a clear and profound presentation and analysis in an organisational chart identifying all the relevant parties involved in the transaction, including the insurance or reinsurance undertakings involved, which are supervised by supervisory authorities other than the supervisory authority responsible for granting the special purpose vehicle's authorisation;
information about the identity and qualification of the originator or sponsor of the special purpose vehicle, where this party differs from the insurance or reinsurance undertaking transferring risk to the special purpose vehicle;
information about the insurance or reinsurance undertaking transferring risk to the special purpose vehicle;
identification and qualification of the persons who are, or will be, appointed to act as trustees, where applicable, of the special purpose vehicles' assets;
information about the identity and qualification of the persons who are, or will be, employees of the special purpose vehicle, including details of persons who effectively run the special purpose vehicle;
information about the identity and qualification of persons who have, or will be expected to have, qualifying holdings, directly or indirectly in the special purpose vehicle together with the amounts of those holdings;
information about the identity and qualification of the persons who are providing or will provide management and professional services, such as accounting to the special purpose vehicle;
the special purpose vehicle's memorandum and articles of association, or drafts thereof;
details of the insurance or reinsurance undertakings' original insurance policies clearly detailing which risks were initially assumed by the insurance or reinsurance undertaking and which will be transferred to the special purpose vehicle, including an assessment and a description of how the transfer of ceded risks and the retention of any residual risks will comply with the requirements of Article 320 of Delegated Regulation (EU) 2015/35;
details of the draft contractual arrangement relating to the transfer of risk between the special purpose vehicle and the insurance or reinsurance undertaking including a description of how the contract will meet the requirements of Articles 210, 211, 319 and 320 of Delegated Regulation (EU) 2015/35. The description shall include:
any relevant triggering events or mechanisms under the contract;
the maximum aggregate risk exposure of the contract;
an assessment outlining how the legal and governance structures of the special purpose vehicle are deemed to comply with the requirements of Articles 210, 319, 320, 324, 326 and 327 of Delegated Regulation (EU) 2015/35. The review should also give an opinion on whether the legal structure chosen for the special purpose vehicle affords a legally enforceable protection of the assets of the special purpose vehicle, thereby ensuring that the solvency of the special purpose vehicle shall not be adversely affected in line with the requirements of Articles 318(b) and Article 321 of Delegated Regulation (EU) 2015/35. The assessment should include the following:
an explanation of how the special purpose vehicle is, or will be, fully funded, including relevant tests, such as stress and scenario tests, to determine if the fully funded requirement has been complied with and how the status will be maintained;
information on the special purpose vehicle's equity including size, growth, potential investor concentration, and on the special purpose vehicle's management share of that equity;
details of the counterparties to the contractual arrangements relating to the transfer of risk from an insurance or reinsurance undertaking to the special purpose vehicle, including details of all the roles of the special purpose vehicle and the insurance or reinsurance undertaking, as well as the roles and identities of other participants, including, but not limited to, note holders, account managers and account servicing managers, custodians and trusts, asset managers, underwriters and sponsors to the transaction. This shall also include an assessment of the applicable accounting consolidation requirements of the special purpose vehicle into a group;
information on quantifiable risks of the special purpose vehicle including details of the special purpose vehicle's liquidity risk and liquidity strategy;
information on risk implications of the special purpose vehicle's proposed investment strategy;
information on the special purpose vehicle's adherence to the solvency requirements according to Article 327 of Delegated Regulation (EU) 2015/35;
details of the risk transfer, including assessment of material residual risks, including basis risk;
details on, if any, the use and details of hedging instruments, such as interest rate swaps or currency contracts;
details of any off-balance sheet commitments to support the special purpose vehicle, including guarantees or any other form of credit risk mitigation sold to or otherwise provided to the special purpose vehicle;
financial projections over the expected life of the special purpose vehicle;
an actuarial assessment of the insurance risks assumed;
a draft plan outlining the special purpose vehicle's supervisory reporting procedures, designed to comply with the requirements of Articles 325 to 327 of Delegated Regulation (EU) 2015/35, including specific reportable matters identified under Article 325(2) and Article 326(1) and (2) of Delegated Regulation (EU) 2015/35 and with regards to how material changes would be communicated to the supervisory authority;
transaction documentation, or drafts thereof, regarding the issue of debt or financial mechanisms, and risk transfer to providers of such debt or financing mechanisms, to explain how compliance with Articles 210, 211, 320 and 321 of Delegated Regulation (EU) 2015/35 will be maintained. This documentation should include:
prospectus or offering circular or private placement memorandum, or drafts thereof;
rating assessment or credit rating agency's report prior to the issue of the funding instruments by the special purpose vehicle;
details relating to the potential use of financial guarantors on any of the ‘tranches’ of notes to be issued;
trustee agreement, where such an arrangement exists, or drafts thereof;
with regard to the debt or financing mechanisms, details of the special purpose vehicle's liquidity strategy for the issued financial instruments, including the structure and tiering, types of positions, and note holder withdrawal rules;
information on risk implications of the special purpose vehicle's investment strategy;
contracts, or drafts thereof, and details of any hedging instrument, such as interest rate swaps or currency contracts;
transaction documentation, or draft thereof, governing parts of the contractual arrangements relating to the transfer of risk from an insurance or reinsurance undertaking to the special purpose vehicle, which may be understood as connected transaction according to Articles 210(3) and 320(2) of Delegated Regulation (EU) 2015/35. Where applicable, this may include contracts with other participants to the transaction, as well as outsourcing and service contracts;
where a special purpose vehicle, which was authorised prior to 31 December 2015, commences any new activities after 31 December 2015, the special purpose vehicle shall report any relevant information on how the existing activity of the special purpose vehicle may impact on its aggregate risk exposure profile in relation to any new activity.