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Commission Implementing Regulation (EU) 2015/2450 of 2 December 2015 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)
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Commission Implementing Regulation (EU) 2015/2450,
S.36.02 — IGT — Derivatives
is up to date with all changes known to be in force on or before 17 August 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2015 No. 2450 may be subject to amendment by EU Exit Instruments made by the Prudential Regulation Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 2. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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General comments:
This section relates to annual submission of information for groups.
This template shall report all IGTs between entities in scope of group supervision according to Article 213 (2) (a) to (c) of Directive 2009/138/EC, irrespective of the choice of calculation method or whether sectoral solvency rules have been used for the purposes of the group solvency calculation.
[ F1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .]
Textual Amendments
F1 Deleted 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).
This template shall include IGTs 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 similar transactions with a related entity may be excluded from IGT reporting when considered individually against the thresholds for significant and very significant, these transactions must nevertheless be reported individually where collectively, they are at or above the corresponding threshold values for significant or very significant IGTs.
Each transaction shall be reported separately.
Any additions / top–ups to significant IGTs shall be reported as a separate IGT, even if the top–up 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 should be recorded as a separate item with its issue date as the date of the top–up.
Where the transaction value is different for two transacting parties (e.g. a EUR 10 m transaction between A and B where A records EUR 10 m but B only receive EUR 9,5 m because of transactions costs, of say EUR 0,5m has been expensed) the template should record the maximum amount as the transaction amount, in this case EUR 10 m.
Where there is a chain of related IGTs (say A invests in B and B invests in C), each link of the chain needs to be reported as a separate IGT.
ITEM | INSTRUCTIONS | |
---|---|---|
C0010 | ID of intragroup transaction | Unique internal identification code for each intragroup transaction. Must 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:
Specific code:
|
C0040 | ID code type of code of the investor/buyer | Identification of the code used in item ‘Identification code for the investor/buyer’:
|
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:
Specific code:
|
C0070 | ID code type of code of the issuer / seller | Identification of the code used in item ‘Identification code for the issuer / seller’:
|
C0080 | ID Code of the instrument | This is the identification code of the instrument (derivative) between the two counterparties identified using the following priority:
This may be different from the intragroup transaction code provided in cell C0010. |
C0090 | 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:
|
C0100 | Transaction type | Identify the transaction type. The following close list shall be used:
A repurchase agreement should be considered as cash transaction plus forward contract. |
C0110 | Transaction Trade 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. |
C0120 | 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. |
C0130 | Currency | Where applicable, identify the ISO 4217 alphabetic code of the currency of the derivative, i.e. currency of the notional amount of the derivative (e.g.: option having as underlying an amount in USD). This item is not applicable for currency swap. |
C0140 | Notional amount at transaction date | The amount covered or exposed to the derivative at the transaction date, 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. |
C0150 | Notional amount at reporting date | 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 reporting date will be zero. |
C0160 | 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 group. If either one of the counter–parties involved in the IGTs is valued in accordance with the Solvency II valuations rules as part of the group solvency calculation then the Solvency II value should be used to value the collateral. At minimum (not an exhaustive list), collateral between the following entities is expected to be valued in accordance with the Solvency II valuation principles:
Collateral arrangement between other types of undertakings, e.g. IGTs between two credit institutions within a group, may be valued in accordance with the sectoral rules. |
C0170 | Options, futures, forwards and other derivatives — Use of derivatives (by buyer) | 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:
|
C0180 | Options, futures, forwards and other derivatives — Identification code Asset / liability underlying the derivative | [F2ID 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. An index is considered a single instrument and shall be reported. Identification code of the instrument underlying the derivative using the following priority:
If the underlying instrument is an index then the code of the index shall be reported.] |
C0190 | ID Code Type of the Asset / liability underlying the derivative | [F2Type 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 in case that none of the above options are available. This option shall also be used for the cases of ‘ Multiple assets/liabilities ’ and indexes] |
C0200 | Credit protection –CDS and Guarantees — Counterparty name for which credit protection is purchased | Name of the counterparty for which protection has been purchased for its default |
C0210 | Swaps — Swap delivered interest rate (for buyer) | Interest rate delivered under the swap contract (only for Interest rate swaps). |
C0220 | Swaps — Swap received interest rate (for buyer) | Interest rate received under the swap contract (only for Interest rate swaps). |
C0230 | Swaps — Swap delivered currency (for buyer) | Identify the ISO 4217 alphabetic code of the currency of the swap price (only for currency swaps). |
C0240 | Swaps — Swap received currency (for buyer) | Identify the ISO 4217 alphabetic code of the currency of the swap notional amount (only for currency swaps). |
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).
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