EIOPA · 1226
1226
- Regulation
- (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
- Article
- 35
- Submitted
- 2017-06-29
- Answered
- 2019-09-27
Question
Par amount (C0100). Per the log, it asks to disclose the par amount of the collateral. For a covered bond or structured product that is backed by mortgage and loans, should the value of the collaterals be the entire mortgage/loan pool.
The reason being that different structured products will have claims in different orders on the collateral as determined by the deal waterfall, any type of calculations give the same value for the most senior tranche as the most junior tranche. Thus using the entire mortgage/loans pool value as collateral value seems more reasonable. Is the assumption correct?
Answer
Collateral in case of "Covered bonds" and structured notes are not to be reported in S.11.01. See also Q&A 1213 and Q&A 988.
This Q&A is published by European Insurance and Occupational Pensions Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.
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