SPV.03.01 - Risks assumed Date of issuance Issues/uses commenced prior to implementation of Solvency II Directive Name of cedant code Type of code Aggregate maximum risk exposure per Assets held for separable risk Compliance with the fully funded requirement for the arrangement throughout the reporting period C0010 C0020 C0030 C0040 C0050 C0060 C0070 C0080 C0090 C0100 R0010 Risk 1 R0020 ... ...
R0080/C0010 Risks assumed through separate arrangements Identify 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. Compliance with fully funded requirement throughout the period To state whether fully-funded requirement was maintained between two reporting periods. The following closed list shall be used: 1 - Compliance with fully-funded 2 – Non-compliance with fully-funded SPV.02.01 – Balance sheet Cell Item Instructions Deposits and loans claims Value of the deposits and loan claims according to Article 75 of Directive 2009/138/EC. This item shall include: All deposits Loans granted by the SPV Cash R0020/C0010 Securitised Value of the securitised loans acquired by the special purpose vehicle according to Article 75 of Directive 2009/138/EC. R0030/C0010 Debt securities Value 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/C0010 Other securitised assets Value of other securitised assets not included in items Securitised loans (A2) or Debt securities (A3) according to Article 75 of Directive 2009/138/EC. R0050/C0010 Equity and collective investment units Value of equity and collective investment units held according to Article 75 of Directive 2009/138/EC. R0060/C0010 Financial derivatives Value of financial derivatives with positive value according to Article 75 of Directive 2009/138/EC. R0070/C0010 Non-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/C0010 (Other material classes 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. R0090/C0010 Remaining assets Value of all the others assets, not covered by the previous items according to Article 75 of Directive 2009/138/EC. R0100/C0010 Total assets Total value of the assets of the special purpose vehicle. R0110/C0010 Loans and deposits received Value owed to creditors by the special purpose vehicle, other than those arising from the issue of negotiable securities. R0120/C0010 Debt securities issued Value of the securities issued by the special purpose vehicle, other than equity according to Article 75 of Directive 2009/138/EC. R0130/C0010 Financial derivatives of financial derivatives with negative value according to Article 75 of Directive 2009/138/EC. R0140/C0010 (Other material classes 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. R0150/C0010 Remaining liabilities Value of all the others liabilities, not covered by the previous items according to Article 75 of Directive 2009/138/EC. R0160/C0010 Total Liabilities Total of the liabilities of the special purpose vehicle. R0170/C0010 Equity (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. R0180/C0010 Equity Total of the equity of the special purpose vehicle. R0190/C0010 Equity item 1 Value of each equity item reported according to Article 75 of Directive 2009/138/EC. SPV.02.02 –Off- Balance sheet Cell Item Instructions R0010/C0010 Guarantees received by the special purpose vehicle directly Accounting value of the guarantees received by the special purpose vehicle directly.