Question ID: 2448
Regulation Reference: (EU) No 2015/2450 - templates for the submission of information to the supervisory authorities
Topic: Reporting Templates
Article: Article 35 of SII Directive(N/A)(N/A)
Template: S.07.01
Status: Final
Date of submission: 13 Jun 2022
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 of the question
We are trying to improve the coverage and accuracy when reporting on Collateral Portfolio
EIOPA 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.