Reporting Templates

It has to be noted that template S.09.01 contains information on gains/income and losses by asset category. i.e., no item– by–item reporting is required.The asset categories referred to in this template are the ones defined in Annex IV – Assets Categories of the Commission Implementing Regulation 2023/894 and references to CIC codes refer to Annex VI – CIC table of this Regulation.Therefore, for contracts (repurchase agreements (buyer and seller) that are still open at the reference date the Solvency II Value shall be reported under C0110 - Unrealized gains and losses.According to Article 187(3) point (a) of Delegated Regulation (EU) 2015/35 the risk factor for exposures to the ECB are 0%, e.g. the Solvency II value of a repo will therefore not change because of the counterparty risk.The value of the repo shall be determined in accordance with Article 75 of Directive 2009/138/EC rules for valuation of contracts