According to the instructions of the QRT S.03.01, it is required to fill the cells C0020/R0100 and C0020/R0110 with the Solvency II value of the collaterals held. Our question is about the mortgages that are held as collateral. Should we consider all kind mortgage ? For example: First-rank mortgage, second-rank mortgage, collateral mortgage and contractual mortgage. Should these kinds of mortgage be valued under Solvency II and reported as collateral held in the QRT S.03.01 ?
S.03.01 should include all collaterals to which the undertaking may have direct access. Therefore mortgages should be considered.