S.06.02 — List of assets

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S.06.02 — List of assets

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 products 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 these 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;

All reporting items shall be reported, except when otherwise stated in these instructions. Items C0110, C0120, C0121, C0122, C0130, C0140, C0200, C0230, C0270, C0280, C0310, C0370, and C0380 are not applicable to CIC 09 - Other investments.

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

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.

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 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
C0050	Asset ID Code Type	alphabetic code of the currency, as in the following example: ‘code+EUR’ 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 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.
		Underlying assets of life technical provisions shall be assigned to life portfolio and underlying assets of non-life technical provisions shall be assigned to non-life portfolio (by applying the available most precise split). 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, unless otherwise required by the national supervisory authority, 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 at national level, in particular regarding funds (asset portfolios) supporting life products.
		Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each fund. This number or code has to be consistent over time and shall be used to identify the same funds in other templates (e.g. in S.08.01, S.14.01). It shall not be re–used for a different fund.
		The fund number is not mandatory, unless otherwise required by the national supervisory authority.
C0080	Matching portfolio number	Number or code which is attributed by the undertaking, corresponding to the unique number or code assigned to each matching adjustment portfolio as prescribed in Article 77b(1)(a) of Directive 2009/138/EC. This number or code 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 asset: 1 — Assets in the balance sheet that are collateral pledged 2 — Collateral for reinsurance accepted 3 — Collateral for securities borrowed 4 — Repos
C0110	Country of custody	9 — Not collateral 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.
		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 country of custody corresponds to the issuer country, which 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.
		For assets stored in-house, the insurance undertaking shall be reported as the custodian.
		When available, this item corresponds to the entity name in the LEI database. When this is not available it corresponds to the legal name.

		This item is not applicable for CIC category 8 — Mortgages and Loans, CIC 71, CIC 75, CIC 09 and for CIC category 9 — Property and to any other asset that, due to their nature, are not held in custody.
		For assets where there is no custodian or when this item is not applicable, “No custodian” shall be reported.
C0121	Code of custodian	Identification of the custodian code using the LEI if available.
		If none is available this item shall not be reported.
C0122	Type of code of custodian	Identification of the type of code used for the “Code of custodian” item. One of the options in the following closed list shall be used:
		1 – LEI
		9 – None
C0130	Quantity	Number of assets, for relevant assets.
		This item shall not be reported if item Par amount (C0140) is reported.
		This item is not applicable for CIC 71 and 09 and CIC category 9 - Property.
C0140	Par amount	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 CIC Category 8 — Mortgages and Loans. This item is not applicable for CIC 71, 09 and CIC category 9 - Property. This item shall not be reported if item Quantity (C0130) is reported.
C0145	Long-term equity	Only applicable to CIC categories 3 – Equity and 4 – Collective Investment Undertakings.
	investment	Identify if an equity or collective investment undertaking is classified under the provisions of Art. 171a. of Delegated Regulation (EU) 2015/35. One of the options in the following closed list shall be used:
		1 - Yes
		2 – No
		9 – Not applicable
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

Solvency II software

		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 - Cash and deposits and 8 — Mortgages and Loans.
C0170 Total Solvency II amount		Value calculated as defined by Article 75 of 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;
	– 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 CIC 71 and CIC category 9 - Property.
C0180	Accrued interest	Quantify the amount of accrued interest after the last coupon date for interest bearing assets. Note that this value is also part of item Total Solvency II amount.

	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)
		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: ‘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 87 and CIC 88, 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,

		unless required by the national supervisory authority.
		- For property the country ISO Alpha-2 + postal code + city + street name + street number) of the property held or the latitude & longitude or the CRESTA/NUTS region of the property investment shall be reported: administrative boundaries (e.g. province or county boundaries, e.g. NUTS3 level) or merged postal code areas (e.g. first-two-digit postal code areas, similar to CRESTA 2019[2] low resolution zones).
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 (entity). The authorised management company who can and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling;
		– 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 87 and CIC 88, 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 category 8 — Mortgages and Loans, other than CIC 87 and CIC 88 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 (entity). The authorised management company who can and is responsible for managing the fund is the one to be reported regardless if some activities have been outsourced, including the actual management of the portfolio, i.e. the decision on buying/selling;
		– 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 category 8 — Mortgages and Loans, other than CIC 87 and CIC 88 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 87 and CIC 88.
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 87 and CIC 88.
		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). For NACE sections A to N full four-digit reporting of the NACE codes is required, i.e. the letter identifying the Section followed by the 4 digits code for the class shall be used (e.g. ‘K6411’). For the remaining sections the letter reference of the NACE code identifying the Section shall be used as a minimum for identifying sectors (e.g. ‘P’ or ‘P8501’ would be acceptable).
		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 category 8 — Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower; – This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 — Property; – This item is not applicable to CIC 87 and CIC 88.
C0240	Issuer Group	Name of issuer’s ultimate parent entity. For collective investment undertakings the ultimate parent of the fund manager (entity) shall be reported.
		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 ultimate parent of the fund manager (entity) shall be reported;
		– Regarding CIC category 7 — Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entity
		– Regarding CIC category 8 — Mortgages and Loans, other than CIC 87 and CIC 88 the group relation relates to the borrower;
		– This item is not applicable for CIC 87 and CIC 88;
		– This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 — Property;
		– This item is not applicable for bonds issued by:
		– a central government, – a local government,
		– a government agency,
		– a central bank,
		– the group/entity itself,
		– a supranational organisation (as long as no issuer group exists).
C0250	Issuer Group	Issuer group’s identification using the LEI if available.
	Code	If none is available, this item shall not be reported.
		The following shall be considered:

		– Regarding CIC category 4 — Collective Investments Undertakings, the ultimate parent of the fund manager (entity) shall be reported;
		– Regarding CIC category 7 — Cash and deposits (excluding CIC 71 and CIC 75), the group relation relates to the depositary entity;
		– Regarding CIC category 8 — Mortgages and Loans, other than CIC 87 and CIC 88 the group relation relates to the borrower;
		– This item is not applicable for CIC 87 and CIC 88;
		– This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 — Property;
		– This item is not applicable for bonds issued by:
		– a central government
		– a local government,
		– a government agency,
		– a central bank,
		– the group/entity itself,
		– a supranational organization (as long as no issuer group exists).

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
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 of the fund manager (entity);
		– 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 category 8 — Mortgages and Loans, other than CIC 87 and CIC 88 the information shall relate to the borrower;

		– This item is not applicable for CIC 71, CIC 75, CIC 09 and CIC category 9 — Property.
		One of the options shall be used:
		– ISO 3166–1 alpha–2 code;
		– XA: Supranational issuers (public institutions established by a commitment between national states, e.g. issued by a multilateral development bank as referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or issued by an international organisation referred to in Article 118 of Regulation (EU) No 575/2013, with exemption of European Union Institutions);
		– EU: European Union Institutions (as defined in Article 13 of the Treaty on European Union.
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 87 and CIC 88, as those assets are not required to be individualised), CIC 75, CIC 09 and for CIC 95 Plant and equipment (for own use) for the same reason;
		– Regarding CIC Category 9 - Property, 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.
C0292	SCR	One of the options in the following closed list shall be used:
	calculation approach for CIU	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 are 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 are 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 - Collective Investment Undertakings.
C0293	Bail-in rules	Identify if the asset is subject to bail-in rules, in line with Articles 43 and 44 of Directive 2014/59/EU (the Bank Recovery and Resolution Directive - BRRD).
		One of the options in the following closed list shall be used:
		1 – Yes;
		2 – No;
		9 – Not applicable.
C0294	Regional Governments and Local Authorities (RGLA)	Identify assets issued or guaranteed by Regional Governments and Local Authorities (RGLA) listed and not listed in the Implementing Regulation (EU) 2015/2011, regarding assets classifiable with CIC 13 and 14.
		One of the options in the following closed list shall be used:
		1 – Listed in Implementing Regulation (EU) 2015/2011;
		2 – Not listed in Implementing Regulation (EU) 2015/2011;
		9 – Not applicable.
C0295	Crypto-assets	Identify assets linked to crypto-assets.
		Crypto-asset means a digital representation of value or rights which may be transferred and stored electronically, using distributed ledger technology or similar technology.
		One of the options in the following closed list shall be used:
		1 – Electronic money token - a type of crypto-asset the main purpose of which is to be used as a means of exchange and that purports to maintain a stable value by referring to the value of a fiat currency that is legal tender;

		2 – Asset-referenced token - a type of crypto-asset that purports to maintain a stable value by referring to the value of several fiat currencies that are legal tender, one or several commodities or one or several crypto-assets, or a combination of such assets; 3- Utility token - a type of crypto-asset which is intended to provide digital access to a good or service, available on DLT, and is only accepted by the issuer of that token; 4 – Other crypto-assets 5 - No.
C0296	Property type	Identify property type, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps.
		One of the options in the following closed list shall be used:
		1 - Residential, e.g. multi-household premises;
		2 - Retail, e.g. hotels, restaurants, shopping malls;
		3 - Offices, e.g. a property primarily used as professional or business offices;
		4 - Industrial, e.g. property used for the purposes of production, distribution and logistics;
		5 - Other types of commercial property;
		9 – Not applicable.
		If a property has a mixed use, it shall be considered as different properties (based for example on the surface areas dedicated to each use) whenever it is feasible to make such breakdown, otherwise, the property can be classified according to its dominant use.
		This item is only applicable to CIC category 9 - Property
C0297	Property location	Identify property location, according to ESRB Recommendation of 21 March 2019 amending Recommendation ESRB/2016/14 on closing real estate data gaps.
		One of the options in the following closed list shall be used:
		1 - Prime;
		2 – Non-prime;
		9 – Not applicable.
		This item is only applicable to CIC category 9 - Property

C0300	Infrastructure investment	Identify if the asset is an infrastructure investment as defined in Article 1(55a) and (55b) of 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 CIC categories 3 - Equity and 4 - Collective Investment Undertakings.
		Identify if an equity and other share is a participation. One of the options in the following closed list shall be used:
		1 – 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	Applicable at least to CIC categories 1 - Government bonds, 2 – Corporate bonds, 5 - Structured notes, 6 - Collateralised securities, CIC 87 and CIC 88, 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	Identify the credit assessment institution (ECAI) giving the external rating in C0320, by using the name of the ECAI as published on ESMA’s website. In case of ratings issued by subsidiaries of the ECAI please report the parent ECAI (the reference is made to ESMA list of credit rating agencies registered or certified in accordance with Regulation (EC) No 1060/2009 on credit rating agencies).
		Applicable at least to CIC categories 1 - Government bonds, 2 – Corporate bonds, 5 - Structured notes, 6 - Collateralised securities and 8 - Mortgages and Loans, (other than CIC 87 and CIC 88), where available.
		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	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, by applying the mapping table prescribed in Implementing Regulation (EU) 2016/1800.
		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 – 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.
Internal rating	Applicable at least to CIC categories 1- Government bonds, 2 – Corporate bonds, 5 - Structured notes, 6 - Collateralised securities and 8 - Mortgages and Loans, (other than CIC 87 and CIC 88), where available.
	Internal rating of assets for undertakings using internal ratings.
	For undertakings applying a matching adjustment the item shall be reported to the extent that the internal ratings are used to calculate the fundamental spread referred to in Article 77(c)(2) of Directive 2009/138/EC.
Duration	Only applicable to CIC categories 1 – Government bonds, 2 – Corporate bonds, 4 – Collective Investments Undertakings (when applicable, e.g. for collective investment undertaking mainly invested in bonds), 5 – Structured notes and 6 – Collateralised securities.
	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 but the probability of the call option being exercised shall be taken into account. The duration shall be calculated based on economic value.
Unit Solvency II price	Amount in reporting currency for the asset, if relevant.

Solvency II software

		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	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 71 and CIC category 9 - Property.
		This item shall not be reported if item Unit Solvency II price (C0370) is reported.
C0390	Maturity date	Only applicable for CIC categories 1 – Government bonds, 2 – Corporate bonds, 5 – Structured notes, 6 – Collateralised securities, and 8 – Mortgages and Loans, 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 87 and CIC 88, the weighted (based on the loan amount) remaining maturity is to be reported.