Commission Implementing Regulation (EU) 2015/462 of 19 March 2015 laying down implementing technical standards with regard to the procedures for supervisory approval to establish special purpose vehicles, for the cooperation and exchange of information between supervisory authorities regarding special purpose vehicles as well as to set out formats and templates for information to be reported by special purpose vehicles in accordance with Directive 2009/138/EC of the European Parliament and of the Council Text with EEA relevance
Commission Implementing Regulation (EU) 2015/462of 19 March 2015laying down implementing technical standards with regard to the procedures for supervisory approval to establish special purpose vehicles, for the cooperation and exchange of information between supervisory authorities regarding special purpose vehicles as well as to set out formats and templates for information to be reported by special purpose vehicles in accordance with Directive 2009/138/EC of the European Parliament and of the Council(Text with EEA relevance) THE EUROPEAN COMMISSION,Having regard to the Treaty on the Functioning of the European Union,Having regard to Directive 2009/138/EC of 25 November 2009 of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II)OJ L 335, 17.12.2009, p. 1., and in particular Article 211(2)(a) and (b) thereof,Whereas:(1)Special purpose vehicles require supervisory approval to be established prior to assuming risks from insurance or reinsurance undertakings. The conditions and procedures to be followed for granting and withdrawing this approval, including documentation requirements, are regulated by Directive 2009/138/EC and should be complemented by this Regulation.(2)Where a special purpose vehicle assumes risks from more than one insurance or reinsurance undertaking, the special purpose vehicle should maintain assets equal to or exceeding its aggregate maximum risk exposure taking into account each individual contractual obligation. When granting supervisory approval, the supervisory authority should assess whether this obligation is being met and consider each individual contractual arrangement and risk transfer.(3)It is important to set procedures for the cooperation and exchange of information between supervisory authorities, where the special purpose vehicle is established in a Member State which is not the Member State where the insurance or reinsurance undertaking, from which it assumes risk, is established. The cooperation and exchange of information between those supervisory authorities is particularly important during the process of the supervisory approval of the special purpose vehicle. Also, if there are material changes that potentially affect the special purpose vehicle's compliance with the requirements of Article 211 of Directive 2009/138/EC and when the authorisation is withdrawn or lapses, the cooperation and exchange of information between those supervisory authorities is necessary to ensure effective and efficient supervision.(4)The supervisory reporting requirements, which are set out in Article 325 of Commission Delegated Regulation (EU) 2015/35Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 12, 17.1.2015, p. 1)., should enable the supervisory authorities of the special purpose vehicles to assess continued compliance with the relevant requirements. Those requirements should be complemented by the templates and formats set out in this Regulation.(5)For a clearer understanding of the appropriate technical rules to be laid down, it is necessary to define the term multi-arrangement special purpose vehicle.(6)This Regulation is based on the draft implementing technical standards submitted by the European Insurance and Occupational Pensions Authority (EIOPA) to the Commission.(7)EIOPA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Insurance and Reinsurance Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1094/2010 of the European Parliament and of the CouncilRegulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Insurance and Occupational Pensions Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/79/EC (OJ L 331, 15.12.2010, p. 48)..(8)In order to enhance legal certainty about the supervisory regime during the phasing-in period provided for in Article 308a of Directive 2009/138/EC, which will start on 1 April 2015, it is important to ensure that this Regulation enters into force as soon as possible, on the day after that of its publication in the Official Journal of the European Union,HAS ADOPTED THIS REGULATION:
Article 1Subject matterThis Regulation sets out:(a)the procedures to be followed for granting and withdrawing supervisory approval to establish special purpose vehicles;(b)the procedures to be followed for cooperation and exchange of information between the supervisory authority of the Member State in which the special purpose vehicle is established and the supervisory authority of the Member State in which the insurance or reinsurance undertaking transferring risk is established;(c)the formats and templates to be used for the annual reporting of information by the special purpose vehicle.
Article 2DefinitionFor the purposes of this Regulation, "multi-arrangement special purpose vehicle" means a special purpose vehicle which assumes risks under more than one separate contractual arrangement from one or more insurance or reinsurance undertakings.
Article 3Supervisory approval to establish special purpose vehiclesThe special purpose vehicle shall seek authorisation from the supervisory authority of the Member State to establish its head office within the territory of that Member State.
Article 4Decision of the supervisory authority1.The supervisory authority of the Member State in which the special purpose vehicle is established or is to be established shall decide on an application for authorisation within six months of the date of its receipt.2.In its decision to grant supervisory approval the supervisory authority shall state the activities for which the special purpose vehicle is authorised and, where relevant, any terms and conditions relating to those activities.3.Any decision to refuse an authorisation shall state full reasons and shall be communicated to the applicant by the supervisory authority.
Article 5Demonstration and documentation requirementsWhen applying for supervisory approval to establish, the special purpose vehicle shall demonstrate that the requirements set out in Articles 318 to 324, 326 and 327 of Delegated Regulation (EU) 2015/35 are met and that the special purpose vehicle is capable of meeting the requirements of Article 325 of Delegated Regulation (EU) 2015/35 by providing documentary evidence of that in its application. When submitting an application for authorisation, the applicant shall submit, at least, the supporting documentation as set out in Annex I. The documentation shall cover the structure of the special purpose vehicle, the risk to be assumed and the funding of that special purpose vehicle.
Article 6Withdrawal of authorisation1.The supervisory authority granting supervisory approval to establish the special purpose vehicle may withdraw the authorisation of that special purpose vehicle where:(a)the special purpose vehicle no longer fulfils the original conditions under which the approval to establish that special purpose vehicle was granted;(b)the special purpose vehicle fails seriously in its obligations under the regulations to which it is subject.2.In the case referred to in paragraph (1)(b) above, the supervisory authority shall consider the special purpose vehicle to have committed a serious failure where it does not comply with the requirement to remain fully funded and the supervisory authority considers that the special purpose vehicle cannot restore its compliance within a reasonable timeframe.3.Any decision to withdraw authorisation shall state the full reasons and shall be communicated to the special purpose vehicle without delay.
Article 7Multi-arrangement special purpose vehicle1.When applying for supervisory approval to establish a multi-arrangement special purpose vehicle, the applicant shall additionally demonstrate to the satisfaction of its supervisory authority that its solvency cannot be adversely affected by the winding-up proceedings of any one of the insurance or reinsurance undertakings transferring risks and that the multi-arrangement special purpose vehicle can maintain the solvency requirement at all times.2.When demonstrating that the multi-arrangement special purpose vehicle's solvency cannot be adversely affected by the winding-up proceedings of any one of the insurance or reinsurance undertakings transferring risk, the multi-arrangement special purpose vehicle shall provide sufficient supporting evidence to allow its supervisory authority to assess the multi-arrangement special purpose vehicle's overall aggregate maximum risk exposure and the aggregate maximum risk exposure of each individual contractual arrangement relating to the transfer of risk from an insurance or reinsurance undertaking.3.When applying for supervisory approval to establish a multi-arrangement special purpose vehicle, the applicant shall provide sufficient supporting evidence that it satisfies the conditions set out in Articles 319 to 321 and 326 of the Implementing Measures taking into account each individual contractual arrangement in order to determine whether the multi-arrangement special purpose vehicle complies with the solvency requirements.4.Where the applicant is not able to provide sufficient supporting evidence in line with the provisions of paragraphs 1 to 3, the supervisory authority shall refuse the application for the establishment of the multi-arrangement special purpose vehicle.
Article 8Ongoing cooperation between supervisory authorities1.Where the special purpose vehicle which assumes risk from an insurance or reinsurance undertaking is established in a Member State which is not the Member State in which the insurance or reinsurance undertaking is authorised, the supervisory authorities concerned shall cooperate on an ongoing basis.2.The supervisory authorities shall exchange information relevant to the exercise of supervisory tasks, including information on any planned supervisory actions against the special purpose vehicle or the insurance and reinsurance undertakings transferring risk where this may affect the supervision of that special purpose vehicle or the insurance and reinsurance undertakings transferring risk. In such circumstances, the supervisory authorities shall communicate without delay.
Article 9Prior consultation before granting an authorisationPrior to granting authorisation, the supervisory authority from which supervisory approval to establish a special purpose vehicle is sought shall consult with the supervisory authority of the Member State in which the insurance or reinsurance undertaking transferring risk is established.
Article 10Communication of changesThe special purpose vehicle's supervisory authority shall communicate without delay any relevant information received from a special purpose vehicle according to Article 325(5) of Delegated Regulation (EU) 2015/35 relating to any changes that could affect the special purpose vehicle's compliance with the requirements set out in Articles 318 to 324, 326 and 327 of Delegated Regulation (EU) 2015/35 to the supervisory authority of the insurance or reinsurance undertaking transferring risk to that special purpose vehicle. The supervisory authority shall communicate without delay the special purpose vehicle's breach of solvency requirements.
Article 11Communication of withdrawal of authorisationIn the event of withdrawal of a special purpose vehicle's authorisation, that special purpose vehicle's supervisory authority shall notify the supervisory authority of the insurance or reinsurance undertaking transferring risk to that special purpose vehicle without delay.
Article 12Communication of the annual reportThe special purpose vehicle's supervisory authority shall share the annual report of the special purpose vehicle, submitted according to Article 325(3) and (4) of Delegated Regulation (EU) 2015/35, with the supervisory authority of the insurance or reinsurance undertaking transferring risk to that special purpose vehicle without delay. In case of a multi-arrangement special purpose vehicle, the multi-arrangement special purpose vehicle's supervisory authority may share with the supervisory authorities only those parts of the report that relate to the insurance and reinsurance undertaking established in the Member State of those supervisory authorities.
Article 13Quantitative content of the annual reportIn line with Article 325 of Delegated Regulation (EU) 2015/35, the special purpose vehicle shall submit annually to its supervisory authority quantitative information following the formats and templates, as set out in Annex II and in accordance with the instructions in Annex III, and comprising:(a)content of submission, as specified in template SPV.01.01 of Annex II, according to the instructions in Annex III under the reference SPV.01.01;(b)basic information on the special purpose vehicle, as specified in template SPV.01.02 of Annex II, according to the instructions in Annex III under the reference SPV.01.02;(c)balance sheet data of the special purpose vehicle, distinguishing the material classes of assets, liabilities and equity items, including debt or other financing mechanism issued, as specified in template SPV.02.01 of Annex II, according to the instructions in Annex III under the reference SPV.02.01;(d)off-balance sheet data of the special purpose vehicle, as specified in template SPV.02.02 of Annex II, according to the instructions in Annex III under the reference SPV.02.02;(e)risks assumed regarding each individual contractual arrangement relating to the transfer of risk from an insurance or reinsurance undertaking, as specified in template SPV.03.01 of Annex II, according to the instructions in Annex III under the reference SPV.03.01;(f)list of debt securities or other financing mechanism issued regarding each individual contractual arrangement relating to the transfer of risk from an insurance or reinsurance undertaking, as specified in template SPV.03.02 of Annex II, according to the instructions in Annex III under the reference SPV.03.02.
Article 14Qualitative content of the annual reportIn line with Article 325 of Delegated Regulation (EU) 2015/35, the special purpose vehicle shall submit annually to its supervisory authority qualitative information covering the following:(a)an adequate description of the basis, methods and assumptions used for the valuation of the assets;(b)an adequate description of the basis, methods and assumptions used for the determination of the aggregate maximum risk exposure;(c)details of any conflicts of interest between the special purpose vehicle, the insurance or reinsurance undertakings and the providers of debt or finance;(d)details of any significant transactions entered into by the special purpose vehicle during the last reporting period;(e)information to demonstrate that the special purpose vehicle continues to be fully funded, including:(i)a description of the risks, including liquidity risks and quantifiable risks, assumed by the special purpose vehicle;(ii)information on the debt instruments issued or other financing mechanism entered into;(f)if the special purpose vehicle has not continuously complied with the requirement to be fully funded during the reporting period, the special purpose vehicle shall report any relevant information on that non-compliance and its rectification according to Article 326 of Delegated Regulation (EU) 2015/35 during the reporting period;(g)qualitative information on any changes that could affect the special purpose vehicle's compliance with the requirements set out in Articles 318 to 324, 326 and 327 of Delegated Regulation (EU) 2015/35.
Article 15Description of the risks assumed by the special purpose vehicleWhen describing the risks assumed, as required by Article 14, the special purpose vehicle shall provide information in the annual report on:(a)whether the risks assumed are mainly life or non-life type of risks;(b)what types of trigger events apply to those risks;(c)whether a trigger event occurred in the reporting period, triggering a claim against the special purpose vehicle's assets;(d)whether any amounts arising from a claim were paid out in the reporting period, and if that is the case, how much has been paid out to date and whether the trigger event has negatively affected the special purpose vehicle's liquidity;(e)whether the special purpose vehicle's risk profile has changed materially since the previous reporting period or from the original terms and conditions as communicated to its supervisory authority upon authorisation.
Article 16Information on debt instruments issued or other financing mechanism entered intoWhen providing information on debt instruments issued or other financing mechanism entered into as required by Article 14, the special purpose vehicle shall report on the following:(a)the proceeds of the debt issuance or other financing mechanism and whether they have been fully paid-in regarding each individual contractual arrangement relating to the transfer of risk from an insurance or reinsurance undertaking;(b)the types of tiers of the financing mechanism, specifying the tranches or tiers, including information on external ratings received or internal ratings used for issued debt instruments and which, if any, credit rating agencies were used;(c)the reasons why the financial arrangements are regarded as sufficiently robust to ensure continued protection of potential claims of the insurance or reinsurance undertaking transferring risk to the special purpose vehicle, to maintain its ability to meet amounts it is liable for as they fall due and to ensure the pay-out structure of debt or financing mechanisms;(d)any debt instruments that have been cancelled, bought back or redeemed, partially or in full, since those instruments were issued and separately for the current reporting period.
Article 17Means for reportingSpecial purpose vehicles shall submit the quantitative content of the report referred to in Article 13 to the supervisory authority electronically, and the qualitative content of the report referred to in Article 15 in an electronic readable format.
Article 18Currency and units1.Special purpose vehicles shall submit all monetary data from the report referred to in Article 13 in the special purpose vehicle's currency of reporting. For that purpose, other currencies shall be converted into the currency of reporting, using the applicable exchange rate at the end of the reporting period.2.Special purpose vehicles shall submit numeric values as facts according to the following formats:(a)data points with the data type "Monetary" shall be reported using a minimum precision equivalent to units;(b)data points with the data type "Integer" shall be reported using no decimals and a precision equivalent to units.
Article 19Entry into forceThis Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.Done at Brussels, 19 March 2015.For the CommissionThe PresidentJean-Claude JunckerANNEX IThe supporting documentation referred to in Article 5 of this Regulation shall include the following:1.a clear and profound presentation and analysis in an organisational chart identifying all the relevant parties involved in the transaction, including the insurance or reinsurance undertakings involved, which are supervised by supervisory authorities other than the supervisory authority responsible for granting the special purpose vehicle's authorisation;2.information about the identity and qualification of the originator or sponsor of the special purpose vehicle, where this party differs from the insurance or reinsurance undertaking transferring risk to the special purpose vehicle;3.information about the insurance or reinsurance undertaking transferring risk to the special purpose vehicle;4.identification and qualification of the persons who are, or will be, appointed to act as trustees, where applicable, of the special purpose vehicles' assets;5.information about the identity and qualification of the persons who are, or will be, employees of the special purpose vehicle, including details of persons who effectively run the special purpose vehicle;6.information about the identity and qualification of persons who have, or will be expected to have, qualifying holdings, directly or indirectly in the special purpose vehicle together with the amounts of those holdings;7.information about the identity and qualification of the persons who are providing or will provide management and professional services, such as accounting to the special purpose vehicle;8.the special purpose vehicle's memorandum and articles of association, or drafts thereof;9.details of the insurance or reinsurance undertakings' original insurance policies clearly detailing which risks were initially assumed by the insurance or reinsurance undertaking and which will be transferred to the special purpose vehicle, including an assessment and a description of how the transfer of ceded risks and the retention of any residual risks will comply with the requirements of Article 320 of Delegated Regulation (EU) 2015/35;10.details of the draft contractual arrangement relating to the transfer of risk between the special purpose vehicle and the insurance or reinsurance undertaking including a description of how the contract will meet the requirements of Articles 210, 211, 319 and 320 of Delegated Regulation (EU) 2015/35. The description shall include:(a)any relevant triggering events or mechanisms under the contract;(b)the maximum aggregate risk exposure of the contract;11.an assessment outlining how the legal and governance structures of the special purpose vehicle are deemed to comply with the requirements of Articles 210, 319, 320, 324, 326 and 327 of Delegated Regulation (EU) 2015/35. The review should also give an opinion on whether the legal structure chosen for the special purpose vehicle affords a legally enforceable protection of the assets of the special purpose vehicle, thereby ensuring that the solvency of the special purpose vehicle shall not be adversely affected in line with the requirements of Articles 318(b) and Article 321 of Delegated Regulation (EU) 2015/35. The assessment should include the following:(a)an explanation of how the special purpose vehicle is, or will be, fully funded, including relevant tests, such as stress and scenario tests, to determine if the fully funded requirement has been complied with and how the status will be maintained;(b)information on the special purpose vehicle's equity including size, growth, potential investor concentration, and on the special purpose vehicle's management share of that equity;(c)details of the counterparties to the contractual arrangements relating to the transfer of risk from an insurance or reinsurance undertaking to the special purpose vehicle, including details of all the roles of the special purpose vehicle and the insurance or reinsurance undertaking, as well as the roles and identities of other participants, including, but not limited to, note holders, account managers and account servicing managers, custodians and trusts, asset managers, underwriters and sponsors to the transaction. This shall also include an assessment of the applicable accounting consolidation requirements of the special purpose vehicle into a group;(d)information on quantifiable risks of the special purpose vehicle including details of the special purpose vehicle's liquidity risk and liquidity strategy;(e)information on risk implications of the special purpose vehicle's proposed investment strategy;(f)information on the special purpose vehicle's adherence to the solvency requirements according to Article 327 of Delegated Regulation (EU) 2015/35;(g)details of the risk transfer, including assessment of material residual risks, including basis risk;(h)details on, if any, the use and details of hedging instruments, such as interest rate swaps or currency contracts;(i)details of any off-balance sheet commitments to support the special purpose vehicle, including guarantees or any other form of credit risk mitigation sold to or otherwise provided to the special purpose vehicle;(j)financial projections over the expected life of the special purpose vehicle;(k)an actuarial assessment of the insurance risks assumed;(l)a draft plan outlining the special purpose vehicle's supervisory reporting procedures, designed to comply with the requirements of Articles 325 to 327 of Delegated Regulation (EU) 2015/35, including specific reportable matters identified under Article 325(2) and Article 326(1) and (2) of Delegated Regulation (EU) 2015/35 and with regards to how material changes would be communicated to the supervisory authority;12.transaction documentation, or drafts thereof, regarding the issue of debt or financial mechanisms, and risk transfer to providers of such debt or financing mechanisms, to explain how compliance with Articles 210, 211, 320 and 321 of Delegated Regulation (EU) 2015/35 will be maintained. This documentation should include:(a)prospectus or offering circular or private placement memorandum, or drafts thereof;(b)rating assessment or credit rating agency's report prior to the issue of the funding instruments by the special purpose vehicle;(c)details relating to the potential use of financial guarantors on any of the "tranches" of notes to be issued;(d)trustee agreement, where such an arrangement exists, or drafts thereof;(e)with regard to the debt or financing mechanisms, details of the special purpose vehicle's liquidity strategy for the issued financial instruments, including the structure and tiering, types of positions, and note holder withdrawal rules;(f)information on risk implications of the special purpose vehicle's investment strategy;(g)contracts, or drafts thereof, and details of any hedging instrument, such as interest rate swaps or currency contracts;(h)transaction documentation, or draft thereof, governing parts of the contractual arrangements relating to the transfer of risk from an insurance or reinsurance undertaking to the special purpose vehicle, which may be understood as connected transaction according to Articles 210(3) and 320(2) of Delegated Regulation (EU) 2015/35. Where applicable, this may include contracts with other participants to the transaction, as well as outsourcing and service contracts;13.where a special purpose vehicle, which was authorised prior to 31 December 2015, commences any new activities after 31 December 2015, the special purpose vehicle shall report any relevant information on how the existing activity of the special purpose vehicle may impact on its aggregate risk exposure profile in relation to any new activity.ANNEX IISpecial Purpose Vehicles reporting templatesSPV.01.01 — Content of the submission
Template CodeTemplate nameC0010
SPV.01.02Basic InformationR0010
SPV.02.01Balance sheetR0020
SPV.02.02Off-balance sheetR0030
SPV.03.01Risks assumedR0040
SPV.03.02Debt or other financing mechanismR0050
SPV.01.02 — Basic information
C0010
Name of reporting special purpose vehicleR0010
Identification codeR0020
Type of codeR0030
Home-country of the special purpose vehicleR0040
Reporting dateR0050
Reference dateR0060
Currency used for reportingR0070
Risks assumed through separate arrangementsR0080
Compliance with fully funded requirement throughout the reporting periodR0090
SPV.02.01 — Balance sheet
Value
AssetsC0010
Deposits and loans claimsR0010
Securitised loansR0020
Debt securitiesR0030
Other securitised assetsR0040
Equity and collective investment unitsR0050
Financial derivativesR0060
Non-financial assets (including fixed assets)R0070
Total of other material classes of assetsR0080
Remaining assetsR0090
Total assetsR0100
Liabilities
Loans and deposits receivedR0110
Debt securities issuedR0120
Financial derivativesR0130
Total of other material classes of liabilitiesR0140
Remaining liabilitiesR0150
Total LiabilitiesR0160
Equity
Total EquityR0170
Description of itemsValue
C0020C0010
Other material classes of assets 1R0180
…
Description of itemsValue
C0020C0010
Other material classes of liabilities 1R0190
…
Description of itemsValue
C0020C0010
Equity item 1R0200
…
SPV.02.02 — Off-Balance sheet
Accounting value
Off-balance sheet itemsC0010
Guarantees received by the special purpose vehicle directlyR0010
Collateral heldR0020
Total of other off-balance sheet itemR0030
Off-balance sheet obligations
Collateral pledgedR0040
Total of other off-balance sheet obligationR0050
Description of itemsAccounting value
C0020C0010
Off-balance sheet item 1R0060
…
Description of itemsAccounting value
C0020C0010
Off-balance sheet obligation 1R0070
…
SPV.03.01 — Risks assumed
ArrangementDate of issuanceIssues/uses commenced prior to implementation of Directive 2009/138/ECName of cedentCedent codeType of codeAggregate maximum risk exposure per arrangementAssets held for separable riskCompliance with the fully funded requirement for the arrangement throughout the reporting periodDuration
C0010C0020C0030C0040C0050C0060C0070C0080C0090C0100
TotalR0010
Risk 1R0020
……
SPV.03.02 — Debt or other financing mechanism
ArrangementDescription of the debt or other financing mechanism issued for arrangementAmount of the debt or other financing mechanism issued for arrangement
C0010C0020C0030
TotalR0010
Debt or other financing mechanism 1R0020
…
ANNEX IIIThis Annex contains additional instructions in relation to the templates included in Annex II to this Regulation. The first column of the tables identifies the items to be reported by identifying the cells as presented in the template in Annex II.Where the special purpose vehicle is requested to complement the quantitative reporting with a particular justification, the explanation is not to be submitted within the reporting template, but shall be included within the narrative part of the submission of information by the special purpose vehicle to the supervisory authority.SPV.01.01 — Content of the submission
CellItemInstructions
R0010/C0010Basic InformationReported.
R0020/C0010Balance SheetOne of the options in the following closed list shall be used:1Reported;9Not reported (in this case justification is required).
R0030/C0010Off-balance sheetOne of the options in the following closed list shall be used:1Reported;2Not reported o/a no off-balance sheet items;9Not reported other reason (in this case justification is required).
R0040/C0010Risks assumedOne of the options in the following closed list shall be used:1Reported;9Not reported (in this case justification is required).
R0050/C0010Debt or other financing mechanismOne of the options in the following closed list shall be used:1Reported;9Not reported (in this case justification is required).
SPV.01.02 — Basic information
CellItemInstructions
R0010/C0010Name of reporting special purpose vehicleName of special purpose vehicle submitting the report to the supervisory authority.
R0020/C0010Identification codeIdentification of the special purpose vehicle using the following priority:Legal Entity Identifier (LEI);Identification code used in the local market, attributed by national supervisory authority.
R0030/C0010Type of codeIdentification of the code used in item "Identification code". One of the options in the following closed list shall be used:1LEI2Local code
R0040/C0010Home-country of the special purpose vehicleISO 3166-1 alpha-2 code of the country where the special purpose vehicle has been authorised.
R0050/C0010Reporting dateISO 8601 (yyyy-mm-dd) code of the date when the report to the supervisory authority is made.
R0060/C0010Reference dateISO 8601 (yyyy-mm-dd) code of the date identifying the last day of the reporting period.
R0070/C0010Currency used for reportingISO 4217 alphabetic code of the currency of the monetary amounts used in each report.
R0080/C0010Risks assumed through separate arrangementsIdentify the number of separate risk arrangements that a SPV may have received authorisation to assume under terms and conditions as set by its supervisory authority.
R0090/C0010Compliance with fully funded requirement throughout the periodTo state whether fully-funded requirement was maintained between two reporting periods. The following closed list shall be used:1Compliance with fully-funded2Non-compliance with fully-funded
SPV.02.01 — Balance sheet
CellItemInstructions
R0010/C0010Deposits and loans claimsValue of the deposits and loan claims according to Article 75 of Directive 2009/138/EC. This item shall include:All depositsLoans granted by the SPVCash
R0020/C0010Securitised loansValue of the securitised loans acquired by the special purpose vehicle according to Article 75 of Directive 2009/138/EC.
R0030/C0010Debt securitiesValue of holdings of debt securities according to Article 75 of Directive 2009/138/EC. It includes subordinated debt in the form of debt securities.
R0040/C0010Other securitised assetsValue of other securitised assets not included in items "Securitised loans" (C0010/R0020) or "Debt securities" (C0010/R0030) according to Article 75 of Directive 2009/138/EC.
R0050/C0010Equity and collective investment unitsValue of equity and collective investment units held according to Article 75 of Directive 2009/138/EC.
R0060/C0010Financial derivativesValue of financial derivatives with positive value according to Article 75 of Directive 2009/138/EC.
R0070/C0010Non-financial assets (including fixed assets)Value of tangible and intangible assets, other than financial assets according to Article 75 of Directive 2009/138/EC.
R0080/C0010Total of other material classes of assetsTotal amount of other material classes of assets
R0090/C0010Remaining assetsValue of all the others assets, not covered by the previous items according to Article 75 of Directive 2009/138/EC.
R0100/C0010Total assetsTotal value of the assets of the special purpose vehicle.
R0110/C0010Loans and deposits receivedValue owed to creditors by the special purpose vehicle, other than those arising from the issue of negotiable securities.
R0120/C0010Debt securities issuedValue of the securities issued by the special purpose vehicle, other than equity according to Article 75 of Directive 2009/138/EC.
R0130/C0010Financial derivativesValue of financial derivatives with negative value according to Article 75 of Directive 2009/138/EC.
R0140/C0010Total of other material classes of liabilitiesTotal amount of other material classes of liabilities
R0150/C0010Remaining liabilitiesValue of all the others liabilities, not covered by the previous items according to Article 75 of Directive 2009/138/EC.
R0160/C0010Total LiabilitiesTotal of the liabilities of the special purpose vehicle.
R0170/C0010Total EquityTotal of the equity of the special purpose vehicle.
R0180/C0020Other material classes of assets 1Description of the material class of assets. Identify as many other material classes as needed to give a clear view of the nature of the material assets of the special purpose vehicle.
R0180/C0010Other material classes of assets 1 — ValueValue of each material class of assets.
R0190/C0020Other material classes of liabilities 1Description of the material class of liabilities. Identify as many other material classes as needed to give a clear view of the nature of the material liabilities of the special purpose vehicle.
R0190/C0010Other material classes of liabilities 1 — ValueValue of each material class of liabilities.
R0200/C0020Equity (Material items)Description of the material equity items. To be decided by each special purpose vehicle considering the nature of material items held by the reporting special purpose vehicle and to be kept consistent over reporting periods.
R0200/C0010Equity item 1Value of each equity item reported according to Article 75 of Directive 2009/138/EC.
SPV.02.02 — Off-Balance sheet
CellItemInstructions
R0010/C0010Guarantees received by the special purpose vehicle directlyAccounting value of the guarantees received by the special purpose vehicle directly.
R0020/C0010Collateral heldAccounting value of the collaterals held.
R0030/C0010Total of other off-balance sheet itemsAccounting value of each other off-balance sheet items reported.
R0040/C0010Collateral pledgedAccounting value of Collaterals pledged.
R0050/C0010Total of other off-balance sheet obligationsAccounting value of each other off-balance sheet obligations reported.
R0060/C0020Off-balance sheet item 1Description of each other off-balance sheet item. The special purpose vehicle shall report as many different items as needed.
R0060/C0010Off-balance sheet item 1 — Accounting ValueAccounting value of each other off-balance sheet items reported.
R0070/C0020Off-balance sheet obligation 1Description of each other off-balance sheet obligation. The special purpose vehicle shall report as many different items as needed.
R0070/C0010Off-balance sheet obligation 1 — Accounting valueAccounting value of each other off-balance sheet obligations reported.
SPV.03.01 — Risks assumed
CellItemInstructions
R0010/C0070Total — Aggregate maximum risk exposure per arrangementTotal of the special purpose vehicle's aggregate maximum risk exposureC0070/R0010 = Sum (C0070/R0020)
R0010/C0080Total — Assets held for separable riskValue of the total assets heldSPV.03.01 C0080/R0010 = Sum (C0080/R0020) = SPV.02.01.C0010/R0100
R0020/C0010ArrangementWhere multi-arrangement special purpose vehicles are involved, information shall be provided for each separate arrangement (each separable risk assumed). This item identifies the risk arrangement code.If the supervisory authority attributes a code, that code shall be used. If not, the special purpose vehicle shall attribute a code that shall be kept consistent over the reporting years and shall not be reused.The number of lines reported shall be the same as the number identified in SPV.01.02.C0010/R0080
R0020/C0020Date of issuanceISO 8601 (yyyy-mm-dd) code of the issuance date for each separable risk arrangement.
R0020/C0030Issues/uses commenced prior to implementation of Directive 2009/138/ECIdentification if arrangement entered before 31 December 2015. The following closed list shall be used:1Prior to 31 December 20152After 31 December 2015
R0020/C0040Name of cedantName of the insurance or reinsurance undertaking transferring risks to the special purpose vehicle.
R0020/C0050Cedant codeIdentification code of the cedant using the following priority, if existent:Legal Entity Identifier (LEI);Specific code.Specific code:For EEA (re) insurance undertakings: identification code used in the local market, attributed by the undertaking's supervisory authority;For non-EEA undertakings and non-regulated undertakings, identification code provided by the special purpose vehicle. When allocating an identification code to each non-EEA or non-regulated undertaking, it shall comply with the following format in a consistent manner:identification code of the undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits
R0020/C0060Type of codeIdentification of the code used in the item "Cedant code" (C0050). One of the options in the following closed list shall be used:1LEI2Specific code
R0020/C0070Aggregate maximum risk exposure per arrangementValue per arrangement of the aggregate maximum risk exposure.
R0020/C0080Assets held for separable riskValue of the total assets held per arrangement.
R0020/C0090Compliance with the fully funded requirement for the arrangement throughout the reporting periodTo state whether fully-funded requirement was maintained between two reporting periods. The following closed list shall be used:1Compliance with fully-funded2Non-compliance with fully-funded
R0020/C0100DurationValue of the remaining duration of the arrangement in months.
SPV.03.02 — Debt or other financing mechanism
CellItemInstructions
R0010/C0030Total — Amount of debt or other financing mechanism issued for arrangementValue of the total debt securities issuedSPV.03.02.C0030/R0010 = Sum (C0030/R0020) = SPV.02.01.C0010/R0120
R0020/C0010ArrangementWhere multi-arrangement special purpose vehicles are involved, information shall be provided for each separate arrangement (each separable risk assumed). This item identifies the risk arrangement code.If the supervisory authority attributes a code, that code shall be used. If not, special purpose vehicle shall attribute a code that shall be kept consistent over the reporting years and shall not be reused.The number of lines reported shall be the same as the number identified in SPV.01.02.C0010/R0080.
R0020/C0020Debt or other financing mechanism 1Description of the debt or other financing mechanism issued for arrangement, including the transaction reference.As many lines as needed shall be used per arrangement to report each debt security issued.
R0020/C0030Amount of the debt or other financing mechanism issued for arrangementValue of each debt issuance or each other financing mechanism.