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

S.36.02 — IGT — Derivatives U.K.

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: Legal Entity Identifier (LEI); Specific code Specific code: For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC: 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 the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, 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
C0040	ID code type of code of the investor/buyer	Identification of the code used in item ‘Identification code for the investor/buyer’: 1 — LEI 2 — Specific code
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); Specific code Specific code: For EEA insurance and reinsurance undertakings and other EEA regulated undertakings within the scope of the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC: 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 the group, in the meaning of Article 212(1)(c) of Directive 2009/138/EC, 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
C0070	ID code type of code of the issuer / seller	Identification of the code used in item ‘Identification code for the issuer / seller’: 1 — LEI 2 — Specific code
C0080	ID Code of the instrument	This is the identification code of the instrument (derivative) 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 must be consistent over time. 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: 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
C0100	Transaction type	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 — credit default 8 — Swaps — interest rate 9 — Swaps — currency 10 — Swaps — others 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: EEA insurance and reinsurance undertakings EEA Insurance holding companies and mixed financial holding companies. Third country insurance, reinsurance, insurance holding companies and mixed financial holding companies included in the group solvency calculation through method 1. Third country insurance, reinsurance, insurance holding companies and mixed financial holding companies included in the group solvency calculation through method 2 based in non–equivalent regimes. 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: 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’.
C0180	Options, futures, forwards and other derivatives — Identification code Asset / liability underlying the derivative	[F2 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. An index is considered a single instrument and shall be reported. Identification code of the instrument underlying the derivative 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 for the underlying instrument when the options above are not available and must be unique and consistent over time for that instrument; ‘ Multiple assets/liabilities ’ if the underlying assets or liabilities are more than one. 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	[F2 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 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).