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Question

Please can you clarify the entry that would be included in the Structured Product template for Collateral Value in the following scenario?
An insurer holds Security NL0009639285 being a senior tranche of Dutch Prime RMBS deal Dutch Mortgage Portfolio Loans VIII B.V.
The Dutch Prime RMBS deal Dutch Mortgage Portfolio Loans VIII B.V. contains 3 securities; 2 senior A tranches which are pari passu and a subordinated B tranche, there is also a reserve fund.
Tranche ISINA1 NL0009639277A2 NL0009639285B NL0009639293
The collateral information for this deal is reported at the deal level. The balance of the collateral at issue for this deal was €1,298,700,000.
As the collateral is at a deal level and no direct apportionment to the individual tranches applies, how should the collateral value for the insurers holding in NL0009639285 be reported?
We assume that the collateral value is at the date of the report and not at issue is this correct.

European Insurance and Occupational Pensions Authority · Accepted Answer

Undertakings should in principle be able to identify the collateral and that information should be reported. However, in case this is not possible, undertakings may apportion the collateral, as the security does have a collateral underlying it.
For example in the case of the following securities (ABS, RMBS, CMBS, CLO and CDO):•    Collateral Value should be the total underlying pool (at reporting date)•    Collateral portfolio should = 1 (Collateral calculated on the basis of net positions resulting from a set of contracts)•    Attachment point and Detachment point will then need to be set according to the credit enhancement of the given security.

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