How to fill out the COREP C 28.00 for an exposure secured by an insurance wrapper?

The answer is provided based on the following case: The reporting institution has an exposure to client A amounting to EUR 100. A assigns his investment portfolio (value EUR 100) consisting of government bonds (eligible financial collateral) together with the security interests resulting from a life insurance hedging all portfolio positions (‘wrapped around the portfolio’) to the reporting institution. The insurance covers all possible losses stemming from the investment portfolio, i.e. EUR 100. The criteria set out in Articles 232 and 212 of Regulation (EU) No 575/2013 (CRR) are met.   For large exposures purposes, the reporting institution may (and from 28 June 2021 - in application of Regulation (EU) 2019/876 - shall) substitute, based on Article 403 CRR, in a first step the original client A with the underlyings of the portfolio and in a second and final step these underlyings with the insurance undertaking. The following should be reported in template C 28.00 of Annex VIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting): The following should be reported in template C 28.00 of Annex VIII to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting): - Exposure to A: o Transactions where there is an exposure to underlying assets (column 030): no o Total Original Exposure (column 040): 100 EUR o Debt instrument (column 060):100 EUR o Substitution effect of eligible credit risk mitigation techniques, debt instruments (column 240): – 100 EUR o Total (column 330):0 EUR - Exposure to the life insurance undertaking: o Transactions where there is an exposure to underlying assets (column 030): no o Total Original Exposure (column 040): 100 EUR o Indirect Exposure – Debt instrument (column 120):100 EUR