Solvency II - Lloyd's

Geographical zone of issue: This should show a breakdown of asset category by issuer geographical zone.
This is to identify the geographical zone of the security category, using the following closed list of
geographical zones:
� EEA
� OECD (non-EEA)
� RoW (rest of the world)
Currency – local or foreign: This identifies whether the currency of the asset category is local or foreign
currency. The local currency is the currency in which the syndicate prepares its financial statements i.e. GBP.
All other currencies are referred to as foreign currencies.
Total amount: This is the total invested amount in the asset category. This corresponds to the amount
invested by asset category through investment funds. For liabilities it should be negative.
Level of look-through: This indicates the level of look-through performed and selection should be as
follows:
� Standard(S) – look-through is performed by main asset categories, main geographical zones and
currency (local or foreign)
� Mandate (M) – where investment funds are not sufficiently transparent, investment mandates should be
used
� Other (O) – If the above is not achievable, the funds should be split as “global equity” (if the fund invests
only in EEA or OECD) or “other”.
3.8 QAD237:Securities lending and repos
Purpose of form: This form reports information on the syndicate’s exposures to repurchase agreements
(repos) and securities lending operations.
This form is required for all years combined and will be required on an annual basis.
There should one line by security lending or repo contract with a distinction, for each contract, by asset
category (and not by asset being concerned). This should include all contracts in the reporting period and not
only the ones still open at the reporting date. However, contracts which are part of a roll-over strategy, where
they substantially are the same transaction, only open positions should be included in the form.
Type of repo/securities lending: This identifies whether a contract is a repurchase agreement or securities
lending. A repo (repurchase agreement) is defined as the sale of securities together with an agreement for
the seller to buy back the securities at a later date while securities lending is defined as the lending of
securities by one party to another, which requires that the borrower provides the lender with collateral.
Collateral type: This should be reported by asset category as defined in the CIC table i.e. 1, 2, 3, A, B…etc.
Near leg amount: This is the amount received or ceded at the contract inception.
Far leg amount: This is the amount received or ceded at the contract maturity.
Weight in total exposures: This is the percentage value of the far leg contract in the total exposures to
repos or securities lending.
Maturity date: This is the contract closing date. Even if the contract is on an open call basis, there is
normally a date when the contract expires. In these cases this date must be reported, if no call occurs before.
An agreement is considered closed when it has matured, a call occurs or the agreement is cancelled.
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