Clarification on the scope of the Special Purpose Vehicle QRT (S.31.02). Specifically, we need a view on whether the SPVs which are used by our Life business relating to their Equity Release book of business are in scope for the template.

Cell C0060 requires disclosure of the “Lines of Business SPV securitisation relates”. The list of options that you can select from seems to indicate that the QRT only requires Groups to include disclosure where insurance risks have been securitised to SPVs. However the log file states that the definition of an SPV is as per Article 13 (26) of Directive 2009/138/EC (copied below for reference) which appears to have a wider scope, referring to any risk (ie not just insurance risk) ceded to a SPV.

Article 13 (26)
‘special purpose vehicle’ means any undertaking, whether incorporated or not, other than an existing insurance or reinsurance undertaking, which assumes risks from insurance or reinsurance undertakings and which fully funds its exposure to such risks through the proceeds of a debt issuance or any other financing mechanism where the repayment rights of the providers of such debt or financing mechanism are subordinated to the reinsurance obligations of such an undertaking