Commission Implementing Regulation (EU) 2015/462Show full title

ANNEX I U.K.

The supporting documentation referred to in Article 5 of this Regulation shall include the following:

1.

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;

2.

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;

3.

information about the insurance or reinsurance undertaking transferring risk to the special purpose vehicle;

4.

identification and qualification of the persons who are, or will be, appointed to act as trustees, where applicable, of the special purpose vehicles' assets;

5.

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;

6.

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;

7.

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;

8.

the special purpose vehicle's memorandum and articles of association, or drafts thereof;

9.

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;

10.

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:

(a)

any relevant triggering events or mechanisms under the contract;

(b)

the maximum aggregate risk exposure of the contract;

11.

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:

(a)

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;

(b)

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;

(c)

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;

(d)

information on quantifiable risks of the special purpose vehicle including details of the special purpose vehicle's liquidity risk and liquidity strategy;

(e)

information on risk implications of the special purpose vehicle's proposed investment strategy;

(f)

information on the special purpose vehicle's adherence to the solvency requirements according to Article 327 of Delegated Regulation (EU) 2015/35;

(g)

details of the risk transfer, including assessment of material residual risks, including basis risk;

(h)

details on, if any, the use and details of hedging instruments, such as interest rate swaps or currency contracts;

(i)

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;

(j)

financial projections over the expected life of the special purpose vehicle;

(k)

an actuarial assessment of the insurance risks assumed;

(l)

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;

12.

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:

(a)

prospectus or offering circular or private placement memorandum, or drafts thereof;

(b)

rating assessment or credit rating agency's report prior to the issue of the funding instruments by the special purpose vehicle;

(c)

details relating to the potential use of financial guarantors on any of the ‘tranches’ of notes to be issued;

(d)

trustee agreement, where such an arrangement exists, or drafts thereof;

(e)

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;

(f)

information on risk implications of the special purpose vehicle's investment strategy;

(g)

contracts, or drafts thereof, and details of any hedging instrument, such as interest rate swaps or currency contracts;

(h)

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;

13.

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.

ANNEX II U.K. Special Purpose Vehicles reporting templates

SPV.01.01 — Content of the submission U.K.

Template Code	Template name		C0010
SPV.01.02	Basic Information	R0010
SPV.02.01	Balance sheet	R0020
SPV.02.02	Off-balance sheet	R0030
SPV.03.01	Risks assumed	R0040
SPV.03.02	Debt or other financing mechanism	R0050

SPV.01.02 — Basic information U.K.

		C0010
Name of reporting special purpose vehicle	R0010
Identification code	R0020
Type of code	R0030
Home-country of the special purpose vehicle	R0040
Reporting date	R0050
Reference date	R0060
Currency used for reporting	R0070
Risks assumed through separate arrangements	R0080
Compliance with fully funded requirement throughout the reporting period	R0090

SPV.02.01 — Balance sheet U.K.

		Value
Assets		C0010
Deposits and loans claims	R0010
Securitised loans	R0020
Debt securities	R0030
Other securitised assets	R0040
Equity and collective investment units	R0050
Financial derivatives	R0060
Non-financial assets (including fixed assets)	R0070
Total of other material classes of assets	R0080
Remaining assets	R0090
Total assets	R0100
Liabilities
Loans and deposits received	R0110
Debt securities issued	R0120
Financial derivatives	R0130
Total of other material classes of liabilities	R0140
Remaining liabilities	R0150
Total Liabilities	R0160
Equity
Total Equity	R0170

Description of items		Value
C0020		C0010
Other material classes of assets 1	R0180
…

Description of items		Value
C0020		C0010
Other material classes of liabilities 1	R0190
…

Description of items		Value
C0020		C0010
Equity item 1	R0200
…

SPV.02.02 — Off-Balance sheet U.K.

		Accounting value
Off-balance sheet items		C0010
Guarantees received by the special purpose vehicle directly	R0010
Collateral held	R0020
Total of other off-balance sheet item	R0030
Off-balance sheet obligations
Collateral pledged	R0040
Total of other off-balance sheet obligation	R0050

Description of items		Accounting value
C0020		C0010
Off-balance sheet item 1	R0060
…

Description of items		Accounting value
C0020		C0010
Off-balance sheet obligation 1	R0070
…

SPV.03.01 — Risks assumed U.K.

		Arrangement	Date of issuance	Issues/uses commenced prior to implementation of Directive 2009/138/EC	Name of cedent	Cedent code	Type of code	Aggregate maximum risk exposure per arrangement	Assets held for separable risk	Compliance with the fully funded requirement for the arrangement throughout the reporting period	Duration
		C0010	C0020	C0030	C0040	C0050	C0060	C0070	C0080	C0090	C0100
Total	R0010
Risk 1	R0020
…	…

SPV.03.02 — Debt or other financing mechanism U.K.

		Arrangement	Description of the debt or other financing mechanism issued for arrangement	Amount of the debt or other financing mechanism issued for arrangement
		C0010	C0020	C0030
Total	R0010
Debt or other financing mechanism 1	R0020
…

ANNEX III U.K.

This Annex contains additional instructions in relation to the templates included in Annex II to this Regulation. The first column of the tables identifies the items to be reported by identifying the cells as presented in the template in Annex II.

Where the special purpose vehicle is requested to complement the quantitative reporting with a particular justification, the explanation is not to be submitted within the reporting template, but shall be included within the narrative part of the submission of information by the special purpose vehicle to the supervisory authority.

SPV.01.01 — Content of the submission U.K.

Cell	Item	Instructions
R0010/C0010	Basic Information	Reported.
R0020/C0010	Balance Sheet	One of the options in the following closed list shall be used: 1 — Reported; 9 — Not reported (in this case justification is required).
R0030/C0010	Off-balance sheet	One of the options in the following closed list shall be used: 1 — Reported; 2 — Not reported o/a no off-balance sheet items; 9 — Not reported other reason (in this case justification is required).
R0040/C0010	Risks assumed	One of the options in the following closed list shall be used: 1 — Reported; 9 — Not reported (in this case justification is required).
R0050/C0010	Debt or other financing mechanism	One of the options in the following closed list shall be used: 1 — Reported; 9 — Not reported (in this case justification is required).

SPV.01.02 — Basic information U.K.

Cell	Item	Instructions
R0010/C0010	Name of reporting special purpose vehicle	Name of special purpose vehicle submitting the report to the supervisory authority.
R0020/C0010	Identification code	Identification of the special purpose vehicle using the following priority: Legal Entity Identifier (LEI); Identification code used in the local market, attributed by national supervisory authority.
R0030/C0010	Type of code	Identification of the code used in item ‘Identification code’. One of the options in the following closed list shall be used: 1 — LEI 2 — Local code
R0040/C0010	Home-country of the special purpose vehicle	ISO 3166-1 alpha-2 code of the country where the special purpose vehicle has been authorised.
R0050/C0010	Reporting date	ISO 8601 (yyyy-mm-dd) code of the date when the report to the supervisory authority is made.
R0060/C0010	Reference date	ISO 8601 (yyyy-mm-dd) code of the date identifying the last day of the reporting period.
R0070/C0010	Currency used for reporting	ISO 4217 alphabetic code of the currency of the monetary amounts used in each report.
R0080/C0010	Risks assumed through separate arrangements	Identify the number of separate risk arrangements that a SPV may have received authorisation to assume under terms and conditions as set by its supervisory authority.
R0090/C0010	Compliance with fully funded requirement throughout the period	To state whether fully-funded requirement was maintained between two reporting periods. The following closed list shall be used: 1 — Compliance with fully-funded 2 — Non-compliance with fully-funded

SPV.02.01 — Balance sheet U.K.

Cell	Item	Instructions
R0010/C0010	Deposits and loans claims	Value of the deposits and loan claims according to Article 75 of Directive 2009/138/EC. This item shall include: All deposits Loans granted by the SPV Cash
R0020/C0010	Securitised loans	Value of the securitised loans acquired by the special purpose vehicle according to Article 75 of Directive 2009/138/EC.
R0030/C0010	Debt securities	Value of holdings of debt securities according to Article 75 of Directive 2009/138/EC. It includes subordinated debt in the form of debt securities.
R0040/C0010	Other securitised assets	Value of other securitised assets not included in items ‘Securitised loans’ (C0010/R0020) or ‘Debt securities’ (C0010/R0030) according to Article 75 of Directive 2009/138/EC.
R0050/C0010	Equity and collective investment units	Value of equity and collective investment units held according to Article 75 of Directive 2009/138/EC.
R0060/C0010	Financial derivatives	Value of financial derivatives with positive value according to Article 75 of Directive 2009/138/EC.
R0070/C0010	Non-financial assets (including fixed assets)	Value of tangible and intangible assets, other than financial assets according to Article 75 of Directive 2009/138/EC.
R0080/C0010	Total of other material classes of assets	Total amount of other material classes of assets
R0090/C0010	Remaining assets	Value of all the others assets, not covered by the previous items according to Article 75 of Directive 2009/138/EC.
R0100/C0010	Total assets	Total value of the assets of the special purpose vehicle.
R0110/C0010	Loans and deposits received	Value owed to creditors by the special purpose vehicle, other than those arising from the issue of negotiable securities.
R0120/C0010	Debt securities issued	Value of the securities issued by the special purpose vehicle, other than equity according to Article 75 of Directive 2009/138/EC.
R0130/C0010	Financial derivatives	Value of financial derivatives with negative value according to Article 75 of Directive 2009/138/EC.
R0140/C0010	Total of other material classes of liabilities	Total amount of other material classes of liabilities
R0150/C0010	Remaining liabilities	Value of all the others liabilities, not covered by the previous items according to Article 75 of Directive 2009/138/EC.
R0160/C0010	Total Liabilities	Total of the liabilities of the special purpose vehicle.
R0170/C0010	Total Equity	Total of the equity of the special purpose vehicle.
R0180/C0020	Other material classes of assets 1	Description of the material class of assets. Identify as many other material classes as needed to give a clear view of the nature of the material assets of the special purpose vehicle.
R0180/C0010	Other material classes of assets 1 — Value	Value of each material class of assets.
R0190/C0020	Other material classes of liabilities 1	Description of the material class of liabilities. Identify as many other material classes as needed to give a clear view of the nature of the material liabilities of the special purpose vehicle.
R0190/C0010	Other material classes of liabilities 1 — Value	Value of each material class of liabilities.
R0200/C0020	Equity (Material items)	Description of the material equity items. To be decided by each special purpose vehicle considering the nature of material items held by the reporting special purpose vehicle and to be kept consistent over reporting periods.
R0200/C0010	Equity item 1	Value of each equity item reported according to Article 75 of Directive 2009/138/EC.

SPV.02.02 — Off-Balance sheet U.K.

Cell	Item	Instructions
R0010/C0010	Guarantees received by the special purpose vehicle directly	Accounting value of the guarantees received by the special purpose vehicle directly.
R0020/C0010	Collateral held	Accounting value of the collaterals held.
R0030/C0010	Total of other off-balance sheet items	Accounting value of each other off-balance sheet items reported.
R0040/C0010	Collateral pledged	Accounting value of Collaterals pledged.
R0050/C0010	Total of other off-balance sheet obligations	Accounting value of each other off-balance sheet obligations reported.
R0060/C0020	Off-balance sheet item 1	Description of each other off-balance sheet item. The special purpose vehicle shall report as many different items as needed.
R0060/C0010	Off-balance sheet item 1 — Accounting Value	Accounting value of each other off-balance sheet items reported.
R0070/C0020	Off-balance sheet obligation 1	Description of each other off-balance sheet obligation. The special purpose vehicle shall report as many different items as needed.
R0070/C0010	Off-balance sheet obligation 1 — Accounting value	Accounting value of each other off-balance sheet obligations reported.

SPV.03.01 — Risks assumed U.K.

Cell	Item	Instructions
R0010/C0070	Total — Aggregate maximum risk exposure per arrangement	Total of the special purpose vehicle's aggregate maximum risk exposure C0070/R0010 = Sum (C0070/R0020)
R0010/C0080	Total — Assets held for separable risk	Value of the total assets held SPV.03.01 C0080/R0010 = Sum (C0080/R0020) = SPV.02.01.C0010/R0100
R0020/C0010	Arrangement	Where multi-arrangement special purpose vehicles are involved, information shall be provided for each separate arrangement (each separable risk assumed). This item identifies the risk arrangement code. If the supervisory authority attributes a code, that code shall be used. If not, the special purpose vehicle shall attribute a code that shall be kept consistent over the reporting years and shall not be reused. The number of lines reported shall be the same as the number identified in SPV.01.02.C0010/R0080
R0020/C0020	Date of issuance	ISO 8601 (yyyy-mm-dd) code of the issuance date for each separable risk arrangement.
R0020/C0030	Issues/uses commenced prior to implementation of Directive 2009/138/EC	Identification if arrangement entered before 31 December 2015. The following closed list shall be used: 1 — Prior to 31 December 2015 2 — After 31 December 2015
R0020/C0040	Name of cedant	Name of the insurance or reinsurance undertaking transferring risks to the special purpose vehicle.
R0020/C0050	Cedant code	Identification code of the cedant using the following priority, if existent: Legal Entity Identifier (LEI); Specific code. Specific code: For EEA (re) insurance undertakings: identification code used in the local market, attributed by the undertaking's supervisory authority; For non-EEA undertakings and non-regulated undertakings, identification code provided by the special purpose vehicle. When allocating an identification code to each non-EEA or non-regulated undertaking, it shall comply with the following format in a consistent manner: identification code of the undertaking + ISO 3166-1 alpha-2 code of the country of the undertaking + 5 digits
R0020/C0060	Type of code	Identification of the code used in the item ‘Cedant code’ (C0050). One of the options in the following closed list shall be used: 1 — LEI 2 — Specific code
R0020/C0070	Aggregate maximum risk exposure per arrangement	Value per arrangement of the aggregate maximum risk exposure.
R0020/C0080	Assets held for separable risk	Value of the total assets held per arrangement.
R0020/C0090	Compliance with the fully funded requirement for the arrangement throughout the reporting period	To state whether fully-funded requirement was maintained between two reporting periods. The following closed list shall be used: 1 — Compliance with fully-funded 2 — Non-compliance with fully-funded
R0020/C0100	Duration	Value of the remaining duration of the arrangement in months.

SPV.03.02 — Debt or other financing mechanism U.K.

Cell	Item	Instructions
R0010/C0030	Total — Amount of debt or other financing mechanism issued for arrangement	Value of the total debt securities issued SPV.03.02.C0030/R0010 = Sum (C0030/R0020) = SPV.02.01.C0010/R0120
R0020/C0010	Arrangement	Where multi-arrangement special purpose vehicles are involved, information shall be provided for each separate arrangement (each separable risk assumed). This item identifies the risk arrangement code. If the supervisory authority attributes a code, that code shall be used. If not, special purpose vehicle shall attribute a code that shall be kept consistent over the reporting years and shall not be reused. The number of lines reported shall be the same as the number identified in SPV.01.02.C0010/R0080.
R0020/C0020	Debt or other financing mechanism 1	Description of the debt or other financing mechanism issued for arrangement, including the transaction reference. As many lines as needed shall be used per arrangement to report each debt security issued.
R0020/C0030	Amount of the debt or other financing mechanism issued for arrangement	Value of each debt issuance or each other financing mechanism.