FORM IR2B – Log
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SOLVENCY II TEMPLATE RELEVANCE
CELL
NUMBER
ITEM
General
Comment
N/A
DEFINITION
This template includes all types of assets held by the insurance
/reinsurance undertaking (including all properties and participations,
structured products, derivatives, loans, bank deposits, etc), therefore
properties held for investment or for own use, or participations
consolidated or not are also included.
All values are reported in the currency of the Republic.
Each asset must be reported once in relation to each portfolio and /
or each ring-fenced or other internal fund. So consequently and as an
example, a given security that is part of the investments of life and
general business and / or several funds (e.g. several Unit Linked (PL))
will result in 1 line for life business, 1 line for general business and as
many lines as the funds where the security is present.
This template provides for automated links to the IR2 template
through the use of a macro. Thus, special care should be given to the
portfolio and fund number/name for the macro to work.
EXAMPLE
N/A
This is the template denoted as S.06.02 in
the preparatory phase Quarterly and
Annually templates, or AS-D1 in SII
templates.
In addition to this template there is a
further detailed list denoted as S.08.01 or
AS-D20, which covers details on
derivatives. For this moment this
template will not be required.
Specific rules for certain CIC Codes
The following are differences between
existing specific rules for reporting under
Solvency I and Solvency II templates
regarding certain CIC codes:
Solvency II Templates:
Specific rules for certain CIC Codes
In addition to the above separation by fund, and by portfolio, and
since this template includes all assets included in IR2 the following
should be noted :
-
Line 14 of IR2 (Loans secured by mortgage),CIC 84 for mortgages
to individuals, there must be only 2 lines per portfolio, per fund,
one line regarding total loans to employees of the undertaking,
and members of the board of directors, and another regarding
-
CIC8X (Mortgages and loans) : for
mortgages and loans to individuals,
including loans on policies, there
must be only 2 lines, one line
regarding loans to senior
management board and another
regarding loans to other individuals,
without distinction between
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FORM IR2B – Log
-
-
-
-
-
-
-
Portfolio
A1
loans to other individuals, without distinction between
individuals;
Line 15 of IR2 (loans secured on policies of insurance), CIC 85,
only one line per portfolio, per fund, for total of policy loans,
without distinction between individuals;
Lines 16 of IR2 (Other Loans - Secured), CIC 85, only one line per
portfolio, per fund, for total of other secured loans, without
distinction between individuals;
Line 17 of IR2 (Other Loans - Unsecured), CIC 81, only one line per
portfolio, per fund, for total of loans, without distinction
between individuals;
Line 31 of IR2, (Owed by intermediaries), CIC G9, only two lines
per portfolio per fund, separating amount owed by more than 3
months to those owed for three months or less;
Line 29 of IR2 (equipment), only two lines per portfolio per fund,
separating equipment held for own use and others, CIC code 95
and 99;
Lines 28,30,32,33,34,35,36,37,38,and 40,of IR2A, CIC G9, only one
line per portfolio per fund;
Line 39 of IR2 (Accrued interest and rent), the amount of any
accrued interest should be shown in column A30 for each interest
bearing certificate; any accrued rent should be shown in a
separate line, only one line per portfolio per fund. This would
mean that form IR2, does not include accrued interest in line 39,
as this will be included in the total asset value for securities, etc.
Line 41 of IR2, CIC71, CIC72, CIC73, only one line per portfolio per
fund.
Distinction between
 Life Business (L)
 General Business (GB)
 Shareholders (SH)
-
-
-
L / GB / SH/ OL
individuals
CIC95 (Plant and equipment (for own
use), only one line aggregating all
plant and equipment
CIC71 (Cash) Only one line per
currency
CIC72 (Transferable deposits (cash
equivalents)), only one line per pair
(bank, currency)
CIC73 (Other deposits short term
(less than one year), only one line
per pair
Distinction between
 Life Business (L)
 Non-Life (NL)
 Shareholders’ fund (SF)
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FORM IR2B – Log

Fund Name
A2
Asset held in
unit linked
and index
linked funds
(Y/N)
Line Number
to be
transferred
to IR2
ID Code
A3
ID Code Type
A5
Asset
pledged as
A6


Other Life assets not covering technical reserves (OL).
Applicable to Unit Linked(PL)/ Index Linked (IL)/ Group Pension plan
(GPP), assets held in ring-fenced or other internal funds (NL). The
fund name should be preceded by the prefix PL, IL, GPP, NL,
whichever applicable and space, as per the orders for completion of
the annual returns.
Identify assets that are part of the fund which determines the benefits
of the contract .
Undertakingspecific: PL Star
A50
Identify the line number that should be given for the immediate
transfer to IR2 form, for the particular fund, portfolio, through the use
of a macro.
1 – 42
A4
ISIN if available, other "recognized" code otherwise (CUSIP,
Bloomberq Ticker,Reuters RIC), bank account number (if deposit),
registration number from land registry (for land), registration number
from registrar of companies (for subsidiaries), or undertaking-specific
if nothing else is available (e.g.: company accounts number for loans )
The code must be consistent over time.
Type of ID Code used for the “ID Code” item.
FR0010456764
(for ISIN)
Identify assets in the balance sheet that are collateral pledged (CP),
collateral for reinsurance accepted (CR), collateral for securities
General (G)
Ring fenced funds (RF)
Fund Number in SII templates, instead of
name. The relevant numbering process of
funds procedure will be provided by the
Service for the SII preparatory templates.
Y/N
ISIN, CUSIP,
Bloomberq,
account
number,
registration
number,
Undertaking
CP / CR / CB / R
This column is not included in SII
templates.
Identify assets that are in the scope of
the template AS-D6.
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FORM IR2B – Log
collateral
Item Title
A7
borrowed (CB) and repos (R). For partially pledge assets two lines for
each asset can be reported, one for the pledged amount and another
for the remaining part. The above codes should be used only for the
pledged amount.
For that part of the assets or if the whole asset is not pledged then
leave blank.
Name of the security, bank name for deposits, subsidiary name,
address for property.
Not applicable for categories where assets are not required to be
individualized.
Issuer Name
A8
Issuer Sector
A9
Name of the issuer. An issuer is defined as the entity that offers
securities representing part of its capital, part of its debt, derivatives,
etc., for sale to investors.
For investment funds, the issuer name is the name of the funds’
manager.
Not applicable for categories where assets are not required to be
individualized.
Identify the economic sector of issuer based on NACE code.
The letter reference of the NACE code must be used for identifying
sectors (e.g. A:Agriculture, hunting and forestry; Section B: Fishing,
etc) except for the NACE relating to Section J: Financial
Intermediation, for which the 4 digits code should be used.
For investment funds the NACE code would be 6712 (Security broking
and fund management).
“BNP PARIBAS
SA TF/TV
5,019%
13/04/2049
CALL 2017”,
“SCHRODER INT.
SELEC. FUND US LARGE CAP”,
“Westhafen
Tower 13th
Floor, Frankfurt,
DE”
BNP Paribas,
Volkswagen,
Cyprus
Government
After the issuer name, SII templates have
two more columns Issuer Code and Type
of Code which relate to legal Entity
Identifier. For the current phase these
were not included.
6511 (NACE for
Life insurance)
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FORM IR2B – Log
Not applicable for categories where assets are not required to be
individualized.
Issuer Group
A10
Issuer
Country
A11
Country of
custody
A12
Currency
A13
CIC
A15
For the initial phase this is not a required field. The Company may opt
to leave it blank.
Name of the ultimate parent undertaking of issuer. For investment
funds the group relation is relative to the fund manager.
Not applicable for categories where assets are not required to be
individualized.
Country where the legal seat of issuer is located. For investment
funds, the country is relative to the fund manager.
The legal seat, for this purpose, should be understood as the place
where the issuer head office is officially registered, at a specific
address, according to the commercial register (or equivalent).
One of the options in the following closed list shall be used:
ISA 3166-1 alpha-2 code
Supernational issuers: XA
European Union Institutions : EU
Not applicable for categories where assets are not required to be
individualized.
ISO code of the country where undertaking assets are held in custody.
For identifying international custodians (e.g. Euroclear), the country of
custody will be the one corresponding to the legal establishment
where the custody service was contractually defined.
Not applicable for categories where assets are not required to be
individualized.
Currency of the issue (e.g.: bond labeled in USD)
ISO 4217 Code
EIOPA Code used to classify securities (description in the CIC table
Allianz SE
After the issuer group, SII templates have
two more columns Issuer Group Code
and Type of Code which relate to legal
Entity Identifier. For the current phase
these were not included.
DE, IT, EE (ISO
3166-1 alpha-2
Code)
PT, UK
EUR, GBP, SEK,
USD (ISO 4217
Code)
PT22
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FORM IR2B – Log
file).
If an investment is not included in the CIC categories, please use for
third and fourth position G9 (Other)
Participation
A16
When classifying an asset using the CIC table, undertakings shall take
into consideration the most representative risk to which the asset is
exposed to.
Indicates whether or not the investment is a participation as defined
in article 2 of the Law on Insurance Services and other Related Issues
of 2002-2013.
(Convertible
corporate bond
listed in
Portugal)
N/Y
Identify if an equity and other share or
subordinated liability is a participation by
using the following criteria: included in
group supervision except if deducted
under art. 212 and /or strategic.
For solo reporting or group reporting
where the Deduction and aggregation
method is used, the following options
shall be used:
Not a participation : N
Is a participation, but not consolidated at
group level and not strategic : YNGNS
Is a participation not consolidated at
group level but strategic : YNGS
Is a participation, consolidated at group
level and not strategic : YGNS
Is consolidated at group level and is
strategic : YGS
External
rating
A17
Rating
Agency
A18
Rating given by external rating agency. Only applicable to CIC
categories 1, 2, 5 and 6. Undertakings must report the external rating
which in their perspective is best representative.
Rating agency giving the external rating. For example the rating
agencies Moody’s, Fitch, Standard & Poor’s.
AAA, Aa
Moody’s,
Fitch,…, Other
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FORM IR2B – Log
Duration
A20
Definition=Original duration in years.
Only applies to CIC categories 1, 2, 4 (when applicable, e.g. for
investment funds mainly invested in bonds), 5 and 6.
For assets without fixed maturity the first call date should be used.
10,5,3
Quantity
A22
1000
Unit price
A23
Valuation
method
A24
Number of securities or invested amount measured at par amount,
depending on the type of assets. For assets categories 3 and 4, report
the number of shares. For asset categories 1,2,5 and 6 report the
invested amount measured at par amount.
For CIC categories 7, 8, 9 and G, this should equal A26.
Amount in reporting currency for asset categories 3 and 4, the
percentage of par value (clean price consistent with IFRS definition),
for asset categories 1,2,5 and 6. Accrued interest is recognized in
items A30 (Accrued interest).
For CIC categories 7, 8, 9 and G, this should equal to 1.
Identify the valuation method used when valuing assets.
One of the options in the following list shall be used:
Quoted market price in active markets for same assets : QMP
Quoted market price in active markets for similar assets : QMPS
Other alternative valuation method : AVM
Adjusted equity methods (applicable for the valuation of
participations) : AEM
IFRS equity methods (applicable for the valuation of participations) :
IEM
Acquisition
cost
A25
The company should provide in writing any other method it used, if
other is used
Acquisition price of each asset. When there are different acquisition
prices due to acquisitions made at different dates, an average
acquisition price must be used and consequently only one line is
completed for one single asset, independently of having more than
one acquisition.
Asset duration, defined as the ‘residual
modified duration’. For assets without
fixed maturity the first call date shall be
used. The duration shall be calculated on
economic value.
35,56 (€, etc.)
for shares;
98,52 for bonds
QMP/QMPS/
AVM/ AEM/ IEM
13,10 (€, etc.)
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FORM IR2B – Log
Total amount
A26
Maturity
date
A28
Accrued
interest
A30
Not applicable to CIC categories 7, 8 and G.
Formula, corresponding to the multiplication of “Quantity” by “Unit
price” plus accrued interest for bonds and other interest bearing
security.
For CIC categories 7, 8, 9 and G, this should indicate the Total value of
the line.
Only applicable for CIC categories 1, 2, 5, 6 and 8. Corresponds always
to the maturity date, even for callable securities. For perpetual
securities use “31/12/9999”.
Quantify the amount of accrued interest for interest bearing
securities. Note that this value is also part of A26 – Total amount.
3.556.890 (€,
etc.)
31/10/2012
2.589 (€, etc.)
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