Question ID: 1556
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Article: 35
Status: Final
Date of submission: 17 Jul 2018
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:
EIOPA 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.