1233

How should the pool of collaterals, that secure/covers the covered bonds, be reported in QRT 11.01: a)    C0090 “Quantity” or C0100 “Par amount”:The Log states that “If there is a pool of collaterals or a collateral arrangement comprising multiple assets, as many rows as the assets in the pool or arrangement shall be reported.” A single covered bond could cover millions of collaterals (i.e. number of properties), could C0090 be used for reporting an assumptions of the number of collaterals in the covered bonds? Assumption is necessary to be made for quantity (or for par amount), because no exact information is available, an asset pool could refer to several different covered bond, therefore assumptions hade to be made of how many number of properties in the pool, that refer to the specific covered bonds. b)    C0120 “Total amount” – connection with QRT 03.01Should value in C0120 “Total amount”, for collaterals referring to covered bonds, correspond with QRT 03.01 C0020/R0100? c)    C0120 “Total amount” – asset category 9 Is it correct that asset category 9 should be used when collaterals, referring to covered bonds, consist of mortgages (property/real estates)? In that case, we had to make an assumptions that valuation of collaterals for covered bond, consisting of mortgages (property/real estates), is in line with Solvency II.