EIOPA · 2448
Reporting Templates
- Regulation
- (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
- Article
- Article 35 of SII Directive
- Topic
- Reporting Templates
- Submitted
- 2022-06-13
- Answered
- 2022-12-14
Question
Question regarding what the Collateral Portfolio value should be in the following scenario: A deal is backed by two collateral pools, Pool 1 and Pool 2. The deal is divided into three tranches, A, B, and C. A and B are senior tranches, C is a junior tranche. Pool 1 pays tranche A, Pool 2 pays tranche B, and then tranche C receives the residual collateral after tranches A and B are fully paid. In this case, do you consider tranche A or B is sharing one collateral pool with C? Or, would A and B both be 2 - "Collateral calculated on the basis of a single contract" since the collateral isn't "shared" until A and B are paid off?
Background
We are trying to improve the coverage and accuracy when reporting on Collateral Portfolio
Answer
EIOPA agrees with the proposed answer for “C0140 - Collateral portfolio". Given the information provided for this example, it is correct to report for tranches A and B "Collateral calculated on the basis of a single contract" and "Collateral calculated on the basis of net positions resulting from a set of contracts" for tranche C.
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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