EIOPA · 1556

1556

Regulation
(EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article
35
Submitted
2018-07-17
Answered
2019-10-10
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Question

Which asset category should the following US Mortgage backed securities be assigned: 1. FNMA (non full-failth and credit US) non-tranched MBS:2. GNMA (full-failth and credit US) non-tranched MBS:

Answer

According to the SII regulation when classifying an asset using the CIC table, undertakings shall take into consideration the most representative risk to which the asset is exposed to.We agree that US mortgage backed securities should be categorised with CIC 6.
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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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