Prudential Regulation Authority Rulebook

5A.1

A UK ISPV must submit to the PRA such information as is necessary for the purposes of the PRA’s supervision of the UK ISPV.

5A.2

A UK ISPV must report all of the following information to the PRA:

1. (1) the value of the assets of the UK ISPV valued in accordance with Valuation 2, distinguished by material class and a description of the basis, methods and assumptions used for their valuation;
2. (2) the aggregate maximum risk exposure of the UK ISPV and a description of the basis, methods and assumptions used for the determination of the aggregate maximum risk exposure;
3. (3) conflicts of interest between the UK ISPV, the undertakings and the providers of debt or finance; and
4. (4) significant transactions entered into by the UK ISPV during the last reporting period.

5A.3

A UK ISPV must submit the report referred to in 5A.2 at least annually.

5A.4

A UK ISPV must submit the report referred to in 5A.2 no later than 14 weeks after the UK ISPV's financial year end.

5A.5

A UK ISPV must immediately inform the PRA of any changes that could affect the compliance by the UK ISPV with 2.2 to 2.6, Chapter 2A, Chapter 2B, 2C.1 to 2C.6 and 2C.8 to 2C.10.

5A.6

As part of the reporting referred to in 5A.2 , a UK ISPV must submit annually to the PRA quantitative information using the templates set out in 6.3 and in accordance with the instructions in 6.4, and comprising:

1. (1) content of submission, as specified in template SPV.01.01, according to the instructions under the reference SPV.01.01;
2. (2) basic information on the UK ISPV, as specified in template SPV.01.02, according to the instructions under the reference SPV.01.02;
3. (3) balance sheet data of the UK ISPV, distinguishing the material classes of assets, liabilities and equity items, including debt or other financing mechanism issued, as specified in template SPV.02.01, according to the instructions under the reference SPV.02.01;
4. (4) off-balance sheet data of the UK ISPV, as specified in template SPV.02.02, according to the instructions under the reference SPV.02.02;
5. (5) risks assumed regarding each individual contractual arrangement relating to the transfer of risk from an undertaking, as specified in template SPV.03.01, according to the instructions under the reference SPV.03.01; and
6. (6) list of debt securities or other financing mechanism issued regarding each individual contractual arrangement relating to the transfer of risk from an undertaking, as specified in template SPV.03.02, according to the instructions under the reference SPV.03.02.

5A.7

As part of the reporting referred to in 5A.2, a UK ISPV must submit annually to the PRA qualitative information covering the following:

1. (1) an adequate description of the basis, methods and assumptions used for the valuation of the assets;
2. (2) an adequate description of the basis, methods and assumptions used for the determination of the aggregate maximum risk exposure;
3. (3) details of any conflicts of interest between the UK ISPV, the undertakings transferring risk to the UK ISPV and the providers of debt or finance;
4. (4) details of any significant transactions entered into by the UK ISPV during the last reporting period;
5. (5) information to demonstrate that the UK ISPV continues to be fully funded, including:
   1. (a) a description of the risks, including liquidity risks and quantifiable risks, assumed by the UK ISPV; and
   2. (b) information on the debt instruments issued or other financing mechanism entered into;
6. (6) if the UK ISPV has not continuously complied with the requirement to be fully funded during the reporting period, the UK ISPV shall report any relevant information on that non-compliance and its rectification in order to comply with 2.2 to 2.5 during the reporting period; and
7. (7) qualitative information on any changes that could affect the UK ISPV's compliance with the requirements set out in 2.2to 2.6, Chapter 2A, Chapter 2B, 2C.1 to 2C.6 and 2C.8 to 2C.10.

5A.8

When describing the risks assumed, as required by 5A.7, a UK ISPV must provide information on:

1. (1) whether the risks assumed are mainly risks under contracts of long-term insurance or risks under contracts of general insurance;
2. (2) what types of trigger events apply to those risks;
3. (3) whether a trigger event occurred in the reporting period, triggering a claim against the UK ISPV's assets;
4. (4) 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 UK ISPV's liquidity; and
5. (5) whether the UK ISPV's risk profile has changed materially since the previous reporting period or from the original terms and conditions as communicated to the PRA upon authorisation.

5A.9

When providing information on debt instruments issued or other financing mechanism entered into as required by 5A.7, a UK ISPV must report on the following:

1. (1) 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 undertaking;
2. (2) 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, external credit assessment institutions were used;
3. (3) the reasons why the financial arrangements are regarded as sufficiently robust to ensure continued protection of potential claims of the undertaking transferring risk to the UK ISPV, 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; and
4. (4) 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.

5A.10

A UK ISPV must submit the quantitative content of the report referred to in 5A.6, and the qualitative content of the report referred to in 5A.7, to the PRA in an electronic format.

5A.11

A UK ISPV must submit all monetary data from the report referred to in 5A.6 in the UK ISPV'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.

5A.12

A UK ISPV must submit numeric values as facts according to the following formats:

1. (1) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to units; and
2. (2) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.