Category

Definition

1

Government bonds

Bonds issued by public authorities, whether by central governments supra-national government institutions, regional governments or local authorities and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, multilateral development banks referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or international organisations referred to in Article 118 of Regulation (EU) No 575/2013, regional governments and local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011, where the guarantee meets the requirements set out in Article 215 of Delegated Regulation (EU) 2015/35.

2

Corporate bonds

Bonds issued by corporations

3

Equity

Shares and other securities equivalent to shares representing corporations’ capital, i.e., representing ownership in a corporation

4

Collective Investment Undertakings

Collective investment undertaking’ means an undertaking for collective investment in transferable securities (UCITS) as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council or an alternative investment fund (AIF) as defined in Article 4(1)(a) of Directive 2011/61/EU of the European Parliament and of the Council.

5

Structured notes

Hybrid securities, combining a fixed income (return in the form of fixed payments) instrument with a series of derivative components. Excluded from this category are fixed income securities that are issued by sovereign governments. Concerns securities that have embedded one or a combination of categories of derivatives, including Credit Default Swaps (CDS), Constant Maturity Swaps (CMS), Credit Default Options (CDOp). Assets under this category are not subject to unbundling

6

Collateralised securities

Securities whose value and payments are derived from a portfolio of underlying assets. Includes Asset Backed Securities (ABS), Mortgage Backed securities (MBS), Commercial Mortgage Backed securities (CMBS), Collateralised Debt Obligations (CDO), Collateralised Loan Obligations (CLO), Collateralised Mortgage Obligations (CMO). Assets under this category are not subject to unbundling

7

Cash and deposits

Money in the physical form, cash-equivalents, bank deposits and other money deposits

8

Mortgages and loans

Financial assets created when creditors lend funds to debtors, with collateral or not, including cash pools.

9

Property

Buildings, land, other constructions that are immovable and equipment

0

Other investments

Other assets reported in ‘Other investments’

A

Futures

Standardised contract between two parties to buy or sell a specified asset of standardised quantity and quality at a specified future date at a price agreed today

B

Call Options

Contract between two parties concerning the buying of an asset at a reference price during a specified time frame, where the buyer of the call option gains the right, but not the obligation, to buy the underlying asset

C

Put Options

Contract between two parties concerning the selling of an asset at a reference price during a specified time frame, where the buyer of the put option gains the right, but not the obligation, to sell the underlying asset

D

Swaps

Contract in which counterparties exchange certain benefits of one party’s financial instrument for those of the other party’s financial instrument, and the benefits in question depend on the type of financial instruments involved

E

Forwards

Non-standardised contract between two parties to buy or sell an asset at a specified future time at a price agreed today

F

Credit derivatives

Derivative whose value is derived from the credit risk on an underlying bond, loan or any other financial asset