S.37.01 — Risk concentration – Exposure to Counterparties
Download PDFS.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.
| Item | INSTRUCTIONS | |
|---|---|---|
| C0010 | Name of the external counterparty |
This is the name of the external counterparty of the group. |
| C0020 | Identification 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 |
Solvency II software
| C0030 | ID 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 |
|---|---|---|
| C0045 | Name 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 |
| C0080 | Rating | Rating 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; |
| C0090 | Nominated ECAI |
Identify the credit assessment institution (ECAI) giving the external rating in C0050; |
| C0100 | Sector | Identify the economic sector of the external counterparty based on the latest version of NACE code (the first level of hierarchy – the letter). |
| C0040 | Country | Identify 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. |
| C0110 | Entity 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. |
| C0120 | ID 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 |
||
| C0125 | ID 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 |
||
| C0180 | Equity | The 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. |
| C0190 | Bonds | The 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. |
| C0200 | Assets 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. |
| C0210 | Derivatives | The 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). |
| C0230 | Loans 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 |
|---|---|---|
| C0240 | Guarantees 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). |
||
| C0250 | Insurance policies |
The total amount of the exposure in the insurance policies (liability limit or sum insured depending which one represents the maximum possible exposure) |
| C0260 | External 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. |
| C0270 | Others 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. |
| C0280 | Description of others |
Description of the other instruments that are reported in C0200 |
| C0290 | Indirect 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. |
| C0300 | Transactions where there is |
Total amount of exposure through transactions such as securitisation positions or exposures in the form of units or |
Solvency II software
| an exposure to underlying assets |
shares in collective investment undertakings (‘CIUs’) or through other transactions where there is an exposure to underlying assets, |
|
|---|---|---|
| C0160 | Currency | Identify the ISO 4217 alphabetic code of the currency of the exposure |
| C0150 | Total 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. |
| C0310 | Credit 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. |
| C0320 | Exemptions | Any deduction that come from the application of exemptions according to Article 187 of Delegated Regulation (EU) 2015/35) |
| C0330 | Amount 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) |