (LEI code: 529900977LETWLJF3295) — ARC Ratings, S.A. (LEI code: 213800OZNJQMV6UA7D79) — AM Best Europe — A.M. Best (EU) Rating Services B.V. (LEI code: 549300Z2RUKFKV7GON79) — AM Best Europe-Rating Services Ltd. (AMBERS) (LEI code: 549300VO8J8E5IQV1T26) — DBRS Ratings Limited (LEI code: 5493008CGCDQLGT3EH93) — Fitch Fitch France S.A.S. (LEI code: 2138009Y4TCZT6QOJO69) Fitch Deutschland GmbH (LEI code: 213800JEMOT1H45VN340) Fitch Italia S.p.A. (LEI code: 213800POJ9QSCHL3KR31) Fitch Polska S.A. (LEI code: 213800RYJTJPW2WD5704) Fitch Ratings España S.A.U. (LEI code: 213800RENFIIODKETE60) Fitch Ratings Limited (LEI code: 2138009F8YAHVC8W3Q52) Fitch Ratings CIS Limited (LEI code: 213800B7528Q4DIF2G76) — Moody’s Moody’s Investors Service Cyprus Ltd (LEI code: 549300V4LCOYCMNUVR81) Moody’s France S.A.S. (LEI code: 549300EB2XQYRSE54F02) Moody’s Deutschland GmbH (LEI code: 549300M5JMGHVTWYZH47) Moody’s Italia S.r.l. (LEI code: 549300GMXJ4QK70UOU68) Moody’s Investors Service España S.A. (LEI code: 5493005X59ILY4BGJK90) Moody’s Investors Service Ltd (LEI code: 549300SM89WABHDNJ349) Moody’s Investors Service EMEA Ltd (LEI code: 54930009NU3JYS1HTT72) Moody’s Investors Service (Nordics) AB (LEI code: 549300W79ZVFWJCD2Z23) — Standard & Poor’s — S&P Global Ratings Europe Limited (LEI code:5493008B2TU3S6QE1E12) — CRIF Ratings S.r.l. (LEI code: 8156001AB6A1D740F237) — Capital Intelligence Ratings Ltd (LEI code: 549300RE88OJP9J24Z18) — European Rating Agency, a.s. (LEI code: 097900BFME0000038276) — Axesor Risk Management SL (LEI code: 959800EC2RH76JYS3844) — Cerved Rating Agency S.p.A. (LEI code: 8156004AB6C992A99368) — Kroll Bond Rating Agency (LEI code: 549300QYZ5CZYXTNZ676) — The Economist Intelligence Unit Ltd (LEI code: 213800Q7GRZWF95EWN10) — Dagong Europe Credit Rating Srl (Dagong Europe) (LEI code: 815600BF4FF53B7C6311) — Spread Research (LEI code: 969500HB6BVM2UJDOC52) — EuroRating Sp. z o.o. (LEI code: 25940027QWS5GMO74O03) — HR Ratings de México, S.A. de C.V. (HR Ratings) (LEI code: 549300IFL3XJKTRHZ480) — Egan-Jones Ratings Co. (EJR) (LEI code: 54930016113PD33V1H31) — modeFinance S.r.l. (LEI code: 815600B85A94A0122614) — INC Rating Sp. z o.o. (LEI code: 259400SUBF5EPOGK0983) — Rating-Agentur Expert RA GmbH (LEI code: 213800P3OOBSGWN2UE81) — Kroll Bond Rating Agency Europe Limited (LEI code: 5493001NGHOLC41ZSK05) — Nordic Credit Rating AS (LEI code: 549300MLUDYVRQOOXS22) — DBRS Rating GmbH (LEI code: 54930033N1HPUEY7I370) — Beyond Ratings SAS (LEI code: 9695006ORIPPZ3QSM810) — Other nominated ECAI — No ECAI has been nominated and a simplification is being used to calculate the SCR] [F6 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.]
C0340	Credit quality step	[F4 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. 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 – [F6 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 the 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]
C0350	Internal rating	[F7 Only applicable to CIC categories 1, 2, 5 and 6.] [F4 Applicable at least to CIC categories 1, 2, 5, 6 and 8 (Mortgages and Loans, other than mortgages and loans to natural persons), where available.]
C0360	Duration	Only applies to CIC categories 1, 2, 4 (when applicable, e.g. for collective investment undertaking mainly invested in bonds), 5 and 6. 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. The duration shall be calculated based on economic value.
C0370	Unit 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.
C0380	Unit percentage of par amount Solvency II price	[F1 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 category 71 and 9. This item shall not be reported if item Unit Solvency II price (C0370) is reported.]
C0390	Maturity date	Only applicable for CIC categories 1, 2, 5, 6, and 8, 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 perpetual securities use ‘9999–12–31’ For CIC category 8, regarding loans and mortgages to individuals, the weighted (based on the loan amount) remaining maturity is to be reported.

Textual Amendments

F5 Inserted by Commission Implementing Regulation (EU) 2019/2103 of 27 November 2019 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F6 Substituted by Commission Implementing Regulation (EU) 2019/2103 of 27 November 2019 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).

F7 Deleted by Commission Implementing Regulation (EU) 2017/2189 of 24 November 2017 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).