F35.00 Covered Bonds - Maturity profile of covered assets

Q&A 2015_1891 answers the first question of this Q&A. The maturity profile of the cover pool assets should be noted in {F35.00, c150 to c200} following the instruction of Annex XVII to Regulation (EU) No 680/2014 (ITS on supervisory reporting). The asset projection should consider the current level of overcollateralization. Following the Annex XVII, chapter 5.2.3: c160 to 200: “Amounts [of assets in the cover pool] shall be provided assuming no change in cover pool compared to the reporting date except for amortization. In the absence of a fixed payment schedule, for amounts outstanding at future dates, expected maturity is to be used in a consistent manner”. c150: the amounts reported are the amounts of assets in the cover pool, excluding cover pool derivative positions. This amount includes minimum over-collateralisation requirements plus any additional over-collateralisation in excess of the minimum, to the extent subject to the respective covered bond protective measures.