Question ID: 2190
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Other
Article: N/A
Template: S.06.02
Status: Final
Date of submission: 11 Sep 2020
Question
In QRT S.06.02 the following can be read for Structured notes: “Excluded from this category are fixed income securities that are issued by sovereign governments”. Does this mean that structured notes or securities similar to structured notes issued by national government or its regional government bodies should not be classified as structured notes? For instance, if a regional government issues a security consisting mainly of fixed income component but also a derivative or another component (Social bonds issued by government/regional government/ would be such an example), should this be classified as structured notes or should everything issued by government or its regions be classified as government bonds?
EIOPA answer
Structured notes issued by sovereign governments (all CIC1 subcategories) should not be classified as structured notes; they should be classified as government bonds: "CIC 5-Structured notes are 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