EIOPA · 1793
1793
- Regulation
- (EU) No 2009/138 - Solvency II Directive (Insurance and Reinsurance)
- Article
- 35
- Submitted
- 2019-02-14
- Answered
- 2019-09-17
Question
Some of our clients ask us about our interpretation of the proper treatment of notes issued by SPVs and collateralized by government bonds concerning the QRT S.06.02 ( C0290 / CIC code and C0340 / Credit quality step)
C0290 / CIC code What would be the appropriate CIC code? Government Bond '11' ,Other corporate bond '29' or IR risk structured product '52' ?The question comes because the definition of CIC code 5 specifies : "Excluded from this category are fixed income securities that are issued by sovereign governments".As fixed income securities issued by sovereign governments are not structured notes, we wonder if we are speaking here about the fixed income collateral
C0340 / Credit quality step Can such unrated notes, inherit the collateral CQS?
Answer
Notes issued by SPVs and collateralized by government bonds are to be reported in S.06.02.C0290 with a CIC code 6 "Collateralised securities". Depending on the major risk associated with the Tranche, it would most probably be CIC 62 (IR risk) or CIC 64 (credit risk). Please note that in your example the notes are issued by the SPVs and not by sovereign governments.Such unrated notes cannot inherit the collateral CQS.
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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