Assets – D2
General Comment
CELL
NUMBER(S)
N/A
Portfolio
A1
Distinction between life / non-life / health with life
characteristics / health with non life characteristics /
free assets / general (if no split) / ring fenced funds
Fund Number
A2
Derivatives held in
unit linked funds
(Y/N)
A3
Applicable to derivatives held in ring-fenced (or
internal) funds. See FINREQ L2 Advice on ring-fenced
funds
Identify derivatives that are held for policies where
the policyholder bears the investment risk
ID Code
A4
ITEM
DEFINITION
This template integrates all relevant fields for
supervisory needs in the detailed list of derivatives.
Includes all derivatives contracts that existed during
the reporting period, independently of having being
closed prior to the reporting date. The value of the
open contracts at the reporting date will link to BS-C1
(A10B).
ISIN if available, other "recognized" code otherwise
(CUSIP, Bloomberg Ticker,...) or undertaking-specific
if nothing else is available (ex: non-tradable
derivatives)
EXAMPLE
N/A
PURPOSE
Detailed list of derivatives - purpose
similar to D1: enables supervisors to
have easy and quick access to specific
information in case of risks on a specific
class or type of asset [as is the case of
derivative instruments]. In a prudent
person principle regime this information
is considered to be of great importance
for proper risk-based supervision, both
on an entity-specific and market-wide
basis. (L2 advice, § 3. 503).
Monitor specific requirements on
derivatives coming from L1 – see art.
132 (4)
L / NL / HL /
Necessary, especially for composites
HNL / F / G/ RF (recital 44); precisely for investment
returns, the undertaking must segregate
assets held to cover life and non-life TP
UndertakingWill identify derivatives held in ringspecific code
fenced (or internal) funds that are not
freely disposable
Enables identification of derivatives/
Y/N
portfolios of derivatives for which the
investment risk in not supported by the
undertaking
Will facilitate data collection,
VGZ9 Index
identification, sharing and checking
(for
Bloomberg
Assets – D2
Ticker)
ID Code type
A5
Type of ID Code used for the “ID Code” item
Counterparty ID
A6
Counterparty
group (code)
Contract name
A7
A8
Identification of the counterparty of the derivative
contract (derivatives exchange or other for OTC
derivatives). [This probably will be in a form of a
(standard) code]
Group (parent undertaking) of counterparty. [This
probably will take the form of a (standard) code]
Name of the derivative contract
Basis instrument
A9
Assets underlying the derivative contract
Currency
A10
Currency of the derivative (e.g.: option labeled in
USD)
CIC
A11
Possible CEIOPS Code used to classify securities
(description in template “Assets – D1”)
Use of derivative
A13
Describe use of derivative (micro / macro hedge,
efficient portfolio management)
ISIN, CUSIP,
Bloomberg,
Undertakingspecific
Eurex, BNP,
CGD
Identify what type of code is the ID
Code
Allianz SE
Very important to assess risk
concentration
Have the “commercial” name of the
derivative
Important to assess basis risk
“DJ Eurostoxx
50 Futures”
“DJ Eurostoxx
50 Index”,
“IBM equity”
EUR, GBP, SEK,
USD (ISO 4217
Code)
DE51 (Future
on equity
index, listed in
Germany);
FR62 (Call
option on
bonds, listed
in France);
XT81 (OTC IRS)
Micro hedge /
macro hedge /
Identify the counterparty, in order to
assess risks (counterparty default,
concentration)
Important to assess currency risk (share
of portfolio in foreign currencies) &
ALM currency matching
Combines securities characteristics with
risk exposure
Assess whether the derivative is used
for risk mitigation or risk exposure =>
Assets – D2
Delta
A14
Notional amount
A15
Long or short
position
Premium
paid/received to
date
Profit and loss to
date
A16
Number of
contracts
A19
Contract
dimension
A17
EPM
Measures the rate of change of option value with
respect to changes in the underlying asset's price
The amount covered or exposed to the derivative. For 1000000 (€,
futures and options corresponds to contract size
etc.)
multiplied by the number of contracts and for swaps
and forwards corresponds to the contract amount
Only for futures and options and swap contracts
L/S
The payment received (if I sold) or paid (if I bought),
for options and also up-front amount paid / received
for swaps.
Amount of profit and loss arising from the derivative
since inception (not profit and loss accounted for in
financial statements). For closed / matured contracts
corresponds to the realized profit or loss at the
closing/maturing date.
Number of derivative contracts in the portfolio
15300 (€, etc.)
A20
Number of underlying assets in the contract (e.g. for
equity futures it is the number of equities to be
delivered per derivative contract at maturity)
Only for futures and options
10
Trigger value
A21
24.89 €, 0.89
£/€, 5%
IRS paid interest
A22
Reference price for futures, strike price for options,
currency exchange rate or interest rate for forwards,
etc.
(except for Interest rate and currency swaps)
Interest rate delivered under the swap contract
A18
see art. 132 (4) of L1 text
Assesses the effectiveness of coverage
of an asset by the derivative
Identify the value under coverage for a
given derivative, and assess the hedge
or the potential risk
Identify net positions
1000 (€, etc.)
Important to assess the financial effect
of the hedge or exposure arising from
the derivative
1000
Assess the liquidity of derivative (ie
possible to sell part of a large number of
contracts with small amounts, but
impossible to split one contract with a
large amount)
Assess number of assets covered in
portfolio (in case of hedging) (example :
compare that 10 given shares are
hedged out of a total of 50 shares in
portfolio)
Compare with value of underlying asset
(eg to assess whether option will be
exercised or not)
EUR6M+1.5%
Similar to trigger value
Assets – D2
rate
IRS received
interest rate
Swap delivered
currency
Swap received
currency
Trade date
A23
A24
A25
A26
Maturity date
A27
SII value
A28
Valuation method
SII
A29
CIC table (in
Assets-D1)
Forth position
Call and Put
options
(only for Interest rate swaps)
Interest rate received under the swap contract
(only for Interest rate swaps)
Currency of the swap price
(only for currency swaps)
Currency of the swap notional amount
(only for currency swaps)
Date of the trade of the derivative contract
Date of close of the derivative contract, whether at
maturity date, selling date, closing by assuming a
symmetric position, exercise of call or put, etc.
SII value of the derivative as of the reporting date
(zero if closed)
3 possibilities : Mark to market, mark to market with
similar instruments, mark to model
Classification of options according to its main risk
coverage (or exposure). Includes, among others, plain
vanilla options, exotic options, credit default options,
credit spread options, etc.
3%
Similar to trigger value
USD
Identifies the currency of the price of
the currency swap contract
Identifies the currency of the notional
amount of the currency swap contract
Allows for assessing a better
understanding of the profit & loss to
date since inception along with its time
frame
Assess how long the position is covered
(if hedging) or how long the risk exists
EUR
15/06/2018
31/12/2019
154,589 (€,
etc.)
MktMk /
MktMkS /
MktMd
Reconcile with Balance Sheet valuation
Understand valuation used for SII
Assess risk coverage and exposure in
SCR market risk framework