We have a question with regards to the information requirements in templates S.03.01.01 (solo) and S.03.01.04 (groups). We seek further clarification with regards to information required for cells R0100/C0020 and R0100/C0030 of the template and how to interpret the information required with regards to “covered bonds”. The LOG to cell R0100/C0020 simply states that this should provide for value of collateral the “Solvency II value of the collaterals held for loans made or bonds purchased.”

A covered bond is a corporate bond with the important enhancement being that the holder of the instrument has recourse to a pool of assets that secures or "covers" the bond if the originator (usually a financial institution) becomes insolvent. The debt and the underlying asset pool remain on the issuer's balance sheet, and issuers must ensure that the pool consistently backs the covered bond. These assets thus act as additional credit cover as in the event of default, the investor has recourse to both the pool and the issuer.

The LOG cell is not clear on whether we should interpret this reporting requirement to also include such “recourse to a pool of assets” that secures (or "covers") a covered bond, and for this we would welcome some further clarification.

If the view is that C0020 should indeed include this form of “collateral”, it would seem evident then that on the basis of the connection made between C0020 and C0030 in S.03.01 that in Cell R0100/C0030 we should provide information/reference to the SII valuation of the covered bonds held that we recognize/carry in our solvency balance sheet in S.02.01 and further analyze in our investment asset list in S.06.02 (the QRT as relevant for either solo level or group level submission).

EIOPA answer

The collateral of a covered bond should be included in this template. The colaterral of the covered bonds should be reported in C0020/R0100 and the value of the bond in C0030.

The value of the bond reported in C0030 should be the same as reported in S.06.02 and included in S.02.01, i.e. the Solvency II value.