Article 2
Content of the application relating to the assigned portfolio of assets
In relation to the assigned portfolio of assets required by paragraph 1(a) of Article 77b of Directive 2009/138/EC, the application shall include at least the following:
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(a) |
evidence that the assigned portfolio of assets meets all of the relevant conditions specified in Article 77b(1) of Directive 2009/138/EC; |
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(b) |
details of the assets within the assigned portfolio, which shall consist of line-by-line asset information together with the procedure used to group such assets by asset class, credit quality and duration for the purposes of determining the fundamental spread referred to in paragraph 1(b) of Article 77c of Directive 2009/138/EC; |
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(c) |
a description of the process used to maintain the assigned portfolio of assets in accordance with paragraph 1(a) of Article 77b of Directive 2009/138/EC, including the process for maintaining the replication of expected cash-flows where these have materially changed. |