EN Official Journal of the European Union L 76/23

COMMISSION IMPLEMENTING REGULATION (EU) 2015/462

of 19 March 2015

laying down implementing technical standards with regard to the procedures for supervisory approval to establish special purpose vehicles, for the cooperation and exchange of information between supervisory authorities regarding special purpose vehicles as well as to set out formats and templates for information to be reported by special purpose vehicles in accordance with Directive 2009/138/EC of the European Parliament and of the Council

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Directive 2009/138/EC of 25 November 2009 of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (1), and in particular Article 211(2)(a) and (b) thereof,

Whereas:

(1) Special purpose vehicles require supervisory approval to be established prior to assuming risks from insurance or reinsurance undertakings. The conditions and procedures to be followed for granting and withdrawing this approval, including documentation requirements, are regulated by Directive 2009/138/EC and should be complemented by this Regulation.

(2) Where a special purpose vehicle assumes risks from more than one insurance or reinsurance undertaking, the special purpose vehicle should maintain assets equal to or exceeding its aggregate maximum risk exposure taking into account each individual contractual obligation. When granting supervisory approval, the supervisory authority should assess whether this obligation is being met and consider each individual contractual arrangement and risk transfer.

(3) It is important to set procedures for the cooperation and exchange of information between supervisory authorities, where the special purpose vehicle is established in a Member State which is not the Member State where the insurance or reinsurance undertaking, from which it assumes risk, is established. The cooperation and exchange of information between those supervisory authorities is particularly important during the process of the supervisory approval of the special purpose vehicle. Also, if there are material changes that potentially affect the special purpose vehicle's compliance with the requirements of Article 211 of Directive 2009/138/EC and when the authorisation is withdrawn or lapses, the cooperation and exchange of information between those supervisory authorities is necessary to ensure effective and efficient supervision.

(4) The supervisory reporting requirements, which are set out in Article 325 of Commission Delegated Regulation (EU) 2015/35 (2), should enable the supervisory authorities of the special purpose vehicles to assess continued compliance with the relevant requirements. Those requirements should be complemented by the templates and formats set out in this Regulation.

(5) For a clearer understanding of the appropriate technical rules to be laid down, it is necessary to define the term multi-arrangement special purpose vehicle.

(6) This Regulation is based on the draft implementing technical standards submitted by the European Insurance and Occupational Pensions Authority (EIOPA) to the Commission.

(7) EIOPA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Insurance and Reinsurance Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1094/2010 of the European Parliament and of the Council (3).

(8) In order to enhance legal certainty about the supervisory regime during the phasing-in period provided for in Article 308a of Directive 2009/138/EC, which will start on 1 April 2015, it is important to ensure that this Regulation enters into force as soon as possible, on the day after that of its publication in the Official Journal of the European Union,

HAS ADOPTED THIS REGULATION:

Article 1

Subject matter

This Regulation sets out:

(a) the procedures to be followed for granting and withdrawing supervisory approval to establish special purpose vehicles;

(b) the procedures to be followed for cooperation and exchange of information between the supervisory authority of the Member State in which the special purpose vehicle is established and the supervisory authority of the Member State in which the insurance or reinsurance undertaking transferring risk is established;

(c) the formats and templates to be used for the annual reporting of information by the special purpose vehicle.

Article 2

Definition

For the purposes of this Regulation, ‘multi-arrangement special purpose vehicle’ means a special purpose vehicle which assumes risks under more than one separate contractual arrangement from one or more insurance or reinsurance undertakings.

Article 3

Supervisory approval to establish special purpose vehicles

The special purpose vehicle shall seek authorisation from the supervisory authority of the Member State to establish its head office within the territory of that Member State.

Article 4

Decision of the supervisory authority

1. The supervisory authority of the Member State in which the special purpose vehicle is established or is to be established shall decide on an application for authorisation within six months of the date of its receipt.

2. In its decision to grant supervisory approval the supervisory authority shall state the activities for which the special purpose vehicle is authorised and, where relevant, any terms and conditions relating to those activities.

3. Any decision to refuse an authorisation shall state full reasons and shall be communicated to the applicant by the supervisory authority.

Article 5

Demonstration and documentation requirements

When applying for supervisory approval to establish, the special purpose vehicle shall demonstrate that the requirements set out in Articles 318 to 324, 326 and 327 of Delegated Regulation (EU) 2015/35 are met and that the special purpose vehicle is capable of meeting the requirements of Article 325 of Delegated Regulation (EU) 2015/35 by providing documentary evidence of that in its application. When submitting an application for authorisation, the applicant shall submit, at least, the supporting documentation as set out in Annex I. The documentation shall cover the structure of the special purpose vehicle, the risk to be assumed and the funding of that special purpose vehicle.

Article 6

Withdrawal of authorisation

1. The supervisory authority granting supervisory approval to establish the special purpose vehicle may withdraw the authorisation of that special purpose vehicle where:

(a) the special purpose vehicle no longer fulfils the original conditions under which the approval to establish that special purpose vehicle was granted;

(b) the special purpose vehicle fails seriously in its obligations under the regulations to which it is subject.

2. In the case referred to in paragraph (1)(b) above, the supervisory authority shall consider the special purpose vehicle to have committed a serious failure where it does not comply with the requirement to remain fully funded and the supervisory authority considers that the special purpose vehicle cannot restore its compliance within a reasonable timeframe.

3. Any decision to withdraw authorisation shall state the full reasons and shall be communicated to the special purpose vehicle without delay.

Article 7

Multi-arrangement special purpose vehicle

1. When applying for supervisory approval to establish a multi-arrangement special purpose vehicle, the applicant shall additionally demonstrate to the satisfaction of its supervisory authority that its solvency cannot be adversely affected by the winding-up proceedings of any one of the insurance or reinsurance undertakings transferring risks and that the multi-arrangement special purpose vehicle can maintain the solvency requirement at all times.

2. When demonstrating that the multi-arrangement special purpose vehicle's solvency cannot be adversely affected by the winding-up proceedings of any one of the insurance or reinsurance undertakings transferring risk, the multi-arrangement special purpose vehicle shall provide sufficient supporting evidence to allow its supervisory authority to assess the multi-arrangement special purpose vehicle's overall aggregate maximum risk exposure and the aggregate maximum risk exposure of each individual contractual arrangement relating to the transfer of risk from an insurance or reinsurance undertaking.

3. When applying for supervisory approval to establish a multi-arrangement special purpose vehicle, the applicant shall provide sufficient supporting evidence that it satisfies the conditions set out in Articles 319 to 321 and 326 of the Implementing Measures taking into account each individual contractual arrangement in order to determine whether the multi-arrangement special purpose vehicle complies with the solvency requirements.

4. Where the applicant is not able to provide sufficient supporting evidence in line with the provisions of paragraphs 1 to 3, the supervisory authority shall refuse the application for the establishment of the multi-arrangement special purpose vehicle.

Article 8

Ongoing cooperation between supervisory authorities

1. Where the special purpose vehicle which assumes risk from an insurance or reinsurance undertaking is established in a Member State which is not the Member State in which the insurance or reinsurance undertaking is authorised, the supervisory authorities concerned shall cooperate on an ongoing basis.

2. The supervisory authorities shall exchange information relevant to the exercise of supervisory tasks, including information on any planned supervisory actions against the special purpose vehicle or the insurance and reinsurance undertakings transferring risk where this may affect the supervision of that special purpose vehicle or the insurance and reinsurance undertakings transferring risk. In such circumstances, the supervisory authorities shall communicate without delay.

Article 9

Prior consultation before granting an authorisation

Prior to granting authorisation, the supervisory authority from which supervisory approval to establish a special purpose vehicle is sought shall consult with the supervisory authority of the Member State in which the insurance or reinsurance undertaking transferring risk is established.

Article 10

Communication of changes

The special purpose vehicle's supervisory authority shall communicate without delay any relevant information received from a special purpose vehicle according to Article 325(5) of Delegated Regulation (EU) 2015/35 relating to any changes that could affect the special purpose vehicle's compliance with the requirements set out in Articles 318 to 324, 326 and 327 of Delegated Regulation (EU) 2015/35 to the supervisory authority of the insurance or reinsurance undertaking transferring risk to that special purpose vehicle. The supervisory authority shall communicate without delay the special purpose vehicle's breach of solvency requirements.

Article 11

Communication of withdrawal of authorisation

In the event of withdrawal of a special purpose vehicle's authorisation, that special purpose vehicle's supervisory authority shall notify the supervisory authority of the insurance or reinsurance undertaking transferring risk to that special purpose vehicle without delay.

Article 12

Communication of the annual report

The special purpose vehicle's supervisory authority shall share the annual report of the special purpose vehicle, submitted according to Article 325(3) and (4) of Delegated Regulation (EU) 2015/35, with the supervisory authority of the insurance or reinsurance undertaking transferring risk to that special purpose vehicle without delay. In case of a multi-arrangement special purpose vehicle, the multi-arrangement special purpose vehicle's supervisory authority may share with the supervisory authorities only those parts of the report that relate to the insurance and reinsurance undertaking established in the Member State of those supervisory authorities.

Article 13

Quantitative content of the annual report

In line with Article 325 of Delegated Regulation (EU) 2015/35, the special purpose vehicle shall submit annually to its supervisory authority quantitative information following the formats and templates, as set out in Annex II and in accordance with the instructions in Annex III, and comprising:

(a) content of submission, as specified in template SPV.01.01 of Annex II, according to the instructions in Annex III under the reference SPV.01.01;

(b) basic information on the special purpose vehicle, as specified in template SPV.01.02 of Annex II, according to the instructions in Annex III under the reference SPV.01.02;

(c) balance sheet data of the special purpose vehicle, distinguishing the material classes of assets, liabilities and equity items, including debt or other financing mechanism issued, as specified in template SPV.02.01 of Annex II, according to the instructions in Annex III under the reference SPV.02.01;

(d) off-balance sheet data of the special purpose vehicle, as specified in template SPV.02.02 of Annex II, according to the instructions in Annex III under the reference SPV.02.02;

(e) risks assumed regarding each individual contractual arrangement relating to the transfer of risk from an insurance or reinsurance undertaking, as specified in template SPV.03.01 of Annex II, according to the instructions in Annex III under the reference SPV.03.01;

(f) list of debt securities or other financing mechanism issued regarding each individual contractual arrangement relating to the transfer of risk from an insurance or reinsurance undertaking, as specified in template SPV.03.02 of Annex II, according to the instructions in Annex III under the reference SPV.03.02.

Article 14

Qualitative content of the annual report

In line with Article 325 of Delegated Regulation (EU) 2015/35, the special purpose vehicle shall submit annually to its supervisory authority qualitative information covering the following:

(a) an adequate description of the basis, methods and assumptions used for the valuation of the assets;

(b) an adequate description of the basis, methods and assumptions used for the determination of the aggregate maximum risk exposure;

(c) details of any conflicts of interest between the special purpose vehicle, the insurance or reinsurance undertakings and the providers of debt or finance;

(d) details of any significant transactions entered into by the special purpose vehicle during the last reporting period;

(e) information to demonstrate that the special purpose vehicle continues to be fully funded, including: (i) a description of the risks, including liquidity risks and quantifiable risks, assumed by the special purpose vehicle; (ii) information on the debt instruments issued or other financing mechanism entered into;

(f) if the special purpose vehicle has not continuously complied with the requirement to be fully funded during the reporting period, the special purpose vehicle shall report any relevant information on that non-compliance and its rectification according to Article 326 of Delegated Regulation (EU) 2015/35 during the reporting period;

(g) qualitative information on any changes that could affect the special purpose vehicle's compliance with the requirements set out in Articles 318 to 324, 326 and 327 of Delegated Regulation (EU) 2015/35.

Article 15

Description of the risks assumed by the special purpose vehicle

When describing the risks assumed, as required by Article 14, the special purpose vehicle shall provide information in the annual report on:

(a) whether the risks assumed are mainly life or non-life type of risks;

(b) what types of trigger events apply to those risks;

(c) whether a trigger event occurred in the reporting period, triggering a claim against the special purpose vehicle's assets;

(d) 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 special purpose vehicle's liquidity;

(e) whether the special purpose vehicle's risk profile has changed materially since the previous reporting period or from the original terms and conditions as communicated to its supervisory authority upon authorisation.

Article 16

Information on debt instruments issued or other financing mechanism entered into

When providing information on debt instruments issued or other financing mechanism entered into as required by Article 14, the special purpose vehicle shall report on the following:

(a) 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 insurance or reinsurance undertaking;

(b) 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, credit rating agencies were used;

(c) the reasons why the financial arrangements are regarded as sufficiently robust to ensure continued protection of potential claims of the insurance or reinsurance undertaking transferring risk to the special purpose vehicle, 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;

(d) 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.

Article 17

Means for reporting

Special purpose vehicles shall submit the quantitative content of the report referred to in Article 13 to the supervisory authority electronically, and the qualitative content of the report referred to in Article 15 in an electronic readable format.

Article 18

Currency and units

1. Special purpose vehicles shall submit all monetary data from the report referred to in Article 13 in the special purpose vehicle'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.

2. Special purpose vehicles shall submit numeric values as facts according to the following formats:

(a) data points with the data type ‘Monetary’ shall be reported using a minimum precision equivalent to units;

(b) data points with the data type ‘Integer’ shall be reported using no decimals and a precision equivalent to units.

Article 19

Entry into force

This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States. Done at Brussels, 19 March 2015. For the Commission The President Jean-Claude JUNCKER

(1) OJ L 335, 17.12.2009, p. 1.

(2) Commission Delegated Regulation (EU) 2015/35 of 10 October 2014 supplementing Directive 2009/138/EC of the European Parliament and of the Council on the taking-up and pursuit of the business of Insurance and Reinsurance (Solvency II) (OJ L 12, 17.1.2015, p. 1).

(3) Regulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Insurance and Occupational Pensions Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/79/EC (OJ L 331, 15.12.2010, p. 48).

ANNEX I 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 Special Purpose Vehicles reporting templates SPV.01.01 — Content of the submission 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 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 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 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 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 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 …