b'TABLE OF CONTENTSfiling exemption. The revisions did not change the1.The insurer would obtain a more favorable RBC standards for answering those two questions, butcharge or regulatory treatment for the PPS they have established a checkpoint whereby eachthrough filing exemption than it would if it were private letter rated security will now be examined byto separately file the underlying investments in an SVO analyst to determine whether it satisfiesaccordance with the P&P Manual; andthose two criteria. 2.Either:SVO Seeks to Apply PrincipalA.The repackaged security structure enables Protected Security Definition topotential returns from the underlying Structured Notes investments in addition to the contractually promised cash flows paid to such As discussed in our 2020 Year in Review, on May 14,repackaged security according to a fixed 2020, the VOS TF adopted amendments to the P&Pschedule; orManual that significantly changed the treatment ofB.The contractual interest rate paid by the PPS investments in principal protected securitiesis zero, below market or, in any case, equal (PPS) for RBC purposes. As of January 1, 2021,to or below the comparable risk-free rate.insurers now need to file PPS investments with the SVO for review and assignment of an NAICThe P&P Manual provides three examples of designation, rather than benefiting from a filingtransactions that fall within the PPS definition:exemption whereby they could simply use theA note issued by a special purpose vehicle NAIC designation equivalent to the credit rating(SPV) that holds two underlying investments: (i) assigned by a CRP. Because the designationsa US Treasury zero coupon bond purchased at a assigned by the SVO are expected to be lowerdiscount with a face value equal to the principal than the designations based on CRP ratings, this isamount of the note at maturity and (ii) a return anticipated to significantly increase the RBClinked to any positive performance of call options charges associated with these securities.on the S&P 500 Index.As amended in 2020, the P&P Manual defines a PPSA note issued by an SPV that holds multiple as a type of security that repackages one or moreunderlying components: (i) a corporate bond underlying investments and for which contractuallypaying a fixed coupon with a stated maturity promised payments according to a fixed scheduledate and (ii) additional undisclosed and are satisfied by proceeds from an underlyingunrated performance assets.bond(s) (including principal and, if applicable, interest, make whole payments and fees thereon)A repackaging of collateralized loan obligations that if purchased by an insurer on a stand-alone(CLOs) into a CLO combination note (often basis would be eligible for Filing Exemption andcalled a combo note). for which two additional conditions are satisfied: The P&P Manual also includes the following exclusions from the definition of PPS: MAYER BROWN |67'