First 2 positions – Assets listed in

Definition

Third and fourth position – Category

Definition

Country

ISO 3166-1-alpha-2 country code

Identify the ISO 3166-1-alpha-2 country code where the asset is listed in. An asset is considered as being listed if it is negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU. If the asset is listed in more than one country or the undertaking uses for valuation purposes a price provider which is one of the regulated markets or multilateral trading facility where the asset is listed in, the country shall be the one of that regulated market or multilateral trading facility used as the reference for valuation purposes.

XV

Assets listed in one or more than one country

Identify assets that are listed in one or more countries but when the undertaking uses for valuation purposes a price provider which is not one of the regulated markets or multilateral trading facility where the asset is listed in.

XL

Assets that are not listed in a stock exchange

Identify assets that are not negotiated on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU.

XT

Assets that are not exchange tradable

Identify assets that by their nature are not subject to negotiation on a regulated market or on a multilateral trading facility, as defined by Directive 2014/65/EU.

1

Government bonds

Bonds issued by public authorities, whether by central governments supra-national government institutions, regional governments or local authorities 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.

Regarding bonds with a qualifying guarantee, the third and fourth position shall be attributed by reference to the entity providing the guarantee.

11

Central Government bonds

Bonds issued by central governments and bonds that are fully, unconditionally and irrevocably guaranteed by the Member States’ central government, excluding bonds denominated and funded in a currency different from the domestic currency of that central government.

12

Supra-national bonds

Bonds issued by public institutions established by a commitment between national states, e.g. issued by the multilateral development bank referred to in paragraph 2 of Article 117 of Regulation (EU) No 575/2013 or issued by the international organisation referred to in Article 118 of Regulation (EU) No 575/2013.

13

Regional government bonds

Regional government or autonomous communities debt instruments offered to the public in a public offering on the capital market and bonds that are fully, unconditionally and irrevocably guaranteed by regional governments listed in Article 1 of Implementing Regulation (EU) 2015/2011.

14

Local authorities bonds

Bonds issued by local authorities, including cities, provinces, districts and other municipal authorities and bonds that are fully, unconditionally and irrevocably guaranteed by local authorities listed in Article 1 of Implementing Regulation (EU) 2015/2011.

15

Treasury bonds

Short term government bonds, issued by central governments (issued with a maturity term up to 1 year) and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks (issued with a maturity term up to 1 year).

16

Covered bonds

Government bonds and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, which have a pool of assets that secures or ‘covers’ the bond. Those assets remain on the issuer balance sheet.

17

National Central banks

Bonds issued by national central banks and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank and central banks, excluding bonds denominated and funded in a currency different from the domestic currency of that central bank.

18

Government bonds not denominated in the domestic currency

Bonds issued by central governments and central banks denominated and funded in a currency different from the domestic currency of that central government and the central bank.

19

Other

Other government bonds and bonds that are fully, unconditionally and irrevocably guaranteed by the European Central Bank, Member States’ central government and central banks, not classified under the above categories.

2

Corporate bonds

Bonds issued by corporations

21

Corporate bonds

Bonds issued by corporations, with simple characteristics, usually covering the ones referred to as ‘plain vanilla’, and that don’t have any special feature described in the categories 22 to 28.

22

Convertible bonds

Corporate bonds that either the bond holder or the bond issuer can convert into shares of common stock in the issuing company or cash of equal value, having debt and equity-like features.

23

Commercial paper

Unsecured, short-term debt instrument issued by a corporation, typically for the financing of accounts receivable, inventories and meeting short-term liabilities, usually with original maturity lesser than 270 days.

24

Money market instruments

Very short term debt securities (usually with maturities ranging from 1 day up to 1 year), consisting mainly of negotiable certificates of deposit (CDs), bankers acceptances and other highly liquid instruments. Commercial Paper is excluded from this category.

25

Hybrid bonds

Corporate bonds that have debt and equity-like features, but are not convertible.

26

Common covered bonds

Corporate bonds which have a pool of assets that secures or ‘covers’ the bond. Those assets remain on the issuer balance sheet. Covered bonds subject to specific law are excluded from this category

27

Covered bonds subject to specific law

Corporate bonds which have a pool of assets that secures or ‘covers’ the bond if the originator becomes insolvent and are subject by law to special public supervision designed to protect bond-holders, as defined in Article 52(4) of Directive 2009/65/EC.

An example of this category is Pfandbrief: ‘Covered bonds which are issued on the basis of the Pfandbrief Act. They are used to refinance loans for which collateral is furnished in the form of loans secured by real estate liens (Mortgage Pfandbriefe), public-sector loans (Public Pfandbriefe), ship mortgages (Ship Pfandbriefe) or aircraft mortgages (Aircraft Pfandbriefe). Thus, the distinction made between these Pfandbrief types refers to the cover pool created for each type of Pfandbrief.’

28

Subordinated bonds

Corporate bonds which have a lower priority than other bonds of the issuer in case of liquidation.

29

Other

Other corporate bonds, with other characteristics than the ones identified in the above categories.

3

Equity

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

31

Common equity

Equity that represents basic property rights on corporations.

32

Equity of real estate related corporation

Equity representing capital from real estate related corporations.

33

Equity rights

Rights to subscribe to additional shares of equity at a set price.

34

Preferred equity

Equity security that is senior to common equity, having a higher claim on the assets and earnings than common equity, but is subordinate to bonds.

39

Other

Other equity, not classified under the above categories.

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 or an alternative investment fund (AIF) as defined in Article 4(1)(a) of Directive 2011/61/EU.

41

Equity funds

Collective investment undertakings mainly invested in equity.

42

Debt funds

Collective investment undertakings mainly invested in bonds.

43

Money market funds

Collective investment undertakings under the definition provided by ESMA (CESR/10-049).

44

Asset allocation funds

Collective investment undertakings which invests its assets pursuing a specific asset allocation objective, e.g. primarily investing in the securities of companies in countries with nascent stock markets or small economies, specific sectors or group of sectors, specific countries or other specific investment objective

45

Real estate funds

Collective investment undertakings mainly invested in real estate

46

Alternative funds

Collective investment undertakings whose investment strategies include such as hedging, event driven, fixed income directional and relative value, managed futures, commodities etc.

47

Private equity funds

Collective investment undertakings used for making investments in equity securities following strategies associated with private equity.

48

Infrastructure funds

Collective investment undertakings that invest in Infrastructure assets as defined in point 55a or 55b of Article 1 of Delegated Regulation (EU) 2015/35.

49

Other

Other Collective investment undertakings, not classified under the above categories.

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.

51

Equity risk

Structured notes mainly exposed to equity risk

52

Interest rate risk

Structured notes mainly exposed to interest rate risk

53

Currency risk

Structured notes mainly exposed to currency risk

54

Credit risk

Structured notes mainly exposed to credit risk

55

Real estate risk

Structured notes mainly exposed to real estate risk

56

Commodity risk

Structured notes mainly exposed to commodity risk

57

Catastrophe and Weather risk

Structured notes mainly exposed to catastrophe or weather risk

58

Mortality risk

Structured notes mainly exposed to mortality risk

59

Other

Other structured notes, not classified under the above categories

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.

61

Equity risk

Collateralised securities mainly exposed to equity risk

62

Interest rate risk

Collateralised securities mainly exposed to interest rate risk

63

Currency risk

Collateralised securities mainly exposed to currency risk

64

Credit risk

Collateralised securities mainly exposed to credit risk

65

Real estate risk

Collateralised securities mainly exposed to real estate risk

66

Commodity risk

Collateralised securities mainly exposed to commodity risk

67

Catastrophe and Weather risk

Collateralised securities mainly exposed to catastrophe or weather risk

68

Mortality risk

Collateralised securities mainly exposed to mortality risk

69

Other

Other collateralised securities, not classified under the above categories

7

Cash and deposits

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

71

Cash

Notes and coins in circulation that are commonly used to make payments.

72

Transferable deposits (cash equivalents)

Deposits exchangeable for currency on demand at par and which are directly usable for making payments by cheque, draft, giro order, direct debit/credit, or other direct payment facility, without penalty or restriction.

73

Other deposits short term (less than or equal to one year)

Deposits other than transferable deposits, with remaining maturity inferior or equal to 1 year, that cannot be used to make payments at any time and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty.

74

Other deposits with term longer than one year

Deposits other than transferable deposits, with remaining maturity superior to 1 year, that cannot be used to make payments at any time and that are not exchangeable for currency or transferable deposits without any kind of significant restriction or penalty.

75

Deposits to cedants

Deposits relating to reinsurance accepted

79

Other

Other cash and deposits, not classified under the above categories.

8

Mortgages and loans

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

81

Uncollateralized loans made

Loans made without collateral.

82

Loans made collateralized with securities

Loans made with collateral in the form of financial securities

84

Mortgages and loans

Mortgages and loans made with collateral in the form of real estate.

85

Other collateralized loans made

Loans made with collateral in any other form.

86

Loans on policies

Loans made with insurance policies as collateral.

87

Loans to AMSB members

Loans made to AMSB members. This class shall prevail over the ones above.

88

Loans to other natural persons

Loans made to other natural persons. This class shall prevail over the ones above.

89

Other

Other mortgages and loans, not classified under the above categories.

9

Property

Buildings, land, other constructions that are immovable and equipment.

91

Property (office and commercial)

Office and commercial building used for investment

92

Property (residential)

Residential buildings used for investment

93

Property (for own use)

Real estate for the own use of the undertaking

94

Property (under construction for investment)

Real estate that is under construction, for future usage as investment

95

Plant and equipment (for own use)

Plant and equipment for the own use of the undertaking

96

Property (under construction for own use)

Real estate that is under construction, for future own usage.

99

Other

Other property, not classified under the above categories.

0

Other investments

Other assets reported in ‘Other investments’.

09

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.

A1

Equity and index futures

Futures with equity or stock exchange indices as underlying

A2

Interest rate futures

Futures with bonds or other interest rate dependent security as underlying

A3

Currency futures

Futures with currencies or other currencies dependent security as underlying

A5

Commodity futures

Futures with commodities or other commodities dependent security as underlying

A7

Catastrophe and Weather risk

Futures mainly exposed to catastrophe or weather risk

A8

Mortality risk

Futures mainly exposed to mortality risk

A9

Other

Other futures, not classified under the above categories

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

B1

Equity and index options

Call options with equity or stock exchange indices as underlying

B2

Bond options

Call options with bonds or other interest rate dependent security as underlying

B3

Currency options

Call options with currencies or other currencies dependent security as underlying

B4

Warrants

Call options that entitles the holder to buy stock of the issuing company at a specified price

B5

Commodity options

Call options with commodities or other commodities dependent security as underlying

B6

Swaptions

Call options granting its owner the right but not the obligation to enter into a long position in an underlying swap, i.e., enter into a swap where the owner pays the fixed leg and receive the floating leg

B7

Catastrophe and Weather risk

Call options mainly exposed to catastrophe or weather risk

B8

Mortality risk

Call options mainly exposed to mortality risk

B9

Other

Other call options, not classified under the above categories

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

C1

Equity and index options

Put options with equity or stock exchange indices as underlying

C2

Bond options

Put options with bonds or other interest rate dependent security as underlying

C3

Currency options

Put options with currencies or other currencies dependent security as underlying

C4

Warrants

Put options that entitles the holder to sell stock of the issuing company at a specified price

C5

Commodity options

Put options with commodities or other commodities dependent security as underlying

C6

Swaptions

Put options granting its owner the right but not the obligation to enter into a short position in an underlying swap, i.e., enter into a swap in which the owner will receive the fixed leg, and pay the floating leg

C7

Catastrophe and Weather risk

Put options mainly exposed to catastrophe or weather risk

C8

Mortality risk

Put options mainly exposed to mortality risk

C9

Other

Other put options, not classified under the above categories

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

D1

Interest rate swaps

Swap that exchange interest flows

D2

Currency swaps

Swap that exchange currency

D3

Interest rate and currency swaps

Swap that exchange interest and currency flows

D4

Total return swap

A swap in which the non-floating rate side is based on the total return of an equity or fixed income instrument with the life longer that the swap

D5

Security swaps

Swap that exchange securities

D7

Catastrophe and Weather risk

Swaps mainly exposed to catastrophe or weather risk

D8

Mortality risk

Swaps mainly exposed to mortality risk

D9

Other

Other swaps, not classified under the above categories

E

Forwards

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

E1

Forward interest rate agreement

Forward contract in which typicaly one party pays a fixed interest rate, and receives a variable interest rate usualy based on an underlying index rate, at the predefined forward date

E2

Forward exchange rate agreement

Forward contract in which one party pays an amount in one currency, and receives an equivalent amount in a different currency resulting from the conversion using the contractual exchange rate, at the predefined forward date

E7

Catastrophe and Weather risk

Forwards mainly exposed to catastrophe or weather risk

E8

Mortality risk

Forwards mainly exposed to mortality risk

E9

Other

Other forwards, not classified under the above categories

F

Credit derivatives

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

F1

Credit default swap

Credit derivative transaction in which two parties enter into an agreement whereby one party pays the other a fixed periodic coupon for the specified life on the agreement and the other party makes no payments unless a credit event relating to a predetermined reference asset occurs

F2

Credit spread option

Credit derivative that will generate cash flows if a given credit spread between two specific assets or benchmarks changes from its current level

F3

Credit spread swap

A swap in which one party makes a fixed payment to the other on the swap’s settlement date and the second party pays the first an amount based on the actual credit spread

F4

Total return swap

A swap in which the non-floating rate side is based on the total return of an equity or fixed income instrument with the life longer that the swap

F9

Other

Other credit derivatives, not classified under the above categories