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    S.31.02 — Special Purpose Vehicles Solo

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    S.31.02 — Special Purpose Vehicles

    General comments:

    This section relates to annual submission of information for individual entities.

    This template is relevant for each insurance or reinsurance undertaking transferring risk(s) to a Special Purpose Vehicle (SPV), to ensure sufficient disclosure has been made where SPVs are used as alternative risk transfer methods to traditional reinsurance treaties.

    The template applies to the use of:

    • a) SPVs defined under Article 13(26) and authorised under Article 211(1) of Directive 2009/138/EC;
    • b) SPVs meeting conditions of Article 211(3) of Directive 2009/138/EC;
    • c) SPVs regulated by third country supervisors where these meet equivalent measures to the conditions set out in Article 211(2) of Directive 2009/138/EC;
    • d) Other SPVs, not meeting the definitions above, where risks are transferred under arrangements with the economic substance of a reinsurance contract.

    The template covers risk mitigation techniques (recognised or not) carried out by the (re)insurance undertaking whereby a SPV assumes risks from the reporting undertaking through a reinsurance contract; or assume insurance risks from the reporting undertaking transferred through a similar arrangement that is ‘reinsurance like’.

    ITEMINSTRUCTIONS
    C0030
    C0040    		Internal code of
    SPV
    ID Code of
    SPV notes or
    other financing
    mechanism
    issued    		Internal code attributed to the SPV by the undertaking by
    this order of priority:
    – Legal Entity Identifier (LEI);
    – Specific code
    This code shall be unique to each SPV and remain constant
    over subsequent reports.
    For the notes or other financing mechanism issued by the
    SPV and hold by the insurance and reinsurance undertaking
    identify the ID code by this order of priority if existent:
    – ISO 6166 ISIN when available;
    – Other ‘recognised’ codes (e.g.: CUSIP, Bloomberg
    Ticker, Reuters RIC);
    – Code attributed by the undertaking, when the options
    above are not available, and must be consistent over time.
    C0050ID Code Type
    of SPV notes or
    other financing
    mechanism
    issued    		Type of ID Code used for the ‘Asset ID Code’ item. One of
    the options in the following closed list shall be used:
    1 — ISO 6166 for ISIN code
    2 — CUSIP (The Committee on Uniform Securities
    Identification Procedures number assigned by the CUSIP
    Service Bureau for U.S. and Canadian companies)
    3 — SEDOL (Stock Exchange Daily Official List for the
    London Stock Exchange)
    4 — WKN (Wertpapier Kenn-Nummer, the alphanumeric
    German identification number)
    5 — Bloomberg Ticker (Bloomberg letters code that
    identify a company’s securities)
    6 — BBGID (The Bloomberg Global ID)
    7 — Reuters RIC (Reuters instrument code)
    8 — FIGI (Financial Instrument Global Identifier)
    9 — Other code by members of the Association of National
    Numbering Agencies
    99 — Code attributed by the undertaking
    C0060Lines of
    Business SPV
    securitisation    		Identification of the line of business, as defined in Annex I
    to Delegated Regulation (EU) 2015/35, reported. The
    following closed list shall be used:
    relates1 — Medical expense insurance
    2 — Income protection insurance
    3 — Workers’ compensation insurance
    4 — Motor vehicle liability insurance
    5 — Other motor insurance
    6 — Marine, aviation and transport insurance
    7 — Fire and other damage to property insurance
    8 — General liability insurance
    9 — Credit and suretyship insurance
    10 — Legal expenses insurance
    11 — Assistance
    12 — Miscellaneous financial loss
    13 — Proportional medical expense reinsurance
    14 — Proportional income protection reinsurance
    15 — Proportional workers’ compensation reinsurance
    16 — Proportional motor vehicle liability reinsurance
    17 — Proportional other motor
    reinsurance
    18 — Proportional marine, aviation and transport
    reinsurance
    19 — Proportional fire and other damage to property
    reinsurance
    20 — Proportional general liability reinsurance
    21 — Proportional credit and suretyship reinsurance
    22 — Proportional legal expenses reinsurance
    23 — Proportional assistance reinsurance
    24 — Proportional miscellaneous financial loss reinsurance
    25 — Non-proportional health reinsurance
    26 — Non-proportional casualty reinsurance
    27 — Non-proportional marine, aviation and transport
    reinsurance
    28 — Non-proportional property reinsurance
    29 — Health insurance
    30 — Insurance with profit participation
    31 — Index-linked and unit-linked insurance
    32 — Other life insurance
    33 — Annuities stemming from non-life insurance
    contracts and relating to health insurance obligations
    34 — Annuities stemming from non-life insurance
    contracts and relating to insurance obligations other than
    health insurance obligations
    35 — Health reinsurance
    36 — Life reinsurance
    37 — Multiline
    Where the reinsurance treaty or a similar arrangement
    provides cover for more than one line of business and the
    terms of cover differ between lines of business then the
    treaty needs to be specified over multiple rows. The first
    row entry for the treaty needs to be entered as ‘Multiline’
    that provides details of the overall terms of the treaty, with
    the subsequent rows providing details of the individual
    terms of the reinsurance treaty to each relevant line of
    business. Where the term of the cover do not differ
    by line
    of business only the dominant Solvency II line of business
    is required.
    C0070Type of
    Trigger(s) in
    the SPV    		Identify the trigger mechanisms used by the SPV as trigger
    events that would oblige the SPV to make payment to the
    ceding (re)insurance undertaking. The following closed list
    shall be used:
    1 — Indemnity
    2 — Model Loss
    3 — Index or Parametric
    4 — Hybrids (including components from the above – mentioned techniques)
    5 — Other
    C0080Contractual
    Trigger Event    		Description of the specific trigger that would oblige the
    SPV to make payment to the ceding (re)insurance
    undertaking. This information should be complementary to
    the information on ‘Type of Trigger(s) in the SPV’ and
    should be descriptive enough to allow supervisors to
    identify the concrete trigger, e.g. specific weather/storm
    indices for cat risks or general mortality tables for longevity
    risks.
    C0090Same trigger as
    in underlying
    cedant’s
    portfolio    		Identify if the trigger defined in the underlying
    (re)insurance policy with the pay-out trigger defined in the
    treaty is the same as the one defined in the SPV. The
    following closed list shall be used:
    1 — Same trigger
    2 — Different trigger
    C0100Basis risk
    arising from
    risk-transfer
    structure    		Identify the causes of basis risk (i.e. that the exposure
    covered by the risk-mitigation technique does not
    correspond to the risk exposure of the insurance or
    reinsurance undertaking). The following close list shall be
    used:
    1 — No basis risk
    2 — Insufficient subordination for note
    holders,
    3 — Investors’ additional recourse against cedant,
    4 — Additional risks were securitised subsequent to
    authorisation,
    5 — Cedants hold exposure to notes issued,
    9 — Other
    C0110Basis risk
    arising from    		Identify the basis risk arising from contractual terms.
    contractual
    terms    		1 — No basis risk
    2 — Substantial part of risks insured not transferred
    3 — Insufficient trigger to match risk exposure of cedant
    C0120SPV assets
    ring-fenced to
    settle cedant – specific
    obligations    		The amount of SPV assets ring-fenced for the reporting
    cedant, which are available to settle the contractual
    liabilities reinsured by the SPV for that specific cedant only
    (collateral assets specifically recognised on balance sheet of
    the SPV in relation to the obligation assumed).
    C0130Other non
    cedant-specific
    SPV Assets for
    which recourse
    may exist    		The amount of SPV assets (recognised on balance sheet of
    the SPV), not directly related to the reporting cedant but for
    which recourse exists. This would include any ‘free assets’
    of the SPV, which may be available to settle the reporting
    cedant’s liabilities.
    C0140Other recourse
    arising from
    securitisation    		The amount of contingent assets of the SPV (held off
    balance sheet), not directly related to the reporting cedant
    but for which recourse exists. This includes recourse against
    other counterparties of the SPV, including guarantees,
    reinsurance contracts and derivative commitments to SPV
    made by the SPV sponsor, note holders, or other third
    parties.
    C0150Total maximum
    possible
    obligations
    from SPV
    under
    reinsurance
    policy    		Amount of total maximum possible obligations from
    reinsurance contract (cedant-specific).
    C0160SPV fully
    funded in
    relation to
    cedant
    obligations
    throughout the
    reporting
    period    		Identify if the protection offered by the risk-mitigation
    technique may only be partially recognised where
    counterparty to a reinsurance contract ceases to be able to
    provide effective and continuing risk-transfer. The
    following closed list shall be used:
    1 — SPV fully funded in relation to cedant obligations
    2 — SPV not fully funded in relation to cedant obligations
    C0170Current
    recoverables
    from SPV    		Amount of SPV Recoverables recognised on the Solvency
    II balance sheet of the reporting undertaking (prior to
    adjustments made for expected losses due to counterparty
    default). This shall be calculated in accordance with the
    requirements of Article 41of Delegated
    Regulation (EU)
    2015/35.
    C0180Identification
    of material
    investments
    held by cedant
    in SPV    		Identify whether material investments held by the cedant in
    the SPV exist, according to Article 210 of Delegated
    Regulation (EU) 2015/35.
    1 — Not applicable
    2 — Investments of SPV controlled by cedant and/or
    sponsor (where it differs from cedant);
    3 — Investments of SPV held by cedant (equity, notes or
    other subordinated debt of the SPV);
    4 — Cedant sells reinsurance or other risk mitigation
    protection to the SPV;
    5 — Cedant has provided guarantee or other credit
    enhancement to SPV or note holders;
    6 — Sufficient basis risk retained by cedant;
    9 — Other.
    If this is reported then cells C0030 and C0040 needs to
    identify the instrument.
    C0190
    Information
    on SPV    		Securitisation
    assets related to
    cedant held in
    trust with other
    third party than
    cedant/sponsor?    		Identify if there are securitisation assets related to cedant
    held in trust with other third party than cedant/sponsor,
    considering the provisions of Articles 214(2) and 326 of
    Delegated Regulation (EU) 2015/35. One of the options in
    the following closed list shall be used:
    1 — Held in trust with other third party than cedant/sponsor
    2 — Not held in trust with other third party than
    cedant/sponsor
    C0200Internal code of
    SPV    		Internal code attributed to the SPV by the undertaking by
    this order of priority:

    Legal Entity Identifier (LEI);

    Specific code
    This code shall be unique to each SPV and remain constant
    over subsequent reports.
    C0210Type of code
    SPV    		Identification of the code used in item ‘internal code of
    SPV’. One of the options in the following closed list shall
    be used:
    1 — LEI
    2 — Specific code
    C0220Legal nature of
    SPV    		Identify the legal nature of the SPV securitisation, according
    to Article 13(26) of Directive 2009/138/EC.
    Closed list
    1 — Trusts
    2 — Partnerships
    3 — Limited liability companies
    4 — Other legal entity form not referred above
    5 — Not incorporated
    C0230Name of SPVIdentify the name of the SPV
    C0240Incorporation
    no. of SPV    		Registration number received at incorporation of the SPV.
    For un-incorporated SPVs, the undertaking should report
    the regulatory number or equivalent number obtained from
    the supervisory authority at the time of authorisation.
    C0250SPV country of
    authorisation    		Identify the ISO 3166–1 alpha–2 code for the country where
    the SPV is established and has received authorisation, where
    applicable.
    C0260SPV
    authorisation
    conditions    		Identify authorisation conditions of the SPV according to
    Article 211 of the Directive 2009/138/EC or equivalent
    legal instrument. One of the options in the following closed
    list shall be used:
    1 — SPV authorised under Article 211(1) of Directive
    2009/138/EC
    2 — SPV authorised under Article 211(3) of Directive
    2009/138/EC (grandfathered)
    3 — SPV regulated by a third country supervisory authority
    where requirements equivalent to those set out in Article
    211(2) of Directive 2009/138/EC are met by the special
    purpose vehicle
    4 — SPV not covered above
    C0270External rating
    assessment by
    nominated
    ECAI    		Rating of the SPV (if any) that is considered by the
    undertaking and provided by an external rating agency.
    If the rating is not available the item shall be left blank and
    the SPV shall be identified as ‘9 — no rating available’ in
    column C0290 (Credit quality step).
    This item is not applicable to SPVs for which undertakings
    using internal model use internal ratings. If undertakings
    using internal model do not use internal rating, this item
    shall be reported.
    C0280Nominated
    ECAI    		Identify the credit assessment institution (ECAI) giving the
    external rating in C0270, by using the name of the ECAI as
    published on ESMA’s
    website. In case of ratings issued by
    subsidiaries of the ECAI please report the parent ECAI (the
    reference is to ESMA list of credit rating agencies registered
    or
    certified
    in
    accordance
    with
    Regulation
    (EC)
    No
    1060/2009 of the European Parliament and of
    the Council of
    16 September 2009 on credit rating agencies).
    C0290Credit quality
    step    		Identify the credit quality step attributed to the SPV. The
    credit quality step shall reflect any readjustments to the
    credit quality made internally by the undertaking.
    One of the options in the following closed list shall be used:
    0 — Credit quality step 0
    1 — Credit quality step 1
    2 — Credit quality step 2
    3 — Credit quality step 3
    4 — Credit quality step 4
    5 — Credit quality step 5
    6 — Credit quality step 6
    9 — No rating available
    C0300Internal ratingInternal rating of the SPV for undertakings using internal
    model to the extent that the internal ratings are used in their
    internal modelling. If an internal model undertaking is using
    solely external ratings this item shall not be reported.