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Commission Implementing Regulation (EU) 2015/2450 of 2 December 2015 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance)
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Commission Implementing Regulation (EU) 2015/2450,
S.31.02 — Special Purpose Vehicles
is up to date with all changes known to be in force on or before 17 August 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2015 No. 2450 may be subject to amendment by EU Exit Instruments made by the Prudential Regulation Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 2. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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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:
SPVs defined under Article 13(26) and authorised under Article 211(1) of Directive 2009/138/EC;
SPVs meeting conditions of Article 211(3) of Directive 2009/138/EC;
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;
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’.
ITEM | INSTRUCTIONS | |
---|---|---|
C0030 | Internal code of SPV | [F1Internal code attributed to the SPV by the undertaking by this order of priority:
This code shall be unique to each SPV and remain constant over subsequent reports.] |
C0040 | ID Code of SPV notes or other financing mechanism issued | 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:
|
C0050 | ID 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:
|
C0060 | Lines of Business SPV securitisation relates | 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:
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. |
C0070 | Type 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:
|
C0080 | Contractual 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. |
C0090 | Same 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:
|
C0100 | Basis 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:
|
C0110 | Basis risk arising from contractual terms | Identify the basis risk arising from contractual terms.
|
C0120 | SPV 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). |
C0130 | Other 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. |
C0140 | Other 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. |
C0150 | Total maximum possible obligations from SPV under reinsurance policy | Amount of total maximum possible obligations from reinsurance contract (cedant–specific). |
C0160 | SPV 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:
|
C0170 | Current 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. |
C0180 | Identification 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.
If this is reported then cells C0030 and C0040 needs to identify the instrument. |
C0190 | 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:
|
Information on SPV | ||
C0200 | Internal code of SPV | [F1Internal code attributed to the SPV by the undertaking by this order of priority:
This code shall be unique to each SPV and remain constant over subsequent reports.] |
C0210 | Type 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:
|
C0220 | Legal nature of SPV | Identify the legal nature of the SPV securitisation, according to Article 13(26) of Directive 2009/138/EC. Closed list
|
C0230 | Name of SPV | Identify the name of the SPV |
C0240 | Incorporation 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. If the SPV is not incorporated this cell doesn't apply. |
C0250 | SPV 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. |
C0260 | SPV 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:
|
C0270 | External rating assessment by nominated ECAI | [F2Rating 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.] |
C0280 | Nominated ECAI | [F2Identify the credit assessment institution (ECAI) giving the external rating in C0270, by using the following closed list. 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). In case a new Credit Rating Agency is registered or certified by ESMA and while the closed list is not up-dated please report ‘Other nominated ECAI’.] — [F3Euler Hermes Rating GmbH (LEI code: 391200QXGLWHK9VK6V27) — Japan Credit Rating Agency Ltd (LEI code: 35380002378CEGMRVW86) — BCRA-Credit Rating Agency AD (LEI code: 747800Z0IC3P66HTQ142) — Creditreform Rating AG (LEI code: 391200PHL11KDUTTST66) — Scope Ratings GmbH (LEI code: 391200WU1EZUQFHDWE91) — ICAP Group SA (LEI code: 2138008U6LKT8VG2UK85) — GBB-Rating Gesellschaft für Bonitätsbeurteilung GmbH (LEI code: 391200OLWXCTKPADVV72) — ASSEKURATA Assekuranz Rating-Agentur GmbH (LEI code: 529900977LETWLJF3295) — ARC Ratings, S.A. (LEI code: 213800OZNJQMV6UA7D79) — AM Best Europe
— DBRS Ratings Limited (LEI code: 5493008CGCDQLGT3EH93) — Fitch
— Moody’s
— Standard & Poor’s — S&P Global Ratings Europe Limited (LEI code:5493008B2TU3S6QE1E12) — CRIF Ratings S.r.l. (LEI code: 8156001AB6A1D740F237) — Capital Intelligence Ratings Ltd (LEI code: 549300RE88OJP9J24Z18) — European Rating Agency, a.s. (LEI code: 097900BFME0000038276) — Axesor Risk Management SL (LEI code: 959800EC2RH76JYS3844) — Cerved Rating Agency S.p.A. (LEI code: 8156004AB6C992A99368) — Kroll Bond Rating Agency (LEI code: 549300QYZ5CZYXTNZ676) — The Economist Intelligence Unit Ltd (LEI code: 213800Q7GRZWF95EWN10) — Dagong Europe Credit Rating Srl (Dagong Europe) (LEI code: 815600BF4FF53B7C6311) — Spread Research (LEI code: 969500HB6BVM2UJDOC52) — EuroRating Sp. z o.o. (LEI code: 25940027QWS5GMO74O03) — HR Ratings de México, S.A. de C.V. (HR Ratings) (LEI code: 549300IFL3XJKTRHZ480) — Egan-Jones Ratings Co. (EJR) (LEI code: 54930016113PD33V1H31) — modeFinance S.r.l. (LEI code: 815600B85A94A0122614) — INC Rating Sp. z o.o. (LEI code: 259400SUBF5EPOGK0983) — Rating-Agentur Expert RA GmbH (LEI code: 213800P3OOBSGWN2UE81) — Kroll Bond Rating Agency Europe Limited (LEI code: 5493001NGHOLC41ZSK05) — Nordic Credit Rating AS (LEI code: 549300MLUDYVRQOOXS22) — DBRS Rating GmbH (LEI code: 54930033N1HPUEY7I370) — Beyond Ratings SAS (LEI code: 9695006ORIPPZ3QSM810) — Other nominated ECAI] |
C0290 | Credit 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. [F4One of the options in the following closed list shall be used:
|
C0300 | Internal rating | Internal 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. |
Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2016/1868 of 20 October 2016 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
F2 Substituted by Commission Implementing Regulation (EU) 2017/2189 of 24 November 2017 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
F3 Substituted by Commission Implementing Regulation (EU) 2019/2103 of 27 November 2019 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities in accordance with Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
F4 Inserted by Commission Implementing Regulation (EU) 2016/1868 of 20 October 2016 amending and correcting Implementing Regulation (EU) 2015/2450 laying down implementing technical standards with regard to the templates for the submission of information to the supervisory authorities according to Directive 2009/138/EC of the European Parliament and of the Council (Text with EEA relevance).
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