Question ID: 142
Regulation Reference: Guidelines on submission of information to NCAs (Preparatory phase)
Article: 35
Template: S.01.02
Status: Final
Date of submission: 13 Mar 2015
Question
S.01.02 Balance Sheet (cell A8D or A14C)
How do we classify our ABS portfolio in the SII Balance sheet? Other Loans and Mortgages (A14C) or Bonds Collateralised Securities (A8D)?
We think Collateralised Securities meets the characteristics of Asset Backed Securities.
EIOPA answer
Assets Backed Securities (ABS) should be classified under “Collaterised securities (A8D)” in the balance-sheet if it is a direct investment into ABS. The only exception is when the investment into ABS is indirect by a Collective Investment Undertaking, in which case the investment should be classified under the category “Collective Investments Undertakings (A9)” in the Balance-Sheet and the look-through will be required in a different template under Solvency II (not for preparatory phase).
Please see LOG of the cell A8D (C0010-C0020/R0170) currently under public consultation copied bellow for your convenience.
“Securities whose value and payments are derived from a portfolio of underlying assets. Includes Asset Backed Securities (ABS), Mortgage Backed securities (MBS), Commercial Mortgage Backed securities (CMBS), Collateralised Debt Obligations (CDO), Collateralised Loan Obligations (CLO), Collateralised Mortgage Obligations (CMO)…”